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The Nature of Volatility Spillovers Across the International Capital Markets

Peralta, Gustavo - 2019

This paper studies the nature of volatility spillovers across countries from the per-spective of network theory and by relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN) where the nodes correspond to large-cap international...

Persistent link: https://www.econbiz.de/10012868889

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

Testing for financial spillovers in calm and turbulent periods

Aliyu, Shehu U. R.; Abdulsalam, Nafiu B.; Bawa, Sani - In: West African journal of monetary and economic integration 18 (2018) 2, pp. 1-27

, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese … spillover and contagion effects from and across the financial markets as well. Posterior estimates show that the behavior of the … to turbulent regimes. Invariably, this validates the expectation that contagion is transmitted from the stronger markets …

Persistent link: https://www.econbiz.de/10013348418

Dynamic connectedness and volatility spillover effects of Indian stock market with international stock markets : an empirical investigation using DCC GARCH

Sainath, A. R.; Gnanendra, M.; Mohanasundaram, T.; … - In: Scientific papers of the University of Pardubice 31 (2023) 1, pp. 1-10

, suggesting the presence of contagion effects. Additionally, we find bidirectional spillover between the Indian stock market and …

Persistent link: https://www.econbiz.de/10014442259

Volatility Spillovers between Stock and Currency Markets : Evidence from Emerging Eastern Europe

Fedorova, Elena - 2009

The purpose of this study is in three folds. First we look at the linkage between Eastern European emerging equity markets and Russia, second we investigate the relationship among the currency markets of Poland, Hungry, Russia and Czech Republic. Finally, we examine the interdependence between...

Persistent link: https://www.econbiz.de/10013156807

Dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets : evidence from developed and emerging countries

Sahabuddin, Mohammad; Md. Aminul Islam; Tabash, Mosab I.; … - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-19

This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional and Islamic stock markets in developed and emerging countries in order to develop better portfolio and asset allocation strategies. We used both multivariate GARCH (MGARCH) and...

Persistent link: https://www.econbiz.de/10014305816

The interplay between oil and food commodity prices : has it changed over time?

Peersman, Gert; Rüth, Sebastian; Van der Veken, Wouter - 2019

Using time-varying BVARs, we find that oil price increases caused by oil supply shocks did not affect food commodity prices before the start of the millennium, but had positive spillover effects in more recent periods. Likewise, shortfalls in global food commodity supply - resulting from bad...

Persistent link: https://www.econbiz.de/10012064355

The interplay between oil and food commodity prices : has it changed over time?

Peersman, Gert; Rüth, Sebastian; Van der Veken, Wouter - 2019

Persistent link: https://www.econbiz.de/10012098873

Price and Volatility Spillovers between Global Equity, Gold, and Energy Markets Prior to and during the COVID-19 Pandemic

Elgammal, Mohammed - 2020

This study sets out to provide fresh evidence on the dynamic interrelationships, at both return and volatility levels, between global equity, gold, and energy markets prior to and during the outbreak of the novel coronavirus. We undertake our analysis within a bivariate GARCH(p, q) framework,...

Persistent link: https://www.econbiz.de/10012822913

Volatility Spillovers between Major International Financial Markets During the COVID-19 Pandemic

Wang, Dong - 2020

This paper studies the dynamic change of volatility spillovers between several major international financial markets during the global COVID-19 pandemic using Diebold and Yilmaz's connectedness index. We found that the total volatility spillover in this March reached its highest level of recent...

Persistent link: https://www.econbiz.de/10012828891