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Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 2009
transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature …. -- Volatility spillovers ; contagion ; stock markets ; emerging markets …
Persistent link: https://www.econbiz.de/10003823970
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Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 2009
tend to be unchanged or lower during turbulences. -- Volatility spillovers ; Contagion ; Stock markets ; Emerging markets …
Persistent link: https://www.econbiz.de/10003963822
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Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 2009
. -- Volatility spillovers ; contagion ; stock markets ; emerging markets …
Persistent link: https://www.econbiz.de/10003808130
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Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
Beirne, John - 2009
This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission mechanism during turbulences in mature markets, and examines the implications for conditional correlations between mature and emerging market returns. Tri-variate GARCH-BEKK...
Persistent link: https://www.econbiz.de/10013154956
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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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The impact of trading liquidity on the rate of return on emerging markets : the example of Poland and the Baltic countries
Gniadkowska-Szymańska, Agata - In: E-Finanse : finansowy kwartalnik internetowy 13 (2017) 4, pp. 136-148
Each type of investment has its own liquidity, i.e. the speed with which it can be converted into money. This can be seen with respect to various instruments (such as stocks or futures contracts), market segments, or even entire exchanges. The importance of liquidity has been acknowledged for a...
Persistent link: https://www.econbiz.de/10011900049
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Emerging Markets Are Catching Up : Economic or Financial Integration?
Akbari, Amir - 2019
We propose a simple metric to measure two aspects of market integration, namely economic integration (defined as a common cash flow dynamic) and financial integration (defined as a common risk pricing dynamic) and then examine their evolution through time while controlling for volatility. We...
Persistent link: https://www.econbiz.de/10012901190
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What Explains Volatility Spillovers in the Financial Systems of Emerging Market Countries : Co-Movement, Transmission, or Contagion?
Ha, Jongrim - 2020
generally consistent with findings in the literature on time-varying, asymmetric, and contagion-shift spillovers. The paper also … transmission, and contagion, by specifying alternative models that restrict the mean equation of the GARCH model. The results … about fundamentals; during crises, however, while common information plays a role, market contagion also becomes an …
Persistent link: https://www.econbiz.de/10012855235
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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
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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