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The 2011 Japanese earthquake, tsunami and nuclear crisis: Evidence of contagion from international financial markets
Asongu, Simplice A. - In: Journal of Financial Economic Policy 4 (2012) 4, pp. 340-353
study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and … heteroscedasticity biases based on correlation coefficients to examine if any contagion occurred across financial markets after the March … foreign exchange markets suffered from contagion, stock markets of Taiwan, Bahrain, Saudi Arabia and South Africa witnessed a …
Persistent link: https://www.econbiz.de/10010814920
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Return and volatility spillovers among CIVETS stock markets
Korkmaz, Turhan; Çevik, Emrah İ.; Atukeren, Erdal - In: Emerging Markets Review 13 (2012) 2, pp. 230-252
Coined in 2009, the CIVETS refers to Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa as a new group of frontier emerging markets with young and growing populations and dynamic economies. We provide a first look into the return and volatility spillovers between the CIVETS countries...
Persistent link: https://www.econbiz.de/10011056986
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When in Peril, Retrench: Testing the Portfolio Channel of Contagion
Broner, Fernando A.; Gelos, R. Gaston; Reinhart, Carmen M. - Barcelona Graduate School of Economics (Barcelona GSE) - 2005
contagion from crisis centers. …
Persistent link: https://www.econbiz.de/10010851351
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Stock market interdependence, contagion, and the U.S. financial crisis: The case of emerging and frontier markets
Samarakoon, Lalith P. - In: Journal of International Financial Markets, … 21 (2011) 5, pp. 724-742
contagion of the U.S. financial crisis by constructing shock models for partially overlapping and non-overlapping markets. There … exists important bi-directional, yet asymmetric, interdependence and contagion in emerging markets, with important regional … variations. Interdependence is driven more by U.S. shocks, while contagion is driven more by emerging market shocks. Frontier …
Persistent link: https://www.econbiz.de/10010572103
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Volatility and return spillovers in Canadian and U.S. industry ETFs
Krause, Timothy; Tse, Yiuman - In: International Review of Economics & Finance 25 (2013) C, pp. 244-259
Exchange-traded funds (ETFs) are now an important source of information dissemination in Canadian and U.S. equity markets, and we provide new evidence regarding price discovery and volatility spillovers in these securities. We find that price discovery flows consistently from the U.S. to Canada...
Persistent link: https://www.econbiz.de/10010588160
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An analysis of South-Eastern European stock markets: Evidence on cointegration and portfolio diversification benefits
Guidi, Francesco; Ugur, Mehmet - In: Journal of International Financial Markets, … 30 (2014) C, pp. 119-136
This paper investigates whether the South-Eastern European (SEE) stock markets of Bulgaria, Croatia, Romania, Slovenia and Turkey are integrated with their developed counterparts in Germany, the UK and the USA. Using static cointegration analysis, we find that the SEE markets are cointegrated...
Persistent link: https://www.econbiz.de/10010789908
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Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis
Aloui, Chaker; Hkiri, Besma - In: Economic Modelling 36 (2014) C, pp. 421-431
This paper examines the short term and long term dependencies between stock market returns for the Gulf Cooperation Council (GCC) Countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia, and the United Arab Emirates) during the period 2005–2010. Our empirical investigation is based on the...
Persistent link: https://www.econbiz.de/10010729811
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Contagion Effects in the European Nyse Euronext Stock Markets in the Context of the 2010 Sovereign Debt Crisis
Horta, Paulo - Centro de Estudos e Formação Avançada em Gestão e … - 2013
This paper analyses the contagion effects of the Greek stock market to the European stock markets of the NYSE Euronext … contagion are performed using copula models. The first test assesses the existence of contagion on the relevant stock markets …’ indices, the second checks the homogeneity of contagion intensities between the indices, and the third compares contagion …
Persistent link: https://www.econbiz.de/10010668028
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The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion
Horta, Paulo; Lagoa, Sérgio; Martins, Luís - In: International Review of Financial Analysis 35 (2014) C, pp. 140-153
contagion. We observed that the 2008 crisis had a greater impact on the memory properties of stock returns than the 2010 …
Persistent link: https://www.econbiz.de/10011077784
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Spreads on Emerging-Market Debt: Global vs. Regional Factors
Cifarelli, Giulio; Paladino, Giovanna - In: Economia Internazionale / International Economics 56 (2003) 2, pp. 255-286
spread co-movements, within and across geographical areas, possibly due to cross-market “contagion” phenomena. Latin American … should be aware of the danger of sudden capital outflows due to regional contagion. …
Persistent link: https://www.econbiz.de/10008512538