Similar Search Results

An empirical analysis for the prediction of a financial crisis in Turkey through the use of forecast error measures

Cavdar, Seyma Caliskan; Aydin, Alev Dilek - In: Journal of risk and financial management : JRFM 8 (2015) 3, pp. 337-354

In this study, we try to examine whether the forecast errors obtained by the ANN models affect the breakout of financial crises. Additionally, we try to investigate how much the asymmetric information and forecast errors are reflected on the output values. In our study, we used the exchange rate...

Persistent link: https://www.econbiz.de/10011545129

A wavelet perspective of crisis contagion between advanced economies and the BRIC markets

Gurdgiev, Constantin; O'Riordan, Conor - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-29

and volatility. In addition to covering the periods of the dot.com crash, the 11 September 2001 events, the pre-2007 … financialization bubble period and the resulting Global Financial Crisis, we study volatility spillovers arising from the BRIC, U …

Persistent link: https://www.econbiz.de/10012794261

Volatility in international stock markets : an empirical study during COVID-19

Chaudhary, Rashmi; Bakhshi, Priti; Gupta, Hemendra - In: Journal of risk and financial management : JRFM 13 (2020) 9/208, pp. 1-17

Predicting volatility is a must in the finance domain. Estimations of volatility, along with the central tendency … research is to analyze the influence of COVID-19 on the return and volatility of the stock market indices of the top 10 … volatility remains higher than in normal periods, signaling a bearish tendency in the market. The COVID variable, as an exogenous …

Persistent link: https://www.econbiz.de/10012384430

The impact of ESG ratings on the systemic risk of European blue-chip firms

Eratalay, Mustafa Hakan; Cortés Ángel, Ariana Paola - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-41

indicate that (1) the volatility of a stock’s returns and its centrality measures in the stock network are the main sources … exposure compared to firms with lower ESG ratings and (3) COVID-19 augmented the partial effects of volatility, centrality …

Persistent link: https://www.econbiz.de/10013168839

The impact of the U.S. macroeconomic variables on the CBOE VIX Index

Prasad, Akhilesh; Bakhshi, Priti; Seetharaman, Arumugam - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-25

The purpose of this study is to find the influence of various macroeconomic factors on the volatility index, as … macroeconomic factors affect stock market volatility, resulting in an impact on the VIX Index, representing the risk in the stock … market. To estimate the significance and importance of the U.S. macroeconomic variables on stock market volatility and risk …

Persistent link: https://www.econbiz.de/10013163867

Measures of volatility, crises, sentiment and the role of U.S. "fear" index (VIX) on herding in BRICS (2007-2021)

Zhang, Hang; Giouvris, Evangelos - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-42

We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our … relationship between volatility and CSAD (cross sectional absolute deviation)/herding, a lower CSAD (movement in a specific … direction) brings about less volatility. However, a high volatility amplifies herding (reduces CSAD), especially in China …

Persistent link: https://www.econbiz.de/10013164975

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 : JRFM 12 (2019) 2/94, pp. 1-18

volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including … of volatility. Results from the conditional heteroskedasticity long memory model show the evidence of long memory in the …

Persistent link: https://www.econbiz.de/10012022043

Contagion effect of natural disaster and financial crisis events on international stock markets

Lee, Kuo-Jung; Lu, Su-Lien; Shih, You - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-25

In the contemporary world bustling with global trade, a natural disaster or financial crisis in one country (or region) can cause substantial economic losses and turbulence in the local financial markets, which may then affect the economic activities and financial assets of other countries (or...

Persistent link: https://www.econbiz.de/10011855248

Contagion risks in emerging stock markets : new evidence from Asia and Latin America

Thi Bich Ngoc Tran - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-20

The purpose of this study is to investigate whether contagion actually occurred during three well-known financial crises in 1990s and 2000s: Mexican “Tequila” crisis in 1994, Asian “flu” crisis in 1997 and US subprime crisis in 2007. We apply dynamic conditional correlation models...

Persistent link: https://www.econbiz.de/10011960394

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 … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …

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