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Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda

Katusiime, Lorna - In: Economies 7 (2019) 1, pp. 1-17

Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) techniques, namely the dynamic conditional correlation (DCC … and MGARCH techniques indicate low levels of volatility spillover and market interconnectedness except during crisis …. Specifically, the results of the MGARCH analysis show that the DCC model produces the best results. The obtained results point to …

Persistent link: https://www.econbiz.de/10013199514

Büttner, David; Hayo, Bernd - 2008

We analyse the impact of news on five financial markets in the Czech Republic, Hungary and Poland using a newly constructed data set in a GARCH framework. Macroeconomic shocks (on GDP, inflation rate, current account and trade balance) are constructed as deviations from expected values....

Persistent link: https://www.econbiz.de/10010265866

The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland

Büttner, David; Hayo, Bernd; Neuenkirch, Matthias - 2009

In this paper, we study the effects of euro area and US macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland (CEEC-3) from 1999 to 2006. Using a GARCH model, we examine the impact on daily returns of three-month interest rates, stock market indices, exchange rates...

Persistent link: https://www.econbiz.de/10010271167

News and correlations of CEEC-3 financial markets

Büttner, David; Hayo, Bernd - 2009

We investigate conditional correlations between six CEEC-3 financial markets estimated by DCC-MGARCH models. In general …

Persistent link: https://www.econbiz.de/10010271169

Central bank communication and correlation between financial markets: Canada and the United States

Beck, Melanie-Kristin; Hayo, Bernd; Neuenkirch, Matthias - 2012

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 and December 2006 in the framework of Diagonal-BEKK models. Our research question is whether monetary policy action and communication by the Bank of Canada and the Federal...

Persistent link: https://www.econbiz.de/10010286380

Private information, human capital, and optimal 'home bias' in financial markets

Ehrlich, Isaac; Shin, Jong Kook; Yin, Yong - 2011

By allowing for imperfectly informed markets and the role of private information, we offer new insights about observed deviations of portfolio concentrations in domestic relative to foreign risky assets, or home bias, from what standard finance models predict. Our model ascribes the bias to...

Persistent link: https://www.econbiz.de/10010286893

Book-to-market decomposition, net share issuance, and the cross section of global stock returns

Blackburn, Douglas W.; Cakici, Nusret - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-29

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Persistent link: https://www.econbiz.de/10012611108

Multi-factor asset-pricing models under Markov regime switches: Evidence from the Chinese stock market

Chen, Jieting; Kawaguchi, Yuichiro - In: International Journal of Financial Studies 6 (2018) 2, pp. 1-19

This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a persistent bear market and a bull market. In...

Persistent link: https://www.econbiz.de/10011996104

Measuring global financial market stresses

Groen, Jan J. J.; Nattinger, Michael B.; Noble, Adam I. - 2020

We propose measures of financial market stress for forty-six countries and regions across the world. Our measures indicate that worldwide financial market stresses rose significantly in March following the widespread economic shutdowns in the wake of the COVID-19 pandemic. However, hardly...

Persistent link: https://www.econbiz.de/10012619517

Determinants of Financial Stress in Emerging Market Economies

Park, Cyn-young; Mercado, Rogelio V. - 2013

The global financial crisis of 2008-2009 illustrates how financial turmoil in advanced economies could trigger severe financial stress in emerging markets. Previous studies dealing with financial crises and contagion show the linkages through which financial stress are transmitted from advanced...

Persistent link: https://www.econbiz.de/10011432693