Results 21 to 30 of about 35,893 (313)
Studia Universitatis Babes-Bolyai Oeconomica, 2023 Abstract This study investigates the spillover effects of ESG scores from companies operating in the same industry and their impact on stock return volatility. For this purpose, I considered a sample of European listed companies from 2019 to 2022.
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PRICE VOLATILITY AND SPILLOVER OF BIG CAYENNE (Capsicum annuum L.) IN MALANG DISTRICTS
AGRISE, 2019 Production of big cayenne in Malang Districts has trend increase while consumption has trends decrease make excess supply. Unbalanced supply and demand causes price fluctuation between producers and consumers.
Nurul Khabibah +2 more
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Volatility Spillover Effect of Pan-Asia’s Property Portfolio Markets
Mathematics, 2021 This study assesses the spillover effect of the listed property companies that cover pan-Asian countries, namely Malaysia, Thailand, Indonesia, Singapore, Vietnam, South Korea, Japan, China, the Philippines, and Hong Kong.
Mário Nuno Mata +3 more
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Volatility Spillovers Across Petroleum Markets [PDF]
The Energy Journal, 2015 By using our newly defined measure, we detect and quantify asymmetries in the volatility spillovers of petroleum commodities: crude oil, gasoline, and heating oil. The increase in volatility spillovers after 2001 correlates with the progressive fin-ancialization of the commodities.
Jozef Barunik +2 more
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Volatility-Spillover Effects in European Bond Markets [PDF]
SSRN Electronic Journal, 2003 We analyze volatility spillover from the US and aggregate European bond markets into individual European bond markets using a GARCH volatility-spillover model. We find strong statistical evidence of volatility spillover from the US and aggregate European bon markets.
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Algorithms, 2022 This paper advances a volatility-regime-switching mechanism to investigate the intensity and direction of the volatility spillover effect in carbon–energy markets.
Leon Li
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Mathematics, 2023 With the accelerated pace of financial globalization and the gradual increase in linkages among financial markets, correctly identifying and describing the risk spillover and network diffusion in the financial system is extremely important for the ...
Sun Meng, Yan Chen
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Measuring Persistence in Volatility Spillovers [PDF]
SSRN Electronic Journal, 2013 This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign volatility innovation on a conditional variance is even more persistent than the effect of an own ...
Conrad, Christian, Weber, Enzo
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Contagion Across and Integration of Central and Eastern European Stock Markets: Evidence from Intraday Data [PDF]
, 2005 We analyze interrelations between three stock markets in Central and Eastern Europe and, in addition, interconnections which may exist between Western European (DAX, CAC, UKX) and Central and Eastern European stock markets (BUX, PX-50, WIG20).
Egert, Balazs, Kocenda, Evžen
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Cogent Economics & Finance, 2023 It is well known that the volatility spillover increases when a large economic shock occurs, and then the volatility spillover pattern in the market changes.
Hideto Shigemoto, Takayuki Morimoto
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