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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

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

Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices

Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35

This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...

Persistent link: https://www.econbiz.de/10011539896

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

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

Emerging market portfolios and Islamic financial markets : iversification benefits and safe havens

Bugan, Mehmet Fatih; Cevik, Emrah Ismail; Dibooglu, Sel - In: Borsa Istanbul Review 22 (2022) 1, pp. 77-91

We examine the relationship between Islamic and conventional stock market returns to see if Islamic financial markets provide portfolio diversification benefits and safe havens during turbulent times. Using daily data from January 1996 through September 2020 we consider conventional emerging...

Persistent link: https://www.econbiz.de/10012818015

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

Do China and Oil Exporters Influence Major Currency Configurations?

Fratzscher, Marcel - 2015

Persistent link: https://www.econbiz.de/10012749953

Bond–Equity Yield Ratio Market Timing in Emerging Markets

Dimic, Nebojsa - 2018

This paper investigates the market timing ability of the bond–equity yield ratio (BEYR) from an international investor perspective. Consolidating data on emerging markets, we document no major international evidence that BEYR-based investing strategies, namely extreme values, thresholds, and...

Persistent link: https://www.econbiz.de/10012935689

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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