The Drivers of the CEE Exchange Rate Volatility - Empirical Perspective in the context of the Recent Financial Crisis [PDF]
This paper focuses on the CEE countries volatility captured by the exchange rate dynamics. In the first part, the spillover phenomenon is analyzed from the perspective of the recent financial crisis, where cross-border capital flows increased the risk of
Brezeanu, Petre +3 more
core
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper examines the impact of regulatory controls on Bitcoin's excess returns and volatility. The paper innovates by proxying changes in the regulatory environment using global Google search volume intensity data. The generated regulatory indices accurately identify episodes of regulatory tightening within cryptocurrency markets.
Robert Mullings
wiley +1 more source
Heterogeneity in the volatility spillover of cryptocurrencies and exchanges
Financial InnovationThis study examines the volatility spillovers in four representative exchanges and for six liquid cryptocurrencies. Using the high-frequency trading data of exchanges, the heterogeneity of exchanges in terms of volatility spillover can be examined ...
Meiyu Wu, Li Wang, Haijun Yang
doaj +1 more source
Asymmetric volatility spillover among Chinese sectors during COVID-19. [PDF]
Int Rev Financ Anal, 2021 Shahzad SJH, Naeem MA, Peng Z, Bouri E.
europepmc +1 more source
Analisis Spillover terhadap Pasar Ekuitas Negara Berkembang dan Negara Maju Periode 2003-2011 [PDF]
, 2015 This study analyzes spillover effect which occurred in emerging and advanced economies, resulting from the US financial crisis and Greece sovereign debt crisis, covering the period of January 2003-December 2011.
Barry, H. (Husnil)
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
The Time-Varying Connectedness Between China's Crude Oil Futures and International Oil Markets: A Return and Volatility Spillover Analysis. [PDF]
Lett Spat Resour Sci, 2022 Fu J, Qiao H.
europepmc +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
Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis. [PDF]
Financ Innov, 2022 Özdemir O.
europepmc +1 more source
Volatility Spillovers across South African Asset Classes during Domestic and Foreign [PDF]
This paper studies domestic volatility transmission in an emerging economy. Daily volatility spillover indices, relating to South African (SA) currencies, bonds and equities, are estimated using variance decompositions from a generalised vector ...
Alain Kabundi, Andrew S. Duncan
core +1 more source