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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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Galin K. Todorov
Pág. 639 - 661
I use Principal Component Analysis to create an index of portfolio diversification- a quantifiable measure of diversification opportunities offered to US investors by financial markets abroad. The index is estimated for three market clusters: devel...
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Kim Hiang Liow, Yuting Huang and Kai Li Heng
The aim of this paper was to examine the relationship between changes in the US and China macroeconomic conditions and the excess returns of nine Asian-Pacific public real estate markets (Singapore, Indonesia, Malaysia, the Philippines, Thailand, Austral...
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Menggen Chen
Pág. 33 - 42
Researchers pay more and more attention on the price comovement-effect among international stock markets. This paper deals with the transmission mechanism of price shocks among three stock markets of China, Russia and India, with a sample of weekly retur...
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Borislav Radevic,Ahmedin Lekpek
Pág. 9 - 19
The process of financial liberalization has created enormous opportunities for profit for banks and other financial institutions, but it has also led to an increased risk to their business and numerous banking and financial crises around the world. For d...
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Nadhem Selmi,Nejib Hachicha
Pág. 353 - 362
This paper examines whether the bank can be a cause of contagion during the global financial crisis. This paper utilizes a Dynamic Conditional Correlation Model to examine the financial contagion phenomenon following the recent financial crisis. This mod...
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Salma Zaiane,Rabeb Jrad
Pág. 245 - 254
The paper investigates the dynamic linkages between exchange rate (against US dollar) and the stock market (local currency) of Tunisia from January 2004 to April 2017. In particular, the paper tries to answer if there are any correlations between these v...
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