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US Monetary Announcements and Irish Stockmarket Volatility [PDF]
We investigate the influence of foreign monetary policy decisions on the volatility of the Irish stock market. Specifically, we examine the influence of US monetary policy announcements on the ISEQ. We find evidence of the so called calm before the storm
Bredin, Don +2 more
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Exploring the Returns and Volatility Spillover Effect in Taiwan and Japan Stock Markets [PDF]
, 2017 Chi‐Lu Peng +3 more
openalex +1 more source
Risk transmission between Latin America stock markets and the US: impacts of the 2007/2008 Crisis [PDF]
The aim of this paper is to investigate whether the US subprime financial turmoil has had any statistically significant effect on the conditional volatility of stock prices in Latin America for which the BEKK methodology is adopted, developed by Engle ...
Fernanda G Barba, Paulo S Ceretta
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Gradualism, transparency and improved operational framework : a look at the overnight volatility transmission [PDF]
, 2007 This paper proposes a possible way of assessing the effect of interest rate dynamics on changes in the decision-making approach, communication strategy and operational framework of a Central bank.
Colarossi, Silvio, Zaghini, Andrea
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A study of U.S. and Chinas volatility spillover effects on Hong Kong and Taiwan
, 2011 Her‐Jiun Sheu, Chien-Ling Cheng
openalex +2 more sources
Return and volatility spillovers among the East Asian equity markets [PDF]
, 2009 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.
Yilmaz, Kamil
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Do Hedge and Merger Arbitrage Funds Actually Hedge? A Time-Varying Volatility Spillover Approach
, 2021 Spyros Papathanasiou +3 more
openalex +1 more source
Crude Oil Price shocks to Emerging Markets: Evaluating the BRICs Case [PDF]
In this paper we investigate the relationship between the crude oil and the stock market in terms of returns and volatility-spillover for the BRIC countries by using cointegration and the VECM-MGARCH technique.
Khan, Salman
core +1 more source