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Networks of volatility spillovers among stock markets

Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; … - 2017

In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...

Persistent link: https://www.econbiz.de/10011654569

Financial Market Spillovers in Transition Economies

Gelos, Gaston; Sahay, Ratna - 2001

This paper examines financial market comovements across European transition economies and compares their experience to that of other regions. Correlations in monthly indices of exchange market pressures can partly be explained by direct trade linkages, but not by measures of other fundamentals....

Persistent link: https://www.econbiz.de/10014159755

The transmission of emerging market shocks to global equity markets

Cuadro-Sáez, Lucía; Fratzscher, Marcel; Thimann, Christian - In: Journal of empirical finance 16 (2009) 1, pp. 2-17

Persistent link: https://www.econbiz.de/10003800129

Emerging Markets and Financial Crises : Regional, Global or Isolated Shocks?

Kenourgios, Dimitris - 2012

This paper investigates financial contagion of three emerging market crises of the late 1990s, as well as the subprime … the global impact of the Russian default, the contagion effects of the subprime crisis, the regional aspect of the Asian …

Persistent link: https://www.econbiz.de/10013111936

International Financial Transmission : Emerging and Mature Markets

Felices, Guillermo - 2009

important contagion channel through which crises in emerging market economies can affect mature markets. Forecast error variance …

Persistent link: https://www.econbiz.de/10013156817

Global Financial Transmission of Monetary Policy Shocks

Ehrmann, Michael; Fratzscher, Marcel - 2021

The paper shows that US monetary policy has been an important determinant of global equity markets. Analysing 50 equity markets worldwide, we find that returns fall on average around 3.8% in response to a 100 basis point tightening of US monetary policy, ranging from a zero response in some to a...

Persistent link: https://www.econbiz.de/10013317648

Contagion and Interdependence : Measuring CEE Banking Sector Co-Movements

Jokipii, Terhi - 2018

largest Central and Eastern European Countries (CEECs) can be attributed to contagion or to interdependence. Our tests based … on simple unadjusted correlation analysis uncover evidence of contagion between all pairs of countries. Adjusting for … market volatility during turmoil, however, produces different results. We then find contagion from the Czech Republic to …

Persistent link: https://www.econbiz.de/10012934707

Büttner, David; Hayo, Bernd - 2008

We analyse the impact of news on five financial markets in the Czech Republic, Hungary and Poland using a newly constructed data set in a GARCH framework. Macroeconomic shocks (on GDP, inflation rate, current account and trade balance) are constructed as deviations from expected values....

Persistent link: https://www.econbiz.de/10003865756

The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland

Büttner, David; Hayo, Bernd; Neuenkirch, Matthias - 2009

In this paper, we study the effects of euro area and US macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland (CEEC-3) from 1999 to 2006. Using a GARCH model, we examine the impact on daily returns of three-month interest rates, stock market indices, exchange rates...

Persistent link: https://www.econbiz.de/10003849424

Impact of the NYSE Shocks on the European Developed Capital Markets

Dumitriu, Ramona - 2016

This paper explores the impact of the large stock prices increases (positive shocks) and decreases (negative shocks) from the New York Stock Exchange on the returns and volatility of some European developed capital markets. We found that more than a half of shocks from these European stock...

Persistent link: https://www.econbiz.de/10012990733

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