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Exogenous variables in dynamic conditional correlation models for financial markets

Schopen, Jan-Hendrik - 2012

Dynamic correlation, Exogenous variables, DCCX, Macroeconomic Announcements, Diversification benefits. - In this …

Persistent link: https://www.econbiz.de/10009698136

Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)

Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25

This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two "safe-haven" assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are...

Persistent link: https://www.econbiz.de/10012486245

Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … Index, Consumer Goods Index, Oil & Gas Index, NSE 30 Index, Insurance Index, Industrial Goods Index, Pension Index, and … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …

Persistent link: https://www.econbiz.de/10011862130

Time-frequency based dynamics of decoupling or integration between Islamic and conventional equity markets

Anas, Muhammad; Kayani, Ghulam Mujtaba; Nayyar, Sadaf; … - In: Journal of risk and financial management : JRFM 13 (2020) 7/156, pp. 1-27

correlation, suggesting a rejection of the decoupling hypothesis. However, it is accepted for some of the developed markets of the …

Persistent link: https://www.econbiz.de/10012309357

Co-Movement and Volatility Transmission between Islamic and Conventional Equity Index in Bangladesh

Hasan, Dr. Md. Abu - 2019

-varying correlation between markets applying the GARCH-DCC model, and the results reveal that correlations are not only conditional but … also significantly time-varying. The result also shows that the correlation process is mean reverting. Therefore, we …

Persistent link: https://www.econbiz.de/10012871545

Performance comparison between Islamic and conventional stocks: evidence from Pakistan's equity market

Jabeen, Munazza; Kausar, Saba - In: ISRA international journal of islamic finance : an … 14 (2022) 1, pp. 59-72

Purpose - This paper aims to examine the performance of Islamic and conventional stocks listed at the Pakistan Stock Exchange by using both parametric and non-parametric approaches. The motivation is to do risk-return analysis of Islamic stock prices and conventional stock prices....

Persistent link: https://www.econbiz.de/10013275781

Oil crisis vs pandemic : a broader outlook of time-frequency volatility transmission between Islamic and conventional stock markets

Ur Rehman, Moghis; Saleem, Adil; Sági, Judit - In: Cogent economics & finance 12 (2024) 1, pp. 1-30

This study explores volatility spillovers and financial connectedness between conventional and Islamic equity stock markets in developed, emerging, and frontier economies. Four regions- Gulf Cooperation Council (GCC), South Asian Association for Regional Cooperation (SAARC), Brazil, Russia,...

Persistent link: https://www.econbiz.de/10015374032

Correlation Dynamics of Equity Markets in Pakistan and India : A Comparative Study in the Context of Financial Crisis

Ullah, Inayat - 2015

-Root Tests to identify the correlation and co-integration of these five equity markets during the global financial crisis 2008 …. The analysis reveals a dynamic correlation between the equity markets of developing countries (i.e Pakistan & India) and …

Persistent link: https://www.econbiz.de/10013036331

How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics

Curme, Chester - 2019

identify a meaningful correlation relationship, address different types of correlations and their interplay, and address …

Persistent link: https://www.econbiz.de/10012904056

Time-Varying Correlation Between Oil and Stock Market Volatilities : Evidence From Oil-Importing and Oil-Exporting Countries

Boldanov, Rustam - 2018

This paper investigates the time-varying conditional correlation between oil price and stock market volatility for six … Diag-BEKK model is employed. Our findings report the following regularities. (i) The correlation between the oil and stock …

Persistent link: https://www.econbiz.de/10012910118