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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
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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
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To what extent are stock returns driven by mean and volatility spillover effects? : evidence from eight European stock markets
Alikhanov, Abdulla - In: Národohospodářský obzor : časopis věnovaný … 13 (2013) 1, pp. 3-29
Persistent link: https://www.econbiz.de/10010193320
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Examining evidence of "shift-contagion" in African stock markets : a CoVaR-copula approach
Boako, Gideon; Alagidede, Paul - In: Review of development finance 7 (2017) 2, pp. 142-156
This paper examines for the first time contagion to African stock markets with particular attention to the …, during (both turmoil and acute), and post periods of the 2007-2009 global financial crisis. We analyzed contagion by … successive periods and tested for significance of contagion using the Kolmogorov-Smirnoff (KS) bootstrap technique. We used the …
Persistent link: https://www.econbiz.de/10011779566
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Do China and oil exporters influence major currency configurations?
Fratzscher, Marcel; Mehl, Arnaud - 2008
This paper analyses the impact of the shift away from a US dollar focus of systemically important emerging market economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US dollar exchange rate regimes remain pervasive and...
Persistent link: https://www.econbiz.de/10003825947
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Do China and Oil Exporters Influence Major Currency Configurations?
Fratzscher, Marcel - 2015
This paper analyses the impact of the shift away from a US dollar focus of systemically important emerging market economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US dollar exchange rate regimes remain pervasive and...
Persistent link: https://www.econbiz.de/10012749953
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On the Relationship between Exchange Rates and Stock Prices : Evidence from Emerging Markets
Cakan, Esin - 2014
This study examines dynamic linkages between the exchange rates and stock prices for twelve emerging market countries for the period from May 1994 to April 2010 by using linear and non-linear Granger causality tests. Our empirical results show that stock prices and exchange rates have linear and...
Persistent link: https://www.econbiz.de/10013062443
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Volatility transmitter or receiver? : investigating dynamic connectedness between the carry trade and financial markets
Nefzi, Nourhaine; Melki, Abir - In: Borsa Istanbul Review 23 (2023) 3, pp. 748-758
By examining the connectedness of carry trade currency with stock, foreign exchange (forex), and commodity markets, the paper investigates the extent to which shocks in capital flows driven by interest-rate differentials affect financial markets. Following the framework of Diebold and Yilmaz...
Persistent link: https://www.econbiz.de/10014308844
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A Revisit to the Dependence Structure between Stock and Foreign Exchange Markets : A Dependence-Switching Copula Approach
Wang, Yi-Chiuan - 2012
This paper develops a dependence-switching copula model to examine dependence and tail dependence for four different market statuses, namely, rising-stocks/appreciating-currency, falling-stocks/depreciating-currency, rising-stocks/depreciating-currency, and falling-stocks/appreciating-currency....
Persistent link: https://www.econbiz.de/10013107722
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Higher Moment Exchange Rate Exposure of S&P500 Firms
Bianconi, Marcelo - 2014
We find a robust negative effect of exchange rate volatility on S&P500 company returns. The Consumer Discretionary and the Consumer Staple sectors have more significant negative exposure to exchange rate volatility than the other sectors thus supporting the hypothesis that exchange rate...
Persistent link: https://www.econbiz.de/10013049029