The impact of pandemic on dynamic volatility spillover network of international stock markets. [PDF]
Empir Econ, 2023 Since the beginning of the twenty-first century, several pandemics, including SARS and COVID-19, have spread faster and on a broader scale. Not only do they harm people’s health, but they can also cause significant damage to the global economy within a ...
Lan T, Shao L, Zhang H, Yuan C.
europepmc +2 more sources
Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis. [PDF]
Financ Innov, 2022 This study investigates the dynamic mechanism of financial markets on volatility spillovers across eight major cryptocurrency returns, namely Bitcoin, Ethereum, Stellar, Ripple, Tether, Cardano, Litecoin, and Eos from November 17, 2019, to January 25 ...
Özdemir O.
europepmc +2 more sources
Volatility connectedness of GCC stock markets: how global oil price volatility drives volatility spillover in GCC stock markets? [PDF]
Environ Sci Pollut Res Int, 2023 The study investigated the volatility connectedness of GCC stock market return and S&P global oil index returns using Diebold and Yilmaz ( 2012 ) method.
Hussain M, Rehman RU.
europepmc +2 more sources
Mathematics, 2023 We explore the dynamics and determinants of volatility spillover between financial technology (FinTech) and the traditional financial industry (TFI).
Ziyao Wang +3 more
doaj +2 more sources
Volatility Spillover Between Chinese Stock Market and Selected Emerging Economies: A Dynamic Conditional Correlation and Portfolio Optimization Perspective [PDF]
Asia-Pacific Financial Markets, 2022 This paper examines the spillover effect from Chinese stock market to select emerging economies to check the diversification opportunities. The study analysed the data in three different periods including full period from January 3, 2000 to February 7 ...
Yadav M, Sharma S, Bhardwaj I.
europepmc +2 more sources
Volatility spillover and hedging strategies between the European carbon emissions and energy markets
Energy Strategy Reviews, 2023 Much attention has been paid to the complex risk transmission between carbon and energy markets along with the increasing global financial market integration.
Jian Liu +3 more
doaj +2 more sources
Volatility spillover among sector equity returns under structural breaks [PDF]
Review of Quantitative Finance and Accounting, 2021 Recent evidence suggests that ignoring structural breaks in volatility in financial asset returns can result in overestimation of volatility spillover among markets. This paper examines volatility spillover among major US equity sectors (i.e.
Malik F.
europepmc +2 more sources
Asymmetric volatility spillover among Chinese sectors during COVID-19. [PDF]
Int Rev Financ Anal, 2021 Shahzad SJH, Naeem MA, Peng Z, Bouri E.
europepmc +2 more sources
COVID-19 pandemic's impact on intraday volatility spillover between oil, gold, and stock markets. [PDF]
Econ Anal Policy, 2022 Mensi W, Vo XV, Kang SH.
europepmc +2 more sources
Volatility Spillover Effects in European Equity Markets [PDF]
Journal of Financial and Quantitative Analysis, 2002 This paper quantifies the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU) and US market to 13 local European equity markets.I develop a shock spillover model that decomposes local unexpected returns into a ...
Baele, L.
core +8 more sources