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Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X.; Yilmaz, Kamil - 2007
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...
Persistent link: https://www.econbiz.de/10010298351
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Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X.; Yilmaz, Kamil - Center for Financial Studies - 2007
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...
Persistent link: https://www.econbiz.de/10010958768
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Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
Diebold, Francis X.; Yilmaz, Kamil - Department of Economics, University of Pennsylvania - 2007
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...
Persistent link: https://www.econbiz.de/10005126716
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Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
Diebold, Francis X.; Yılmaz, Kamil - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2007
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...
Persistent link: https://www.econbiz.de/10005727165
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Contagion and Interdependence : Measuring CEE Banking Sector Co-Movements
Jokipii, Terhi - 2018
largest Central and Eastern European Countries (CEECs) can be attributed to contagion or to interdependence. Our tests based … on simple unadjusted correlation analysis uncover evidence of contagion between all pairs of countries. Adjusting for … market volatility during turmoil, however, produces different results. We then find contagion from the Czech Republic to …
Persistent link: https://www.econbiz.de/10012934707
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Economic and Financial Integration in Europe
Bekaert, Geert - 2017
We use industry valuation differentials across European countries to study the impact of membership in the European Union as well as the Eurozone on economic and financial integration. In integrated markets, discount rates and expected growth opportunities should be similar within one industry,...
Persistent link: https://www.econbiz.de/10012958650
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Does Cultural Distance Matter in International Stock Market Comovement? Evidence from Emerging Economies Around the World
Zhang, Qiyu - 2009
Prior research suggests an inverse relationship between geographic distance and financial market linkages. In this paper, we examine whether and how cultural distance between countries mitigates this finding. We find that country-pairs exhibit higher linkages if they have smaller cultural...
Persistent link: https://www.econbiz.de/10013154756
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Emerging Equity Markets in a Globalizing World
Bekaert, Geert - 2017
Given the dramatic globalization over the past twenty years, does it make sense to segregate global equities into “developed” and “emerging” market buckets? We argue that the answer is still yes. While correlations between developed and emerging markets have increased, the process of...
Persistent link: https://www.econbiz.de/10012973844
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Emerging Equity Markets in a Globalizing World
Bekaert, Geert - 2014
Given the dramatic globalization over the past twenty years, does it make sense to segregate global equities into “developed” and “emerging” market buckets? We argue that the answer is still yes. While correlations between developed and emerging markets have increased, the process of...
Persistent link: https://www.econbiz.de/10013051425
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Stock Market Contagion of COVID-19 in Emerging Economies
Uddin, Gazi Salah - 2020
The purpose of this paper is to examine the connected dynamics of the affected Asian financial markets and global financial market in relation to the outbreak of the coronavirus (COVID-19) pandemic. We particularly examine the temporal dependence and connectedness of the affected markets with...
Persistent link: https://www.econbiz.de/10012837303