MathematicsThis paper investigates the volatility spillover effects from the crude oil market to domestic stock markets using high-frequency data. We propose an enhanced methodology, the MS-HAR-TVP model, which extends the standard HAR framework.
Haoqing Yu
doaj +1 more source
Return and Volatility Spillovers among the East Asian Equity Markets [PDF]
This article examines the extent of contagion and interdependence across the East Asian equity markets since early 1990s and compares the ongoing crisis with earlier episodes.
Kamil Yilmaz
core
Volatility spillover in the foreign exchange market: The Indian experience [PDF]
, 2012 We find evidences of significant volatility co-movements and/ or spillover from different financial markets to forex market for Indian economy. Among a large number of variables examined, volatility spillovers from stock market, government securities ...
Ghosh, Saurabh
core
Volatility spillovers among MIST stock markets
Data Science in Finance and Economics, 2022 <abstract> <p>This paper examines the effects of volatility spillover between MIST stock markets. We used daily data from January 3, 2012, to November 16, 2021, and the test of causality in variance, including structural breaks. First, we observed no structural break for Turkey and Indonesia, but there is a structural break in each South
openaire +2 more sources
Stock Market Volatility: Examining North America, Europe and Asia [PDF]
An understanding of volatility in stock markets is important for determining the cost of capital and for assessing investment and leverage decisions as volatility is synonymous with risk. Substantial changes in volatility of financial markets are capable
Gamini Premaratne, Lakshmi Bala
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Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets [PDF]
Price volatility spillovers in the U.S. catfish supply chain are analyzed based on monthly price data from 1980 through 2000 for catfish feed, its ingredients, and farm- and wholesale-level catfish.
Buguk, Cumhur +2 more
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Modelling food price volatility and testing heat waves and/or meteor showers effects: Evidence for Asia and Pacific [PDF]
, 2012 This paper assesses the volatility and cross country mean and volatility spillover effects of food prices within and across global and selected Asian and Pacific countries namely Australia, New Zealand, South Korea, Singapore, Hong Kong, Taiwan, India ...
Alom, Fardous +2 more
core +1 more source
Will Bitcoin become the 21st century gold: Spillover effect of return and volatility between digital and traditional assets [PDF]
IndustrijaThis study aims to examine the spillover effects of return and volatility between three different assets (Bitcoin, Gold, and Nasdaq) using GARCH-ARMA models.
Sadewa Putra, Huruta Andrian Dolfriandra
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Spillover Effects among the Greater China Region Stock Markets [PDF]
This paper explores the linkages between the different stock markets in the Greater China region. Cointegration tests indicate that the three markets are not cointegrated.
Anders C Johansson, Christer Ljungwall
core +1 more source
Mean and volatility spillover in Asian economies: Evidence from trade war. [PDF]
PLoS One, 2023 Shafique A, Bhutta NT.
europepmc +1 more source