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Bachar FAKHRY
Pág. 227 - 256
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Benjamin Mudiangombe Mudiangombe and John Weirstrass Muteba Mwamba
This paper examines the effects of the Standard and Poor?s 500 (SP500) stock index crash during the global financial crisis and the COVID-19 pandemic periods on the South African top sector indices (basic materials, consumer goods, consumer services, fin...
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Wendy Sidon Meira de Oliveira,André Nunes Maranhão
Pág. 569 - 603
We present in this study the results of volatility spillover in the Brazilian stock market, measured by conditional correlations. Using GARCH multivariate conditional correlations were estimated at 3 different models combining the Ibovespa index of the t...
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Massimo Peri, Daniela Vandone and Lucia Baldi
Water, energy, and food and are strongly interconnected, and the sustainability of the whole world depends on this link. The aim of this article is to analyze the volatility spillovers between indexes representing the financial component of this nexus. W...
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Faten Ben Slimane, Mohamed Mehanaoui and Irfan Akbar Kazi
The spread of the global financial crisis of 2008/2009 was rapid, and impacted the functioning and the performance of financial markets. Due to the importance of this phenomenon, this study aims to explain the impact of the crisis on stock market behavio...
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Apostolos Ampountolas
Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of...
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Leon Li
This paper advances a volatility-regime-switching mechanism to investigate the intensity and direction of the volatility spillover effect in carbon?energy markets. Switching between a low-volatility (LV) and high-volatility (HV) regime, our mechanism inv...
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Irena Jankovic
Pág. 319 - 329
The aim of the paper is to present and analyse indicators of financial connectedness and volatility spillover on important segments of the global financial market ? the stock market, bond market, CDS market, and foreign exchange market. Total, net, and d...
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Mohamed Beraich, Karim Amzile, Jaouad Laamire, Omar Zirari and Mohamed Amine Fadali
The present study aims to investigate the volatility spillover effects in the international financial markets before and during the Russia?Ukraine conflict. The subject of this paper is the study of the influence of the recent war between Russia and Ukra...
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Wanti Fitrianti,Yusman Syaukat,Sri Hartoyo,Anna Fariyanti
Pág. 230 - 240
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Wen-Chung Hsu and Hsiang-Tai Lee
This article investigates the effectiveness of TAIEX (Taiwan Stock Exchange) futures, Taiwan 50 futures, and nonfinance nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange. A...
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Michail Karoglou, Konstantinos Mouratidis, Sofoklis Vogiazas
Pág. 55 - 74
We study the impact of credit risk determinants on the Romanian and Bulgarian banking systems using a structural Markov Regime-Switching vector autoregressive (MRS-SVAR) analysis. To capture changes in the domestic macroeconomic conditions as well as the...
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E.M. Afsal,Mohammad Imdadul Haque
Pág. 1025 - 1034
The price movements in gold market are considered to detect non-linear dependencies with stock market in the Saudi Arabian context. Both the univariate and multivariate models of GARCH class are employed in this study. Initially, the work uses GARCH (1,1...
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Anmar Pretorius, Jesse de Beer
This paper compares the South African stock markets response to two periods of distinct instability, namely the East Asian and Russian crisis of 1997-98 and the global financial crisis of 2007-09. Considering share prices, the Johannesburg Securities Exc...
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Chia-Lin Chang, Michael McAleer and Chien-Hsun Wang
It is well known that there is an intrinsic link between the financial and energy sectors, which can be analysed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other?s subsequent volatilit...
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Faheem Aslam, Paulo Ferreira, Khurrum Shahzad Mughal and Beenish Bashir
During crises, stock market volatility generally rises sharply, and as consequence, spillovers are identified across markets. This study estimates the volatility spillover among twelve European stock markets representing all four regions of Europe. The d...
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Afees A. Salisu, Kazeem O. Isah, Alberto Assandri
Pág. 255 - 283
This study examines probable dynamic spillover transmissions between the Nigerian stock and money markets using the multivariate volatility framework that simultaneously accounts for both returns and shock spillovers. Based on relevant pre-tests, the VAR...
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Caner Özdurak and Veysel Ulusoy
The 2008 global financial crisis provides us with a wide range of study fields on cross-asset contagion mechanisms in the US financial markets. After a decade of the so-called subprime crisis, the impact of market news on asset volatilities increased sig...
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Tihana ?krinjaric
This research observes a time varying relationship between stock returns, volatilities and the online search volume in regard to selected CESEE (Central, Eastern and South-Eastern European) stock markets. The main hypothesis of the research assumes that ...
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