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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

Asymmetric linkages among the fear index and emerging market volatility indices

Badshah, Ihsan Ullah; Bekiros, Stelios; Lucey, Brian M.; … - In: Emerging markets review 37 (2018), pp. 17-31

Persistent link: https://www.econbiz.de/10012114974

Rethinking financial contagion : information transmission mechanism during the COVID-19 pandemic

Yarovaya, Larisa; Brzeszczyński, Janusz; Goodell, John W. - In: Journal of international financial markets, … 79 (2022), pp. 1-23

Persistent link: https://www.econbiz.de/10013358773

Return and Volatility Spillovers in Industrial Metals

Lucey, Brian M. - 2013

Despite their importance there is a relative dearth on spillovers within the industrial metal class. This is particularly acute in regard to volatility spillovers. Using the Diebold and Yilmaz (2009) methodology we analyze these metals over a 20 year period, showing the evolution of volatility...

Persistent link: https://www.econbiz.de/10013071939

Cryptocurrency reaction to FOMC Announcements : evidence of heterogeneity based on blockchain stack position

Corbet, Shaen; Larkin, Charles; Lucey, Brian M.; … - In: Journal of financial stability 46 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012391445

Volatility spillover effects in leading cryptocurrencies : a BEKK-MGARCH analysis

Katsiampa, Paraskevi; Corbet, Shaen; Lucey, Brian M. - In: Finance research letters 29 (2019), pp. 68-74

Persistent link: https://www.econbiz.de/10012417734

Gold Markets Around the World – Who Spills Over What, to Whom, When?

Lucey, Brian M. - 2014

Gold is traded worldwide, mainly in London, New York, Tokyo and Shanghai. We apply the recently developed spillover index approach of Diebold and Yilmaz (2009) to investigate the degree to which these markets are integrated, and which are net senders or recipients of information. The evidence...

Persistent link: https://www.econbiz.de/10013059471

Dynamics and determinants of spillovers across the option-implied volatilities of US equities

Bouri, Elie; Lucey, Brian M.; Roubaud, David - In: The quarterly review of economics and finance : journal … 75 (2020), pp. 257-264

Persistent link: https://www.econbiz.de/10012416566

How does Climate Risk Spillover and Uncertainty Affect US Stock Markets?

Khalfaoui, Rabeh; Mefteh-Wali, Salma; viviani, jean-laurent - 2022

In this study, we attempt to revisit how dependent the US stock market returns are on climate change-related risks (CCRR). In this regard, we use a spillover and connectedness network analysis to assess the strength of the causal effect and transmission pathway of CCRR proxies (green index,...

Persistent link: https://www.econbiz.de/10013406460

How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets?

Khalfaoui, Rabeh; Mefteh-Wali, Salma; Viviani, Jean-Laurent - In: Technological forecasting & social change : an … 185 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10014234848