Results 121 to 130 of about 93,646 (298)
CONTAGION AND PORTFOLIO SHIFT IN EMERGING COUNTRIES´ SOVEREIGN BONDS [PDF]
The paper tests whether there were events of contagion, and portfolio shift, in the sovereign bond markets of eleven emerging countries' between January 1995 and November 2001.
Antonio Diez de los Rios +1 more
core
Brexit and Its Impact on EU Financial Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT We investigate the impact of Brexit on volatility spillovers across the EU countries. We introduce a Brexit intensity measure that assigns an intensity score reflective of the financial markets' reaction to the events that occurred as Brexit negotiations began to unfold.
Marwan Izzeldin +3 more
wiley +1 more source
International Journal of Finance &Economics, EarlyView.ABSTRACT This study examines risk transmission and co‐movements between financial markets (G7 countries and China) and commodity markets (gold and oil) during the COVID‐19 crisis. Daily closing prices for major equity indices (CAC40, CSI300, DAX30, FTSE100, MIB, NIKKEI, TSX and S&P500) and futures prices for gold, brent and WTI were analysed using DCC ...
V. Moutinho +3 more
wiley +1 more source
Detecting shift and pure contagion in East Asian equity markets: A Unified Approach. [PDF]
We test for contagion between pairs of East Asian equity markets over the period 1990-2007.We develop an econometric methodology that allows us to test for both 'shift'and 'pure' contagion within a unified framework.
Thomas J. flavin, Ekaterini Panopoulou
core
Industry Portfolio Volatility Connections and Industry Portfolio Returns
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper tracks dynamic connections that form among daily US industry portfolio return volatilities using a Bayesian time‐varying parameter VAR model. Market participants often focus on sectors to filter vast amounts of information, and this focus results in cross‐industry return predictability. We characterise connections that form over the
Michael Ellington +2 more
wiley +1 more source
The unholy trinity of financial contagion [PDF]
Over the last 20 years, some financial events, such as devaluations or defaults, have triggered an immediate adverse chain reaction in other countries -- which we call fast and furious contagion.
Kaminsky, Graciela +2 more
core +2 more sources
International Journal of Finance &Economics, EarlyView.ABSTRACT This study investigates the evolving integration of 10 major Asian stock markets with key global and regional financial centres, namely, the U.S., China, the E.U., and a constructed Asia centroid. Incorporating all four statistical moments (mean, variance, skewness, and kurtosis), we compute pairwise Euclidean distances to evaluate the degree ...
Burak Korkusuz +3 more
wiley +1 more source
Learning to forget? Contagion and political risk in Brazil [PDF]
, 2003 We examine whether Brazilian sovereign spreads of over 20 percent in 2002 could be due to contagion from Argentina or to domestic politics, or both.
Miller, Marcus +2 more
core
Impact of Geography on Institutions in Agricultural and Nomadic Societies
International Studies of Economics, EarlyView.ABSTRACT How geography affects the choice of institutions is studied in a theoretical model. In this model, nations are located around a circle. Rulers compete through choosing tax rates, the level of military spending, and the degree of formality of institutions. Geographic condition is captured by population density.
Haiwen Zhou
wiley +1 more source