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The incidence of spillover effects during the unconventional monetary policies era

Lacava, Demetrio; Scaffidi Domianello, Luca - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-18

unconventional monetary policy shields the Eurozone stock markets against spillovers of volatility from the US stock market. We … of volatility from the S&P500 index, on the one hand, and the announcement and implementation effects of unconventional … volatility of four Eurozone stock indices (CAC40, DAX30, FTSEMIB and IBEX35), we find how the increase in volatility brought …

Persistent link: https://www.econbiz.de/10012587787

Global uncertainty and potential shelters : gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets

Feder-Sempach, Ewa; Szczepocki, Piotr; Bogołębska, Joanna - In: Financial innovation : FIN 10 (2024), pp. 1-23

the multivariate factor stochastic volatility (MSV) model, which is extremely efcient for fnancial market analysis and …

Persistent link: https://www.econbiz.de/10014541628

Strategic interactions in U.S. monetary and fiscal policies

Chen, Xiaoshan; Leeper, Eric M.; Leith, Campbell B. - In: Quantitative economics : QE ; journal of the … 13 (2022) 2, pp. 593-628

We estimate a model in which fiscal and monetary policy obey the targeting rules of distinct policy authorities, with potentially different objective functions. We find: (1) Time‐consistent policy fits U.S. time series at least as well as instrument‐rules‐based behavior; (2) American...

Persistent link: https://www.econbiz.de/10013382042

Innovation output and idiosyncratic volatility : US evidence

Alshammasi, Naji Mohammad; Almomen, Adel Abdulkarim - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17

' involvement in innovation activities impacts their volatility, particularly their idiosyncratic volatility. In this paper, we … empirically examine the effect of innovation on idiosyncratic volatility. To do so, we empirically examine the impact of … innovation, measured by patents weighted by citations and R&D expenditure, on the idiosyncratic volatility of firms. Using a …

Persistent link: https://www.econbiz.de/10014295263

Market shocks and stock volatility : evidence from emerging and developed markets

Tabash, Mosab I.; Chalissery, Neenu; Nishad, T. Mohamed; … - In: International Journal of Financial Studies : open … 12 (2024) 1, pp. 1-18

volatility in selected developed and emerging markets between the 2008 financial crisis and the 2019 worldwide pandemic. In this …

Persistent link: https://www.econbiz.de/10014501165

Equity return volatility in Africa's stock markets : a dynamic panel approach

Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-22

This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using … volatility, the least squares dummy variable bias correction (LSDVC) model is employed. The study finds that volatility of …

Persistent link: https://www.econbiz.de/10014501248

A transmission of beta herding during subprime crisis in Taiwan's market : DCC-MIDAS approach

Chen, Yi-Chang; Wu, Hung-Che; Zhang, Yuanyuan; Kuo, … - In: International Journal of Financial Studies : open … 9 (2021) 4, pp. 1-16

The aim of this study is to investigate the herding of beta transmission between return and volatility. We have used …

Persistent link: https://www.econbiz.de/10012698399

Analyzing time-different connectedness among systemic financial markets during the financial crisis and conventional era : New evidence from the VARX-DCC-MEGARCH model

Liu, Xiaoxing; Shehzad, Khurram - 2023

index spillovers the volatility of the FTSE 100 index. The study revealed a leverage effect for the day-wise return of the S …

Persistent link: https://www.econbiz.de/10014516096

Impacts of U.S. stock market crash on South African top sector indices, volatility, and market linkages : evidence of copula-based BEKK-GARCH models

Mudiangombe, Benjamin; Muteba Mwamba, John - In: International Journal of Financial Studies : open … 11 (2023) 2, pp. 1-19

-GARCH approach technique demonstrate the existence of price and volatility spillover during times of stock crashes. We discover that … during a stock crisis, strong shocks and higher volatility spillover effects from the United States (U.S.) SP500 index to the …

Persistent link: https://www.econbiz.de/10014382640

An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28

-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility …

Persistent link: https://www.econbiz.de/10012388066