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Asymmetric volatility spillovers between developed and developing European countries

Bevilacqua, Mattia - 2018

This paper aims to examine the volatility spillovers among three asset classes, namely, equity, currency and credit among developed European countries and developing Central Eastern European countries in response to political, economic and financial events occurred in the Eurozone in the last...

Persistent link: https://www.econbiz.de/10011890791

Investigating abnormal volatility transmission patterns between emerging and developed stock markets : a case study

Spulbăr, Cristi; Trivedi, Jatin; Birau, Ramona - In: Journal of business economics and management 21 (2020) 6, pp. 1561-1592

The main aim of this paper is to investigate volatility spillover effects, the impact of past volatility on present market movements, the reaction to positive and negative news, among selected financial markets. The sample stock markets are geographically dispersed on different continents,...

Persistent link: https://www.econbiz.de/10012505328

Volatility spillover between Germany, France, and CEE stock markets

Chirilă, Viorica; Chirilă, Ciprian - In: Journal of business economics and management 23 (2022) 6, pp. 1280-1298

The CEE stock markets are more and more integrated in the European financial markets. The growth of the integration of financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover among the stock markets in the countries from...

Persistent link: https://www.econbiz.de/10013500945

Networks of volatility spillovers among stock markets

Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; … - 2017

In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...

Persistent link: https://www.econbiz.de/10011654569

Time Varying Volatility Indexes and Their Determinants : Evidence from Developed and Emerging Stock Markets

Prasad, Nalin - 2014

This paper investigates volatility spillovers across 16 stock markets of both advanced and emerging economies using the spillover index methodology put forward by Diebold and Yilmaz (2012). Realised volatility as defined by Andersen et al (2003) calculated from high frequency data form the basis...

Persistent link: https://www.econbiz.de/10013047334

Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda

Katusiime, Lorna - In: Economies : open access journal 7 (2019) 1/1, pp. 1-17

This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically, the study investigates the spillover effects between oil and food price volatility and the volatility of a key macroeconomic indicator of importance to financial stability:...

Persistent link: https://www.econbiz.de/10012021528

Energy contagion in the COVID-19 crisis

Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2020

time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher …

Persistent link: https://www.econbiz.de/10012226706

Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...

Persistent link: https://www.econbiz.de/10011663407

Time-varying co-movements and contagion effects in asian sovereign CDS markets

Cho, Daehyoung; Choi, Kyongwook - In: Journal of East Asian economic integration 19 (2015) 4, pp. 357-379

We investigate interconnectedness and the contagion effect of default risk in Asian sovereign CDS markets since the … the Spillover Index model, we measure contagion probabilities of sovereign default risk in CDS markets of seven Asian … countries and find evidence of contagion effects among six of them; Japan is the exception. In addition, we find that these six …

Persistent link: https://www.econbiz.de/10011572880

The Nature of Volatility Spillovers Across the International Capital Markets

Peralta, Gustavo - 2019

This paper studies the nature of volatility spillovers across countries from the per-spective of network theory and by relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN) where the nodes correspond to large-cap international...

Persistent link: https://www.econbiz.de/10012868889

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