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Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States

Mohammadi, Hassan; Tan, Yuting - In: Econometrics : open access journal 3 (2015) 2, pp. 215-232

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China (Shanghai and Shenzhen) over 2 January 2001 to 8 February 2013 suggest: (1) evidence of unidirectional return spillovers from the US to the other three markets; but no spillover...

Persistent link: https://www.econbiz.de/10011296721

Migration policy uncertainty and stock market investor sentiment

Ordu-Akkaya, Beyza Mina - In: Journal of capital markets studies 2 (2018) 2, pp. 136-147

Purpose - The purpose of this paper is to examine the volatility transmission between migration policy uncertainty indices (MI) of France, Germany, UK and the USA, and respective stock markets of these countries. Therefore, the author's major intention is to understand whether MI is a critical...

Persistent link: https://www.econbiz.de/10012114457

Financial integration and portfolio diversification : evidence from CIVETS stock markets

Saleem, Kashif; Al-Hares, Osama M.; Ahmed, Sheraz - In: Theoretical economics letters 6 (2016) 6, pp. 1304-1314

Persistent link: https://www.econbiz.de/10011659561

Financial market interdependencies : a quantile regression analysis of volatility spillover

Rejeb, Aymen Ben; Arfaoui, Mongi - In: Research in international business and finance 36 (2016), pp. 140-157

Persistent link: https://www.econbiz.de/10011594319

European equity market contagion : an empirical application to Ireland's sovereign debt crisis

Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34

this crisis. During the Irish financial crisis from 2007 to 2010, strong contagion effects are uncovered between Irish … equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the … intervention as a mechanism to mitigate and absorb contagion associated with state-specific financial crises and if possible …

Persistent link: https://www.econbiz.de/10011471074

Financial integration in the GCC region : market size versus national effects

Arin, Kerim Peren; Caporale, Guglielmo Maria; Kyriacou, … - 2019

This paper examines financial spillovers between the four largest equity markets (by market capitalization) in the GCC region using a VAR-GARCH (1,1) framework that sheds light on interdependence as well as the effects of the 2014 oil crisis. Since the UAE is a federation including two stock...

Persistent link: https://www.econbiz.de/10012026436

Emerging equity markets connectedness, portfolio hedging strategies and effectiveness

Harrathi, Nizar; Aloui, Chaker; Houfi, Mohamed Ali; … - In: International journal of financial research 7 (2016) 2, pp. 189-201

Persistent link: https://www.econbiz.de/10011577189

Volatility spillover effects in interregional equity markets : empirical evidence from Brazil and Turkey

Taşdemir, Murat; Yalama, Abdullah - In: Emerging markets finance & trade : a journal of the … 50 (2014) 2, pp. 190-202

Persistent link: https://www.econbiz.de/10010403071

Large Global Volatility Shocks, Equity Markets and Globalisation : 1885-2011

Mehl, Arnaud - 2015

I estimate the transmission of large global volatility shocks in international equity markets from the earlier (pre-1914) to the modern era of globalisation. To that end, I identify 43 such shocks over the period 1885-2011, defined as significant increases in unanticipated volatility in US...

Persistent link: https://www.econbiz.de/10013035639

Volatility : as a driving factor of stock market co-movement

Özbekler, Ali Gencay - 2017

Persistent link: https://www.econbiz.de/10011657925