Search Results - subject:"Volatility spillover effects"

The volatility spillover effects among risk appetite indexes : insight from the VIX and the rise

Akdag, Saffet; İskenderoglu, Ömer; Alola, Andrew Adewale - In: Letters in spatial and resource sciences : LSRS 13 (2020) 1, pp. 49-65

Persistent link: https://www.econbiz.de/10012300961

Volatility spillover effects among securities exchanges in East Africa

Yunvirusaba, Nelson; Aduda, Jane; Kube, Ananda - In: International journal of economics and finance 11 (2019) 10, pp. 32-41

Persistent link: https://www.econbiz.de/10012129562

Does FX Volatility Affect the Distributions of Commodity Futures Returns?

Grieb, Terrance - In: International Journal of Financial Research 4 (2013) 4, pp. 1-10

This paper employs a two-step GARCH-M procedure to study price and volatility spillover effects from a series of …

Persistent link: https://www.econbiz.de/10011267689

The impact of reporting frequency on the information quality of share price : evidence from Chinese state-owned enterprises

Lee, Yin Toa; Tong, Wilson H. - In: Frontiers of business research in China : selected … 12 (2018) 2, pp. 83-100

Persistent link: https://www.econbiz.de/10011895420

Volatility co-movements and spillover effects within the Eurozone economies : a multivariate GARCH approach using the financial stress index

MacDonald, Ronald; Sogiakas, Vasilios; Tsopanakis, Andreas - In: Journal of international financial markets, … 52 (2018), pp. 17-36

Persistent link: https://www.econbiz.de/10011986183

Return and Volatility Spillovers between Japanese and Chinese Stock MarketsFAn Analysis of Overlapping Trading Hours with High-frequency Data

Nishimura, Yusaku; Tsutsui, Yoshiro; Hirayama, Kenjiro - Graduate School of Economics, Osaka University - 2012

In this paper we analyze return and volatility spillovers during overlapping trading hours between China (Shanghai Composite Index) and Japan (Nikkei 225 Index) using intraday high-frequency data. We first adjusted the 5-min. returns for intraday periodicity with Flexible Fourier Form (FFF)....

Persistent link: https://www.econbiz.de/10010837063

Financial Crises Contagion: Analysis of the Crise Contagion on the Conditional Volatility of ISE

CETINKAYA, Engin; ALTAY, Erdinc - In: Journal of BRSA Banking and Financial Markets 6 (2012) 2, pp. 185-223

In this research we analysed the contagion of 4 major global crises that are occured after 1990 on ISE conditional variance by using ARMA-EGARCH models. The evidence shows that Mexico, Southeast Asia and Russia crises have statistically significant effects on ISE conditional variance, so they...

Persistent link: https://www.econbiz.de/10010700719

On price co-movement and volatility spillover effects in China's housing markets

Weng, Yingliang; Gong, Pu - In: International journal of strategic property management 21 (2017) 3, pp. 240-255

Persistent link: https://www.econbiz.de/10011893479

Volatility spillover dynamics and relationship across G7 financial markets

Liow, Kim Hiang - In: The North American journal of economics and finance : a … 33 (2015), pp. 328-365

Persistent link: https://www.econbiz.de/10011535255

The dynamics of return co-movements and volatility spillover effects in Greater China public property markets and international linkages

Hiang Liow, Kim - In: Journal of Property Investment & Finance 32 (2014) 6, pp. 610-641

autoregressive (VAR)-based volatility spillover effects within the three Greater China (GC) public property markets, as well as … Diebold and Yilmaz (2012) to investigate the volatility spillover effects across the real estate markets. Finally, the … cycles. Findings – Results indicate moderate return co-movements and volatility spillover effects within and across the GC …

Persistent link: https://www.econbiz.de/10014898876