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Asymmetric volatility spillovers between developed and developing European countries
Bevilacqua, Mattia - 2018
This paper aims to examine the volatility spillovers among three asset classes, namely, equity, currency and credit among developed European countries and developing Central Eastern European countries in response to political, economic and financial events occurred in the Eurozone in the last...
Persistent link: https://www.econbiz.de/10011890791
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Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda
Katusiime, Lorna - In: Economies : open access journal 7 (2019) 1/1, pp. 1-17
This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically, the study investigates the spillover effects between oil and food price volatility and the volatility of a key macroeconomic indicator of importance to financial stability:...
Persistent link: https://www.econbiz.de/10012021528
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Financial integration into EU : the Romanian case
Bozkurt, İbrahim; Akman, Engin - In: Amfiteatru economic : an economic and business research … 18 (2016) 42, pp. 269-285
The aim of this study is to investigate the determinants of integration between stock market of Romania and other stock markets of European Union (EU) countries. Correlations between the stock returns represent the level of integration between the stock markets. Empirical analysis are performed...
Persistent link: https://www.econbiz.de/10011842988
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To what extent are stock returns driven by mean and volatility spillover effects? : evidence from eight European stock markets
Alikhanov, Abdulla - In: Národohospodářský obzor : časopis věnovaný … 13 (2013) 1, pp. 3-29
Persistent link: https://www.econbiz.de/10010193320
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Examining evidence of "shift-contagion" in African stock markets : a CoVaR-copula approach
Boako, Gideon; Alagidede, Paul - In: Review of development finance 7 (2017) 2, pp. 142-156
This paper examines for the first time contagion to African stock markets with particular attention to the …, during (both turmoil and acute), and post periods of the 2007-2009 global financial crisis. We analyzed contagion by … successive periods and tested for significance of contagion using the Kolmogorov-Smirnoff (KS) bootstrap technique. We used the …
Persistent link: https://www.econbiz.de/10011779566
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Do China and oil exporters influence major currency configurations?
Fratzscher, Marcel; Mehl, Arnaud - 2008
This paper analyses the impact of the shift away from a US dollar focus of systemically important emerging market economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US dollar exchange rate regimes remain pervasive and...
Persistent link: https://www.econbiz.de/10003825947
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Do China and Oil Exporters Influence Major Currency Configurations?
Fratzscher, Marcel - 2015
This paper analyses the impact of the shift away from a US dollar focus of systemically important emerging market economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US dollar exchange rate regimes remain pervasive and...
Persistent link: https://www.econbiz.de/10012749953
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The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis
Beirne, John - 2014
debt crisis. It shows that a deterioration in countries' fundamentals and fundamentals contagion – a sharp rise in the … spreads during the crisis, not only for euro area countries but globally. By contrast, regional spill overs and contagion have … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …
Persistent link: https://www.econbiz.de/10013061742
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On the Relationship between Exchange Rates and Stock Prices : Evidence from Emerging Markets
Cakan, Esin - 2014
This study examines dynamic linkages between the exchange rates and stock prices for twelve emerging market countries for the period from May 1994 to April 2010 by using linear and non-linear Granger causality tests. Our empirical results show that stock prices and exchange rates have linear and...
Persistent link: https://www.econbiz.de/10013062443
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The financial connectedness between eurozone core and periphery : a disaggregated view
Magkonis, Georgios; Tsopanakis, Andreas - 2017
This paper examines the financial stress interconnectedness among GIIPS economies and Germany. Based on market level financial stress indices, it examines the stress transmission process as well as the causal network relationships in banking sector, bond, money and stock markets. The period...
Persistent link: https://www.econbiz.de/10011759684