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Contagion effects and volatility impulse responses between US and Asian stock markets

Kang, Sang Hoon; Ko, Hee-un; Yoon, Seong-min - In: Korea and the world economy 18 (2017) 2, pp. 111-130

Persistent link: https://www.econbiz.de/10011736792

Global financial crisis and spillover effects among the U.S. and BRICS stock markets

Mensi, Walid; Hammoudeh, Shawkat; Nguyen, Duc Khuong; … - In: International review of economics & finance : IREF 42 (2016), pp. 257-276

Persistent link: https://www.econbiz.de/10011625114

Modeling time-varying correlations in volatility between BRICS and commodity markets

Kang, Sang Hoon; McIver, Ron; Yoon, Seong-min - In: Emerging markets finance & trade : a journal of the … 52 (2016) 7/9, pp. 1698-1723

Persistent link: https://www.econbiz.de/10011594437

Dynamic global linkages of the brics stock markets with the United States and Europe under external crisis shocks : implications for portfolio risk forecasting

Hammoudeh, Shawkat; Kang, Sang Hoon; Mensi, Walid; … - In: The world economy : the leading journal on … 39 (2016) 11, pp. 1703-1727

Persistent link: https://www.econbiz.de/10011584204

Dynamic linkages between developed and BRICS stock markets : portfolio risk analysis

Mensi, Walid; Hammoudeh, Shawkat; Kang, Sang Hoon - In: Finance research letters 21 (2017), pp. 26-33

Persistent link: https://www.econbiz.de/10011807276

Dynamic spillovers between Shanghai and London nonferrous metal futures markets

Kang, Sang Hoon; Yoon, Seong-min - In: Finance research letters 19 (2016), pp. 181-188

Persistent link: https://www.econbiz.de/10011657617

Multifractality during upside/downside trends in the MENA stock markets : the effects of the global financial crisis, oil crash and COVID-19 pandemic

Mensi, Walid; Yousaf, Imran; Vo Xuan Vinh; Kang, Sang Hoon - In: International journal of emerging markets 18 (2023) 10, pp. 4408-4435

Persistent link: https://www.econbiz.de/10014456152

Regime specific spillover across cryptocurrencies and the role of COVID-19

Shahzad, Syed Jawad Hussain; Bouri, Elie; Kang, Sang Hoon; … - In: Financial innovation : FIN 7 (2021), pp. 1-24

The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes, while considering three pricing factors and the effect of the COVID-19 outbreak. To do so, we apply a Markov regime-switching (MS) vector autoregressive with exogenous...

Persistent link: https://www.econbiz.de/10012418495

Structural breaks and double long memory of cryptocurrency prices : a comparative analysis from Bitcoin and Ethereum

Mensi, Walid; Al-Yahyaee, Khamis Hamed; Kang, Sang Hoon - In: Finance research letters 29 (2019), pp. 222-230

Persistent link: https://www.econbiz.de/10012418764

Price and Volatility Transmission between ADRs and Their Underlying Stocks : Evidence from the Korean Case

Kang, Sang Hoon - 2016

This study investigates the spillover effect of price returns and volatility between ADRs and their underlying Korean stocks, employing a Granger causality test and a bivariate GARCH model. First, the empirical results of Granger causality test suggest bi-directional transmission of price...

Persistent link: https://www.econbiz.de/10013000615