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Equity Market Contagion During the Global Financial Crisis : Evidence from the World's Eight Largest Economies
Dungey, Mardi - 2015
and emerging markets. In this paper we test for the existence of equity market contagion originating from the US to … advanced and emerging markets during the crisis period. Using a latent factor model, we provide strong evidence of contagion … effects in both advanced and emerging equity markets. In the aggregate equity market indices, contagion from the US explains a …
Persistent link: https://www.econbiz.de/10013013005
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Equity Market Contagion During the Global Financial Crisis : Evidence from the World's Eight Largest Economies
Gajurel, Dinesh - 2014
and emerging markets. In this paper we test for the existence of equity market contagion originating from the US to … advanced and emerging markets during the crisis period. Using a latent factor model, we provide strong evidence of contagion … effects in both advanced and emerging equity markets. In the aggregate equity market indices, contagion from the US explains a …
Persistent link: https://www.econbiz.de/10013044367
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Global Bonding : Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets?
Bayoumi, Tamim - 2013
This paper uses a novel variant of identification through hetroscedacity to estimate spillovers across U.S., Euro area, Japanese, and UK government bond and equity markets in a vector autoregression. The results suggest that U.S. financial shocks reverberate around the world much more strongly...
Persistent link: https://www.econbiz.de/10013084151
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The interplay between oil and food commodity prices : has it changed over time?
Peersman, Gert; Rüth, Sebastian; Van der Veken, Wouter - 2019
Using time-varying BVARs, we find that oil price increases caused by oil supply shocks did not affect food commodity prices before the start of the millennium, but had positive spillover effects in more recent periods. Likewise, shortfalls in global food commodity supply - resulting from bad...
Persistent link: https://www.econbiz.de/10012064355
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The interplay between oil and food commodity prices : has it changed over time?
Peersman, Gert; Rüth, Sebastian; Van der Veken, Wouter - 2019
Using time-varying BVARs, we find that oil price increases caused by oil supply shocks did not affect food commodity prices before the start of the millennium, but had positive spillover effects in more recent periods. Likewise, shortfalls in global food commodity supply - resulting from bad...
Persistent link: https://www.econbiz.de/10012098873
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Price and Volatility Spillovers between Global Equity, Gold, and Energy Markets Prior to and during the COVID-19 Pandemic
Elgammal, Mohammed - 2020
This study sets out to provide fresh evidence on the dynamic interrelationships, at both return and volatility levels, between global equity, gold, and energy markets prior to and during the outbreak of the novel coronavirus. We undertake our analysis within a bivariate GARCH(p, q) framework,...
Persistent link: https://www.econbiz.de/10012822913
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Volatility Spillovers between Major International Financial Markets During the COVID-19 Pandemic
Wang, Dong - 2020
This paper studies the dynamic change of volatility spillovers between several major international financial markets during the global COVID-19 pandemic using Diebold and Yilmaz's connectedness index. We found that the total volatility spillover in this March reached its highest level of recent...
Persistent link: https://www.econbiz.de/10012828891
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Privatisation, political risk and stock market development in emerging economies
Perotti, Enrico C.; van Oijen, Pieter - 1999
This paper investigates whether privatisation in emerging economies has a significant indirect effect on local stock market development through the resolution of political risk. We argue that a sustained privatisation programme represents a major political test which gradually resolves...
Persistent link: https://www.econbiz.de/10011608502
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Determinants of financial stress in emerging market economies
Park, Cyn-Young; Mercado, Rogelio V. <Jr.> - 2013
financial stress in emerging markets. Previous studies dealing with financial crises and contagion show the linkages through …
Persistent link: https://www.econbiz.de/10009781151
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Correlation analysis of financial contagion : what one should know before running a test
Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo - 2001
This paper builds a general test of contagion in financial markets based on bivariate correlation analysis - a test … that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in … contagion is successful in controlling for a potential bias induced by changes in the variance of global shocks, current tests …
Persistent link: https://www.econbiz.de/10011609589