Results 241 to 250 of about 641,406 (300)

An analysis of stock markets integration and dynamics of volatility spillover in emerging nations

Journal of economic and administrative sciences, 2023
PurposeBRICS (Brazil, Russia, India, China, and South Africa) a group of five emerging nations that are expected to lead the global economy by the year 2050.
I. Khan
semanticscholar   +1 more source

Asymmetric price volatility spillover between capture fisheries and aquaculture markets

Aquaculture Economics & Management, 2023
The recent growth and development of aquaculture industry in Bangladesh demand a thorough investigation of price volatility spillover pattern among capture fisheries and aquaculture products.
Prokash Deb, Wenying Li
semanticscholar   +1 more source

Bootstrapping volatility spillover index

Communications in Statistics - Simulation and Computation, 2018
Concentrating on confidence interval, a bootstrapping method is developed for volatility spillover index proposed by Diebold and Yilmaz via a vector autoregressive (VAR) model.
Ji-Eun Choi, Dong Wan Shin
openaire   +1 more source

Integration and Volatility Spillover Among Environmental, Social and Governance Indices: Evidence from BRICS Countries

Global Business Review, 2022
The current research examines the integration of environmental, social and governance (ESG) equity indices among emerging markets, that is, Brazil, Russia, India, China and South Africa (BRICS).
Satyaban Sahoo, S Kumar
semanticscholar   +1 more source

Simultaneous Volatility Transmission and Spillover Effects [PDF]

Review of Pacific Basin Financial Markets and Policies, 2010
Simultaneous volatility models are developed and shown to be separate from multivariate GARCH estimators. An example is provided that allows for simultaneous and unidirectional volatility and volume of trade effects. These effects are tested using intraday data from the Australian cash index and index futures markets.
openaire   +2 more sources

Market integration and volatility spillover across major East Asian stock and Bitcoin markets: an empirical assessment

International Journal of Managerial Finance, 2022
PurposeThis paper aims to provide new perspectives on the integration of East Asian stock markets and the dynamic volatility transmission to the Bitcoin market utilising daily data from 2014 to 2020.Design/methodology/approachThe authors undertake ...
H. Zeng, Abdullahi D. Ahmed
semanticscholar   +1 more source

Volatility spillover effects between oil and GCC stock markets: a wavelet-based asymmetric dynamic conditional correlation approach

International Journal of Islamic and Middle Eastern Finance and Management, 2022
Purpose This study aims to examine the spillover effects of the mean and volatility between oil prices and stock indices of six Gulf Cooperation Council (GCC) countries (UAE, Kuwait, Saudi Arabia, Qatar, Oman and Bahrain).
Ho Thuy Tien, N. Hung
semanticscholar   +1 more source

Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model

Journal of Forecasting, 2018
A recent study by Rapach, Strauss, and Zhou (Journal of Finance, 2013, 68(4), 1633–1662) shows that US stock returns can provide predictive content for international stock returns. We extend their work from a volatility perspective. We propose a model, namely a heterogeneous volatility spillover–generalized autoregressive conditional heteroskedasticity
Yudong Wang, Zhiyuan Pan, Chongfeng Wu
openaire   +2 more sources

High–low volatility spillover network between economic policy uncertainty and commodity futures markets

Journal of futures markets
Based on the formation and evolution of systemic risk, we study the high‐low volatility spillovers between economic policy uncertainty (EPU) and commodity futures and identify the source of risk accumulation and risk outbreak, as well as the ...
Youtao Xiang, Sumuya Borjigin
semanticscholar   +1 more source

The time‐varying volatility spillover effects between China's coal and metal market

Journal of futures markets
This study employs a time‐varying parameter vector autoregression methodology with the Diebold and Yilmaz spillover index to scrutinize the temporal fluctuations in volatility spillovers between the Chinese coal and metal markets.
Boqiang Lin, Tianxu Lan
semanticscholar   +1 more source