This paper introduces a model-free connectedness approach by constraining the model-based connectedness approach of Diebold and Yilmaz (2012). By doing so, we demonstrate how the adoption of this benchmark model is relevant for statistical, theoretical, and practical purposes as well as...

This study examines the contemporaneous return transmission mechanism across the G20 stock market returns employing a novel R-Square (R2) connectedness framework combining the network approach of Kenett et al. (2010, 2015) and the connectedness approach of Diebold and Yilmaz (2012, 2014). The...

In establishing the foundation for their investment process, investors typically set up the investment framework first by dividing their investment universes into different buckets along the combinations of multiple sensible dimensions such as geography and industry. As the framework is applied...

We investigate connectedness within a network of environmental indices and crude oil by utilizing state-of-the-art empirical methods. Focusing on the relevance of both mean and volatility dynamics, we find that mean dynamics persistently account for less than 5% of overall dynamics implying...

The aim of this paper is to examine whether or not financial liberalization has triggered banking crises in developing countries. We focus in particular on the role of capital inflows as their volatilities threat economic stability. In the empirical model, based on Panel Logit estimation, we use...

Based on a sample of 16 QDII Equity Funds in China established before 2010, this paper evaluates the performance of these funds during 2009 to 2013 by risk-adjusted measures of return and analyzes the influencing factors of performance using panel data models. Empirical study shows that most...

Many interdisciplinary studies of the 2007–2008 global financial crisis examine the causes of crisis, corporate governance and firm value, stock market efficiency, new firm registration, macroeconomic performance, and compare this crisis to previous crises. However, we do not find conceptual...

The international capital flows are intensifying due to the deepening of globalization and diversification of portfolios in international capital markets. These factors have contributed to the increased integration of international financial markets. A VAR model is carried out to analyze how a...

The international capital flows are intensifying due to the deepening of globalization and diversification of portfolios in international capital markets. These factors have contributed to the increased integration of international financial markets. A VAR model is carried out to analyze how a...

In this paper a Kalman-filter type model is used to extract a global stochastic trend from discrete non-synchronous data on daily stock market index returns from different markets . The model allows for the autocorrelation in the global stochastic trend, which means that its increments are...