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The Relationship between Stock Returns and Volatility in the Seventeen Largest International Stock Markets : A Semi-Parametric Approach

Dimitriou, Dimitrios I. - 2013

We empirically investigate the relationship between expected stock returns and volatility in the twelve EMU countries … returns and volatility for most of the markets. However, using a flexible semi-parametric specification for the conditional … related issue, the asymmetric reaction of volatility to positive and negative shocks in stock returns confirming a negative …

Persistent link: https://www.econbiz.de/10013091908

Stock return dynamics and stock market interdependencies

Tsouma, Ekaterini - In: Applied financial economics 17 (2007) 10/12, pp. 805-825

Persistent link: https://www.econbiz.de/10003537547

Commonality in Mutual Fund Flows and Global Market Integration

Nguyen, Anh Tuan; Rakowski, David A. - 2022

We examine global integration in the market for asset management, as indicated by the correlation of mutual fund flows across domiciles. We observe no leading role for the US relative to flows in other domiciles. We do observe a strong global factor in MF flows, and global integration is linked...

Persistent link: https://www.econbiz.de/10013307925

Does beta explain global equity market volatility : some empirical evidence

Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66

country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …

Persistent link: https://www.econbiz.de/10009770247

Does financial integration affect real exchange rate volatility and cross-country equity market returns correlation?

Donadelli, Michael; Paradiso, Antonio - In: The North American journal of economics and finance : a … 28 (2014), pp. 206-220

Persistent link: https://www.econbiz.de/10010461957

The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets

Öztek, Mehmet Fatih; Öcal, Nadir - In: Empirical economics : a journal of the Institute for … 50 (2016) 2, pp. 317-360

Persistent link: https://www.econbiz.de/10011453995

Are global systematic risk and country-specific idiosyncratic risk priced in the integrated world markets

Hueng, C. James - In: International review of economics & finance : IREF 33 (2014), pp. 28-38

Persistent link: https://www.econbiz.de/10010531290

A tripartite inquiry into volatility-efficiency-integration nexus : case of emerging markets

Rizvi, Syed Aun Raza; Arshad, Shaista; Nafis Alam - In: Emerging markets review 34 (2018), pp. 143-161

Persistent link: https://www.econbiz.de/10012114691

Time-varying asymmetric tail dependence of international equities markets

Zhou, Chunyang; Qin, Xiao - In: Pacific-Basin finance journal 68 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013332425

Time-Varying Asymmetric Tail Dependence of International Equities Markets

Zhou, Chunyang; Qin, Xiao - 2022

In this paper, we use the skewed t copula with a DCC (Dynamic Conditional Correlation) model to capture the time-varying asymmetric tail dependence among MSCI US, Europe and Emerging markets. The empirical results show that it is important to take account of asymmetric tail dependence when...

Persistent link: https://www.econbiz.de/10014239631

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