Return and volatility spillovers
Return and volatility spillovers between South African and Nigerian equity markets
... of return and volatility spillovers between South African and Nigerian stock markets, thus, inferring the optimal hedging ratio and portfolio weights for risk-averse financial investors seeking ...
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Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis
... Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis El Ghini, Ahmed and Saidi, Youssef... Panel 3 : Structural changes in the NASDAQ series 3,200.[r] ...
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Exchange return co movements and volatility spillovers before and after the introduction of Euro
... and volatility spillovers in the returns of the euro, the British pound, the Swiss franc and the Japanese yen vis-` a-vis the US dollar before and after the intro- duction of the ...and volatility ...
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Return and volatility spillovers among stock and foreign exchange markets: empirical evidence from selected African markets
... in volatility clustering is known to arrive in bunches rather than been evenly ...of volatility clustering a point in time during the years under ...exhibit volatility clustering, that is, large ...
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Financial Integration and Portfolio Diversification: Evidence from CIVETS Stock Markets
... tings among CIVETS is almost non-existent. Recently, Korkmaz et al . [15], using the Granger-Cheung-Ng-Hong causality tests for mean and variance of weekly stock mar- ket returns, have studied the return and ...
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Erratum to “Testing and Predicting Volatility Spillover—A Multivariate GJR GARCH Approach” [Theoretical Economics Letters, 2019, 9, 83 99]
... the return and volatility spillovers for Stock, Bond and Money ...conditional volatility model with well-established regularity conditions and known asymptotic properties ...and ...
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Volatility Spillovers between South Asian Stock Markets: Evidence from Sri Lanka, India and Pakistan
... of volatility spillovers between/among markets (Gonzalo and Olmo, ...of volatility spillovers across ...that volatility spillovers are driven by currency fluctuations, market ...
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Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers
... examined spillovers of risk and return across stock markets, the analysis of the international transmission of asset price dynamics has yet to incorporate the critical asset-pricing factor of ...
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Return Spillovers In Indian Brent Crude Oil Market
... market volatility before and after the introduction of stock index ...i.e. return and volatility spillovers across markets, Nath and Lingareddy (2008), Roy ...
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Volatility Spillovers and Correlation Between Cryptocurrencies and Asian Equity Market
... Since leverage effect is the focus here, only values of parameter C4 are considered. Keeping in line with previous studies, for all the stock indices except HNX (Vietnam stock exchange) and PSE (Philippines stock ...
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Global and Regional Volatility Spillovers to GCC Stock Markets
... of return spillovers from regional (Saudi Arabia) and global (US) markets to GCC stock markets (Bahrain, Oman, Kuwait, Qatar, United Arab ...univariate volatility spillover model which allows the ...
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The Impossible Trinity and Financial Markets – An Examination of Inflation Volatility Spillovers
... Empirically, Yang & Hamori (2014) analyzed the impact of the United States of America’s interest rates and excess liquidity on the ASEAN stock markets using data from January 1990 to December 2012. The study was a ...
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Modeling Volatility Spillovers in Iran Capital Market
... the volatility spillover from the oil market to the stock exchange is symmetrically ...the volatility spillover context to the Iran capital ...price volatility is due to the time taken to convert the ...
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Volatility Spillovers among the Cryptocurrency Time Series
... data. Since nonlinear dependence and heavy-tailed unconditional distributions are characteristic of conditionally heteroskedastic data, the Lagrange Multiplier (LM) test (Engle, 1982) can be used to formally test the ...
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Assessment of Vietnam’s capacity and commitment to ratify and implement the International Convention on Oil Pollution Preparedness, Response and Co-Operation (OPRC), 1990
... the return lead-lag relationships and volatility transmission among dry bulk, container and tanker shipping freight market after the financial crisis in ...and volatility spillover effects among ...
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CONTAGION AND SPILLOVER EFFECT FROM DEVELOPED STOCK MARKETS TO THE EAST AFRICAN SECURITIES MARKETS
... (volatility spillovers) is negative and significant for the Tanzania market implying no effect from the ...high volatility might have been stimulat- ed further by the Tanzania policy that dictates ...
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The impact of exchange rate volatility on capital flows in BRICS economies
... no volatility transmissions exist between foreign exchange markets and bond market, and shocks to bond market do not influence exchange ...and volatility transmissions from exchange rate to equity ...and ...
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An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries
... A visual summary of the equity prices across the 20 emerging markets is shown in Figure 1. Table 1 presents the descriptive statistics for the weekly equity returns denominated in US dollars. As Table 1 shows, the mean ...
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Volume 02 Issue 03: (2013) May-June 2013
... Asymmetric volatility is induced by overreaction to negative news [1] when contemporaneous returns and conditional return volatility are negatively correlated ...to volatility spillover. ...
7
Essays on Financial Return and Volatility Modeling
... daily return as a proxy for the actual volatility when evalu- ating the forecasting ...the volatility forecasting literature how should the true volatility be measured is a big ...squared ...
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