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Volatility Spillovers and Nexus across Oil, Gold, and Stock European Markets
American Business Review, 2022 This paper utilises a trivariate VAR-BEKK-GARCH model to investigate the dynamic relationships between global oil price, gold price, and European stock markets.
Chao Ren
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Free Trade Agreements and Volatility of Stock Returns and Exchange Rates: Evidence from NAFTA [PDF]
, 2017 This paper uses GARCH models and daily data to investigate the effect of the Canada – U.S. Free Trade Agreement (CUSFTA) and NAFTA on the volatility of, and the relationship between stock market returns and changes in bilateral exchange rates of the ...
Daelemans, Bram +2 more
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Impact of Macroeconomic Variables on Stock Return Volatility: Evidence from Sub-Sahara Africa
AFRE (Accounting and Financial Review), 2022 The main purpose of this paper was to investigate the impact of macroeconomic variables on stock market return volatility in Sub-Sahara markets. The study concentrated on three stock markets including Ghana, Nigeria and South Africa using GARCH-X (1,1 ...
Peter Ali +3 more
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Extreme dependencies and spillovers between gold and stock markets: evidence from MENA countries
Financial Innovation, 2023 This study addresses whether gold exhibits the function of a hedge or safe haven as often referred to in academia. It contributes to the existing literature by (i) revisiting this question for the principal stock markets in the Middle East and North ...
Walid Mensi +3 more
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Multimodal deep learning for finance: integrating and forecasting international stock markets [PDF]
Journal of Supercomputing, 2019 In today’s increasingly international economy, return and volatility spillover effects across international equity markets are major macroeconomic drivers of stock dynamics. Thus, information regarding foreign markets is one of the most important factors
Sang Il Lee, S. Yoo
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Sticky Stock Market Analysts [PDF]
Journal of Risk and Financial Management, 2021 Technological progress in recent years has made new methods available for making forecasts in a variety of areas. We examine the success of ex-ante stock market forecasts of three major stock market indices, i.e., the German Stock Market Index (DAX), the Dow Jones Industrial Index (DJI), and the Euro Stoxx 50 (SX5E). We test whether the forecasts prove
Filiz, Ibrahim +8 more
openaire +3 more sources
Future Business Journal, 2018 This study examines the feasibility of international portfolio diversification in the Nigerian stock market. It investigates the relationship between the Nigerian stock market and 5 developed stock markets (US, UK, Japan, Germany and France) in the ...
Olufemi Adewale Aluko +2 more
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Tạp chí Khoa học Đại học Đà Lạt, 2020 The information efficiency and the relationships between ASEAN stock markets are two of the issues that are of great research interest. However, these two issues were often investigated separately in previous studies. Therefore, this paper combines these
Trần Thị Tuấn Anh
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The Russia-Ukraine War and Eastern European Stock Markets
Eurasian Journal of Business and Economics, 2023 We examine the causal relationships and extreme return co-movements between the Russian stock market and adjacent Eastern European (EE) stock markets before and after the recent Russia-Ukraine war.
Chung BAEK
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Discrete Dynamics in Nature and Society, 2018 A total of 156 Granger causal networks of stock markets are constructed by using the Granger causality test and time series sliding window based on stock index data of 34 major stock markets in the world from 2004 to 2017.
Qiuhong Zheng, Liangrong Song
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