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Financial Crises and Contagion Effects between the US and OECD Equity Markets
Abid, Ilyes; Guesmi, Khaled; Kaabia, Olfa; Nguyen, Duc … - Institut de Préparation à l'Administration et à la … - 2014
In this paper we test for the existence of equity market contagion originating from the United States to OECD markets … due to fundamentals and contagion which we define as the excess correlation that is not explained by fundamental factors …. Our results show provide strong evidence of contagion effects originating in US equity markets to the OECD equity markets …
Persistent link: https://www.econbiz.de/10010799071
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Assessing the impacts of oil price fluctuations on stock returns in emerging markets
Aloui, Chaker; Nguyen, Duc Khuong; Njeh, Hassen - In: Economic Modelling 29 (2012) 6, pp. 2686-2695
This paper investigates the effects of oil price shocks on stock market returns in emerging countries. It differs from previous works in three main aspects: i) we distinguish three groups of countries, the largest net-oil importing countries, the moderately oil-dependent countries, and the...
Persistent link: https://www.econbiz.de/10010588236
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Do global factors impact BRICS stock markets? A quantile regression approach
Mensi, Walid; Hammoudeh, Shawkat; Reboredo, Juan Carlos; … - In: Emerging Markets Review 19 (2014) C, pp. 1-17
This paper examines the dependence structure between the emerging stock markets of the BRICS countries and influential global factors. Using the quantile regression approach, our results for the period from September 1997 to September 2013 show that the BRICS stock markets exhibit dependence...
Persistent link: https://www.econbiz.de/10010785354
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Responses of international stock markets to oil price surges: a regimeswitching perspective
Jammazi, Rania; Nguyen, Duc Khuong - Institut de Préparation à l'Administration et à la … - 2014
We propose an enhanced regime-switching model to investigate the relationships between oil price surges and stock market cycles in five oil-dependent countries over the period from January 1989 to December 2007. Our model accounts for the joint effects of the WTI (West Texas Intermediate) and...
Persistent link: https://www.econbiz.de/10010754748
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Testing for Structural Breaks and Dynamic Changes in Emerging Market Volatility
Nguyen, Duc Khuong - 2007
The main objective of this paper is to test for structural breaks and dynamic changes in emerging market volatility from January 1985 to January 2003. We typically relate these issues to stock market reforms since the latter is often considered as one of the most important forces that promote...
Persistent link: https://www.econbiz.de/10012730400
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Market deregulations, volatility and spillover effects : experiences from emerging stockmarkets
Nguyen, Duc Khuong - In: Governance and risk in emerging and global markets, (pp. 89-120). 2005
Persistent link: https://www.econbiz.de/10003182214
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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
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The comovements in international stock markets : new evidence from Latin American emerging countries
Arouri, Mohamed; Bellalah, Mondher; Nguyen, Duc Khuong - In: Applied economics letters 17 (2010) 13/15, pp. 1323-1328
Persistent link: https://www.econbiz.de/10008938299
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The global and regional factors in the volatility of emerging sovereign bond markets
Dinh, Thanh Huong; Nguyen, Duc Khuong - In: American journal of finance and accounting 1 (2008/09) 1, pp. 52-68
Persistent link: https://www.econbiz.de/10003773991
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Dynamic spillovers among major energy and cereal commodity prices
Mensi, Walid; Hammoudeh, Shawkat; Nguyen, Duc Khuong; … - In: Energy Economics 43 (2014) C, pp. 225-243
Over the past decade, the sharp increases in the prices of oil and agricultural commodities have raised serious concerns about the heightened volatility of these markets and the possible negative interactions between them. This article deals with the dynamic return and volatility spillovers...
Persistent link: https://www.econbiz.de/10011100106