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Networks of volatility spillovers among stock markets

Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; … - 2017

In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...

Persistent link: https://www.econbiz.de/10011654569

Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...

Persistent link: https://www.econbiz.de/10011663407

Exchange risk and market integration

Chaieb, Ines; Errunza, Vihang R. - 2014

Market integration and currency risk are two main factors that distinguish international investment and financing decisions. Hence, we investigate the impact of currency factor on the dynamics of market integration. We compare integration indices estimated from conditional international asset...

Persistent link: https://www.econbiz.de/10010337959

Estimating the impacts of US LSAP's on emerging market economies' local currency bond markets

Moore, Jeffrey A.; Nam, Sunwoo; Suh, Myeongguk; Tepper, … - 2013

This paper examines whether large-scale asset purchases (LSAPs) by the Federal Reserve influenced capital flows out of the United States and into emerging market economies (EMEs) and also analyzes the degree of pass-through from long-term U.S. government bond yields to long-term EME bond yields....

Persistent link: https://www.econbiz.de/10009692612

Bilateral investment treaties and sovereign default risk

Eichler, Stefan; Nauerth, Jannik A. - 2021

This paper analyzes the impact of bilateral investment treaties (BITs) on sovereign bond returns of 25 emerging markets from 1993 to 2016. Under a BIT, foreign investors can use an international arbitration scheme to enforce compensation claims against the domestic government in case of direct...

Persistent link: https://www.econbiz.de/10012550356

Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries

Chen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - 2016

This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...

Persistent link: https://www.econbiz.de/10011437764

Stock market contagion in Central and Eastern Europe : unexpected volatility and extreme co-exceedance

Horváth, Roman; Lyócsa, Štefan; Baumöhl, Eduard - 2016

We examine whether there is contagion from the U.S. stock market to six Central and Eastern European stock markets. We … use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative … set of marketrelated variables, we show that during the period from 1998 to 2014, financial contagion occurred, i …

Persistent link: https://www.econbiz.de/10011482691

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

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

Beck, Melanie-Kristin; Hayo, Bernd; Neuenkirch, Matthias - 2012 - This version: 5 January 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/10009409360

The long memory of equity volatility : international evidence

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Sibbertsen, … - 2017

This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in eighty-two countries and that the degree of memory can be related to macroeconomic variables such as inflation, unemployment rates, interest rates or stability of a...

Persistent link: https://www.econbiz.de/10011750751

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