Showing 1 - 10 of 76
This study investigates the spillover effect of price returns and volatility between ADRs and their underlying Korean stocks, employing a Granger causality test and a bivariate GARCH model. First, the empirical results of Granger causality test suggest bi-directional transmission of price...
Persistent link: https://www.econbiz.de/10013000615
This study investigates the effects of volatility spillovers among five Asian stock markets (China, Hong Kong, Korea, Singapore, and Taiwan) and examines how the global financial crisis of 2008 has influenced volatility transmission among Asian stock markets. The results from a VAR(1)-bivariate...
Persistent link: https://www.econbiz.de/10013076925
We investigate the impact of extreme weather conditions on the stock market returns of the Hong Kong Stock Exchange and Shenzhen Exchange. For the weather conditions, we apply dummy variables generated by applying a moving average and moving standard deviation. Our study provides two interesting...
Persistent link: https://www.econbiz.de/10012150344
Persistent link: https://www.econbiz.de/10014534922
In this paper, we investigate the nonlinear dependence dynamics among eight cryptocurrencies (Monero, Bitcoin, Dash, Litecoin, Stellar, XRP, Ethereum, and Nem) by applying time-varying copulas. We also examine the upside and downside spillovers between cryptocurrencies and equity markets by a...
Persistent link: https://www.econbiz.de/10014351315
This study quantifies the shock transmission mechanism between the trade policy uncertainty (TPU) index and Sharia-compliant stock sectoral conditional volatility in the Gulf Cooperation Council (GCC) countries. We employ a comprehensive analysis that includes the time-domain extended joint and...
Persistent link: https://www.econbiz.de/10015152585
The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes, while considering three pricing factors and the effect of the COVID-19 outbreak. To do so, we apply a Markov regime-switching (MS) vector autoregressive with exogenous...
Persistent link: https://www.econbiz.de/10012418495
This paper examines the volatility spillovers and the time-frequency dependence between crude oil and stock sectors of US and China. We also rely on the effects of the COVID-19 pandemic on spillover effects and portfolio management. The results reveal evidence of strong positive co-movements...
Persistent link: https://www.econbiz.de/10013290646
This study investigates the time-varying and frequency spillovers between G7 stock markets and uncertainty indices of strategic commodities (oil and gold), as well as their implications for diversified portfolios. The results show, using Baruník and Křehlík’s (2018) method, significant...
Persistent link: https://www.econbiz.de/10013291222
The paper examines the interactions of downside risks between crude oil and the automobile sector through the employment of Diebold and Yilmaz (2012) and Diebold and Yılmaz (2014) framework in a static and time-varying perspective. The network connectedness is found to intensify during the...
Persistent link: https://www.econbiz.de/10013302035