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Volatility Spillovers between Stock and Currency Markets : Evidence from Emerging Eastern Europe
Fedorova, Elena - 2009
markets and Russia, second we investigate the relationship among the currency markets of Poland, Hungry, Russia and Czech … markets. Results show clear evidence of Eastern European markets integration within the region and with Russia as well …
Persistent link: https://www.econbiz.de/10013156807
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Government intervention in Russian bourse: a case of financial contagion
Khan, Salman; Batteau, Pierre - In: Journal of Financial Economic Policy 4 (2012) 4, pp. 320-339
by exploring the level of integration between Russia and the USA and European equity markets. Design … linkages between Russia, the US and Europe. When examined in a portfolio setup, the results show sudden fall in correlation …
Persistent link: https://www.econbiz.de/10010616662
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Stock market integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by …
Persistent link: https://www.econbiz.de/10003942221
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Stock Market Integration between Three CEECs, Russia and the UK
Caporale, Guglielmo Maria - 2013
Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by …
Persistent link: https://www.econbiz.de/10013095004
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Measuring Volatility Spillover in Russian Equity Market : A Multivariate GARCH Approach
Khan, Salman - 2011
markets. We put to test the government's claim by exploring the volatility linkages of Russia versus US and Europe. We found …
Persistent link: https://www.econbiz.de/10013133491
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Effectiveness of portfolio diversification and the dynamic relationship betweenstock and currency markets in the emerging Eastern European and Russian markets
Lee, Yen-Hsien; Fang, Hao; Su, Wei-fan - In: Finance a úvěr 64 (2014) 4, pp. 296-311
Persistent link: https://www.econbiz.de/10010399924
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International Linkage of the Russian Market and the Russian Financial Crisis : A Multivariate GARCH Analysis
Saleem, Kashif - 2008
transmission of the Russia's 1998 financial crisis utilizing the GARCH-BEKK model proposed by Engle and Kroner (1995). We find …
Persistent link: https://www.econbiz.de/10014217287
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Exchange rate management in emerging markets : intervention via an electronic limit order book
Melvin, Michael; Menkhoff, Lukas; Schmeling, Maik - 2009
This paper describes and analyzes the implementation of a crawling exchange rate band on an electronic trading platform. The placement of limit orders at the central bank's target rate serves as a credible policy statement that may coordinate beliefs of market participants. We find for our...
Persistent link: https://www.econbiz.de/10003850509
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Learning from post-trade identity disclosure in electronic trading
Menkhoff, Lukas; Schmeling, Maik - 2009
This paper shows how traders learn from post-trade identity disclosure in a currency limit order market. We establish that identity disclosure reveals information and show how traders react by reversing their order flow in line with the better informed. Informed traders primarily incorporate...
Persistent link: https://www.econbiz.de/10003817155
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Exchange Rate Management in Emerging Markets : Intervention via an Electronic Limit Order Book
Melvin, Michael - 2013
This paper describes and analyzes the implementation of a crawling exchange rate band on an electronic trading platform. The placement of limit orders at the central bank's target rate serves as a credible policy statement that may coordinate beliefs of market participants. We find for our...
Persistent link: https://www.econbiz.de/10013095898