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Equity market contagion in return volatility during Euro Zone and global financial crises: Evidence from FIMACH model

Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; … - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-18

The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including the US, UK, Euro Zone and BRICS (Brazil, Russia,...

Persistent link: https://www.econbiz.de/10012611104

Assessing the risk characteristics of the cryptocurrency market: A GARCH-EVT-Copula approach

Bruhn, Pascal; Ernst, Dietmar - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-28

The cryptocurrency market offers significant investment opportunities but also entails higher risks as compared to other asset classes. This article aims to analyse the financial risk characteristics of individual cryptocurrencies and of a broad cryptocurrency market portfolio. We construct a...

Persistent link: https://www.econbiz.de/10014332547

Sail away to a safe harbor? Covid-19 vaccinations and the volatility of travel and leisure companies

Demir, Ender; Kizys, Renatas; Rouatbi, Wael; Zaremba, Adam - In: Journal of Risk and Financial Management 15 (2022) 4, pp. 1-21

This paper examines the impact of vaccination programs on the stock market volatility of the travel and leisure sector. Using daily data from 56 countries over the period from January 2020 to March 2021, we find that vaccination leads to a decrease in the investment risk of travel and leisure...

Persistent link: https://www.econbiz.de/10014332383

Do stock market volatility and cybercrime affect cryptocurrency returns? Evidence from South African economy

Mthembu, Nosipho; Sanusi, Kazeem Abimbola; Eita, Joel … - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-15

The study investigates the effects of stock market volatility and cybercrime on cryptocurrency returns in the South African economy. Daily time series data on four different types of cryptocurrencies (Bitcoin, Ethereum, Tether, and BMB) were employed. The data covers the period from 1 January...

Persistent link: https://www.econbiz.de/10014332745

Dimension reduction via penalized GLMs for non-Gaussian response: Application to stock market volatility

Li, Tao; Desmond, Anthony F.; Stengos, Thanasēs - In: Journal of Risk and Financial Management 14 (2021) 12, pp. 1-26

We fit U.S. stock market volatilities on macroeconomic and financial market indicators and some industry level financial ratios. Stock market volatility is non-Gaussian distributed. It can be approximated by an inverse Gaussian (IG) distribution or it can be transformed by Box-Cox transformation...

Persistent link: https://www.econbiz.de/10013201266

COVID-19 vaccinations and the volatility of energy companies in international markets

Demir, Ender; Kizys, Renatas; Rouatbi, Wael; Zaremba, Adam - In: Journal of Risk and Financial Management 14 (2021) 12, pp. 1-21

The COVID-19 pandemic has elevated both the risk and volatility of energy companies. Can mass vaccinations restore stability within this sector? To answer this question, we investigate stock market data from fifty-eight countries from January 2020 to April 2021. We document that vaccination...

Persistent link: https://www.econbiz.de/10013201294

The effect of index option trading on stock market volatility in China: An empirical investigation

Wu, Kai; Liu, Yi; Feng, Weiyang - In: Journal of Risk and Financial Management 15 (2022) 4, pp. 1-19

In this study, we examine the effect of introducing SSE 50ETF index options trading on stock market volatility using a panel data evaluation approach. Based on the cross-sectional dependence among international stock indices and macroeconomic indicators, we estimate the counterfactual volatility...

Persistent link: https://www.econbiz.de/10013201453

Financial compass for Slovak enterprises: Modeling economic stability of agricultural entities

Valaskova, Katarina; Durana, Pavol; Adamko, Peter; … - In: Journal of Risk and Financial Management 13 (2020) 5, pp. 1-16

The risk of corporate financial distress negatively affects the operation of the enterprise itself and can change the financial performance of all other partners that come into close or wider contact. To identify these risks, business entities use early warning systems, prediction models, which...

Persistent link: https://www.econbiz.de/10012611321

Models for risk aggregation and sensitivity analysis: An application to bank economic capital

Inanoglu, Hulusi; Jacobs, Michael - In: Journal of Risk and Financial Management 2 (2009) 1, pp. 118-189

) on the same data-sets across banks, comparing absolute total risk measures (Value-at-Risk - VaR and proportional … diversification benefits-PDB), goodness-of-fit (GOF) of the model as data as well as the variability of the VaR estimate with respect … it is found to be more conservatism and stable than the other models. We observe that ECS produces 20% to 30% higher VaR …

Persistent link: https://www.econbiz.de/10011843220

Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital

Inanoglu, Hulusi; Jacobs, Michael - In: Journal of Risk and Financial Management 2 (2009) 1, pp. 118-189

) on the same data-sets across banks, comparing absolute total risk measures (Value-at-Risk – VaR and proportional … diversification benefits-PDB), goodness-of-fit (GOF) of the model as data as well as the variability of the VaR estimate with respect … it is found to be more conservatism and stable than the other models. We observe that ECS produces 20% to 30% higher VaR …

Persistent link: https://www.econbiz.de/10010699159