Similar Search Results

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

Does Cultural Distance Matter in International Stock Market Comovement? Evidence from Emerging Economies Around the World

Zhang, Qiyu - 2009

Prior research suggests an inverse relationship between geographic distance and financial market linkages. In this paper, we examine whether and how cultural distance between countries mitigates this finding. We find that country-pairs exhibit higher linkages if they have smaller cultural...

Persistent link: https://www.econbiz.de/10013154756

Stock Market Contagion of COVID-19 in Emerging Economies

Uddin, Gazi Salah - 2020

The purpose of this paper is to examine the connected dynamics of the affected Asian financial markets and global financial market in relation to the outbreak of the coronavirus (COVID-19) pandemic. We particularly examine the temporal dependence and connectedness of the affected markets with...

Persistent link: https://www.econbiz.de/10012837303

Financial integration and Emerging Markets Capital Structure

Zhang, Qiyu - 2012

This paper investigates the impact of county-level financial integration on corporate financing choices in emerging economies. Examining 4477 public firms from 24 countries, we find that corporate leverage is positively related to credit market integration, while negatively related to equity...

Persistent link: https://www.econbiz.de/10013116668

Structure in Gold and Silver Spread Fluctuations

Batten, Jonathan A. - 2009

We investigate the price spread between gold and silver trading as a futures contract on COMEX. Although the correlation between gold and silver returns during this period was high we find evidence of time varying long term dependence in the spread, with the positive dependent relationship...

Persistent link: https://www.econbiz.de/10012721197

Comovements in Commodity Markets : A Minimum Spanning Tree Analysis

Lucey, Brian M. - 2011

We examine the interrelationships between a large number of commodity series over a 20 year period through the use of minimum spanning trees. We find that there are several distinct clusters, that these are reasonably stable over time, and that the degree of interlinkage is time varying

Persistent link: https://www.econbiz.de/10013120566

Asymmetric linkages among the fear index and emerging market volatility indices

Badshah, Ihsan Ullah; Bekiros, Stelios; Lucey, Brian M.; … - In: Emerging markets review 37 (2018), pp. 17-31

Persistent link: https://www.econbiz.de/10012114974

Rethinking financial contagion : information transmission mechanism during the COVID-19 pandemic

Yarovaya, Larisa; Brzeszczyński, Janusz; Goodell, John W. - In: Journal of international financial markets, … 79 (2022), pp. 1-23

Persistent link: https://www.econbiz.de/10013358773

Return and Volatility Spillovers in Industrial Metals

Lucey, Brian M. - 2013

Despite their importance there is a relative dearth on spillovers within the industrial metal class. This is particularly acute in regard to volatility spillovers. Using the Diebold and Yilmaz (2009) methodology we analyze these metals over a 20 year period, showing the evolution of volatility...

Persistent link: https://www.econbiz.de/10013071939

Does cultural distance matter in international stock market comovement? : evidence from emerging economies around the world

Lucey, Brian M.; Zhang, QiYu - In: Emerging markets review 11 (2010) 1, pp. 62-78

Persistent link: https://www.econbiz.de/10003956558

1
2
3
4
5
6
7
8
9
10
Next
Last