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The hedging effectiveness of gold against US stocks in a post-financial crisis era

Shrydeh, Najib; Shahateet, Mohammed Issa; Mohammad, Suleiman - In: Cogent economics & finance 7 (2019) 1, pp. 1-23

spot prices and US equity prices following the 2007 Global Financial Crisis. It also aims at estimating hedging …,870 daily observations of US financial market during 2007-2017. Findings-The results suggest that the hedging effectiveness of … investors, policy makers and portfolio managers. The key findings of this study are critical in formulating optimal hedging …

Persistent link: https://www.econbiz.de/10014233046

Volatility spillovers among developed and developing countries : the global foreign exchange markets

Mohammed, Walid Abass - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-30

In this paper, we investigate the "static and dynamic" return and volatility spillovers’ transmission across developed and developing countries. Quoted against the US dollar, we study twenty-three global currencies over the time period 2005-2016. Focusing on the spillover index methodology,...

Persistent link: https://www.econbiz.de/10012605811

The changing role of emerging and frontier markets in global portfolio diversification

Pätäri, Eero; Ahmed, Sheraz; John, Elena; Karell, Ville - In: Cogent economics & finance 7 (2019) 1, pp. 1-23

Although the literature on the benefits of diversifying equity portfolios to emerging markets is abundant, the role of frontier markets in global equity portfolio diversification is clearly less examined. We contribute to the existing literature by examining three different, though closely...

Persistent link: https://www.econbiz.de/10014233132

Modeling and simulating cross country banking contagion risks

Zedda, Stefano; Spinace-Casale, Antonella - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-16

The recent financial crisis proved that financial contagion could spread among countries resulting in disruptive effects. In this paper, by modeling and simulating banking system behavior and linkages across countries, we assess, based on data from the BIS and IMF, the possible outcome of...

Persistent link: https://www.econbiz.de/10012626421

The risk of external financial crisis

Cavallo, Eduardo A.; Fernández Arias, Eduardo; … - 2022

This paper explores the empirical determinants of external crises on a world panel dataset of 62 countries over the …

Persistent link: https://www.econbiz.de/10014480077

The safe haven feature of gold in the recent crisis : rolling regression approach

Arnerić, Josip; Paić, Filip - In: Croatian review of economic, business and social … 9 (2023) 2, pp. 109-122

The global repercussions of the COVID-19 pandemic had a substantial adverse impact on the overall economy, resulting in equity markets decline worldwide. Amidst this turbulent environment, plagued with uncertainty, investors have redirected their attention towards secure assets to protect their...

Persistent link: https://www.econbiz.de/10014480968

National culture, institutional quality, and financial development : international evidence before and after financial crisis

Izadi, Selma; Weinberg, Frankie J.; Rashid, Mamunur - In: International Journal of Financial Studies : open … 13 (2025) 2, pp. 1-23

This study examines the impact of Hofstede's six cultural dimensions and institutional quality on financial development in the periods preceding and following the global financial crisis. The study analyzes data from 33 countries spanning 2001 to 2021 using a combination of OLS, two-stage GMM,...

Persistent link: https://www.econbiz.de/10015435827

Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets …

Persistent link: https://www.econbiz.de/10012309325

Discovering interlinkages between major cryptocurrencies using high‑frequency data : new evidence from COVID‑19 pandemic

Yousaf, Imran; Ali, Shoaib - In: Financial innovation : FIN 6 (2020) 45, pp. 1-18

period and the COVID-19 period. We also estimate the optimal weights, hedge ratios, and hedging effectiveness during both … higher during the COVID-19 period, implying a higher hedging cost compared to the pre-COVID-19 period. Last, the hedging … information to portfolio managers and policymakers regarding portfolio diversification, hedging, forecasting, and risk management. …

Persistent link: https://www.econbiz.de/10012317582

Dynamic connectedness and volatility spillover effects of Indian stock market with international stock markets : an empirical investigation using DCC GARCH

Sainath, A. R.; Gnanendra, M.; Mohanasundaram, T.; … - In: Scientific papers of the University of Pardubice 31 (2023) 1, pp. 1-10

This study employs the DCC-GARCH model to investigate the dynamic connectedness between the Indian stock market and major global stock markets. Specifically, we examine daily log returns data of the National Stock Exchange (NSE) index and several international indices, including the United...

Persistent link: https://www.econbiz.de/10014442259