Similar Search Results

Modeling international stock market contagion using multivariate fractionally integrated APARCH approach

Mighri, Zouheir; Mansouri, Faysal - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-25

plunging stock market in the US, in the aftermath of global financial crisis (2007 - 2009), exerts contagion effects on … terms, and time-varying correlations. The empirical analysis shows a contagion effect for Brazil and Mexico during the early …

Persistent link: https://www.econbiz.de/10011559137

Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies

Dedi, Lidija; Yavas, Burhan F. - In: Cogent Economics & Finance 4 (2016) 1, pp. 1-18

This paper investigates linkages among equity market returns and volatility spillovers in the following countries: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies are applied to daily data on country exchange-traded...

Persistent link: https://www.econbiz.de/10011988707

Dynamic currency linkages between select emerging market economies: An empirical study

Mittal, Arjun; Sehgal, Sanjay; Mittal, Anand - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-31

and stood at 0.29, which rose to 0.39 in the post-crisis period implying contagion effects. Based on both ADCC results and …

Persistent link: https://www.econbiz.de/10014001605

Effect of catastrophic disaster in financial market contagion

Siddikee, Md. Noman; Rahman, Mohammad Mafizur - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-13

The study examined the contagion effect of financial market volatility from Australian capital market to Indian, New … residuals after the catastrophes. Finally, Fishers r to z transformation was used for identifying contagion. After Victoria … respective z > +1.96 validates contagion. The adjusted correlation coefficient of Australia with China and Japan increased after …

Persistent link: https://www.econbiz.de/10011988709

External debt and current account adjustments: The role of trade openness

Ibhagui, Oyakhilome Wallace - In: Cogent Economics & Finance 6 (2018) 1, pp. 1-42

In this paper, we examine the various links among external debt, trade openness and current account in Sub-Saharan Africa, utilizing an approach that highlights current account from the perspective of saving and investment. We explore whether external debt aids the subsequent adjustment process...

Persistent link: https://www.econbiz.de/10011988847

Geographic loan diversification and bank risk: A cross-country analysis

In: Cogent Economics & Finance 8 (2020) 1, pp. 1-19

This study investigates the geographic loan expansion on bank risk using the aggregate data of 53 countries from 2005 to 2016 using the system generalized method of moments. Our findings show that global expansion tends to increase bank insolvency and reduce bank adjusted-risk-performance. Our...

Persistent link: https://www.econbiz.de/10014001558

On the dynamics of international stock market efficiency

Khaled, Mohammed S.; Keef, Stephen P. - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-11

The Granger causality procedure is used to assess the dynamics of market efficiency of 17 international stock indices. These indices are based on relatively smaller firms. The reference of market efficiency is a stock index, from the same economy, which is based on relatively larger firms. There...

Persistent link: https://www.econbiz.de/10011559119

Cross-listing, managerial compensation and corporate governance

Luo, Yongli - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-17

This study examines the relationship between cross-listing and managerial compensation of Chinese firms that concurrently issued A- and B-shares or A- and H-shares during 2001 - 2010. The results show that executive compensation is a positive factor to motivate Chinese A-share firms to...

Persistent link: https://www.econbiz.de/10011559138

Testing overconfidence bias in Pakistani stock market

Zia, Lubna; Sindhu, Muzammal Ilyas; Hashmi, Shujahat Haider - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-8

Excessive trading phenomenon is contrary to the concept of traditional finance that is based on the rational expectation theorem and efficient market hypothesis. Therefore, this study is aimed at exploring the existence of overconfidence behavior in the stock market. The market-wide panel VAR...

Persistent link: https://www.econbiz.de/10011988722

Determinants of Tak¯aful and conventional insurance demand: A regional analysis

Akhter, Waheed; Khan, Saad Ullah - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-18

In this study, we focused on analysing and differentiating the determinants of conventional insurance and Tak¯aful demand across ASEAN and Middle East Regions. We used panel data econometrics on a sample of 14 Asian countries having both conventional insurance and Tak¯aful over the period...

Persistent link: https://www.econbiz.de/10011988726