Results 41 to 50 of about 132,901 (169)
CEE and SEE equity market return spillovers: Creating profitable investment strategies
Borsa Istanbul Review, 2020 Portfolio management today employs many different quantitative tools for investors to achieve their goals in a faster and better way. For purposes of portfolio diversification possibilities, the connectedness among stock markets is being evaluated ...
Tihana Škrinjarić
doaj +1 more source
, 2022 The purpose of this master’s thesis is to investigate to what extent ESG assets and traditional benchmarks affect one another. Since sustainable investment is a growing segment of the financial market, investors need to be informed about how it may affect their portfolios, and by extension if it can be used for portfolio diversification. By using an AR(
Moosawi, Shobair, Segerhammar, Ludvig
openaire +1 more source
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
High Frequency Price Change Spillovers in Bitcoin Markets
Risks, 2019 The study of connectedness is key to assess spillover effects and identify lead-lag relationships among market exchanges trading the same asset. By means of an extension of Diebold and Yilmaz (2012) econometric connectedness measures, we examined the ...
Paolo Giudici, Paolo Pagnottoni
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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
Exploring ESG volatility spillovers: evidence from global equity markets
Frontiers in SustainabilityThis paper investigates the volatility spillover between sustainable stocks proxied by six ESG equity indices of different geographical areas using daily returns from 2014 to 2022.
Maria Elena De Giuli +3 more
doaj +1 more source
Connectedness among Northeast Asian Housing Markets and Business Cycles
East Asian Economic Review, 2020 This paper investigates the connectedness among housing markets using the methodology developed in Diebold and Yilmaz (2014, 2016). In particular, we examine the international linkages among housing markets in Northeast Asian countries: namely, China ...
Hahn Shik Lee, Woo Suk Lee
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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
On Liquidity Spillovers in Sovereign Bond Spot and Futures Markets During the COVID‐19 Outbreak
Bulletin of Economic Research, EarlyView.ABSTRACT We examine liquidity spillovers within and between the sovereign bond spot and futures markets in the euro area, covering the periods before, during, and after the COVID‐19‐induced dash for cash episode. Our results indicate that while liquidity spillovers were significantly amplified during the height of the crisis, the magnitude of these ...
Vassilios G. Papavassiliou, Fan Dora Xia
wiley +1 more source
Networked Regional Resilience: Diffusion of Risk and Adaptation Across Interconnected Regions
Journal of Regional Science, EarlyView.ABSTRACT Regions face not only direct exposure to economic and physical shocks but also indirect consequences of actions in interconnected regions. This paper examines how socio‐spatial networks shape regional resilience to contagious shocks through dynamic feedback between risk diffusion and adaptation diffusion.
Xiaoyi Han +5 more
wiley +1 more source