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Volatility spillover effect in Western Balkans [PDF]
Acta Oeconomica, 2018 This article examines volatility spillover among Western Balkan’s stock markets and selected developed markets. If there is an evidence of weak linkage between various markets, then there are potential benefits that could arise from international diversification. However, if we analyse the relationship between two markets that are different in terms of
Latinovic, Milica +2 more
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Cogent Food & Agriculture, 2023 With the increased opening of China’s dairy industry to the outside world and the cost advantages of imported dairy products, China’s dairy product import trade has grown rapidly in recent years.
Qianqian Wang +2 more
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Networks of volatility spillovers among stock markets [PDF]
Physica A: Statistical Mechanics and its Applications, 2017 Abstract In our network analysis of 40 developed, emerging and frontier stock markets during the 2006–2014 period, we describe and model volatility spillovers during both the global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several exogenous characteristics.
Baumöhl, Eduard +3 more
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The Responses of Stock, Gold and Foreign Exchange Markets to Financial Shocks: VAR-MGARCH Approach [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2020 The aim of this paper is to investigate the responses of stock, gold and foreign exchange markets in Iran, with an emphasis on the spillover volatility effects.
Vahid Dehbashi +3 more
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Multidisciplinary Reviews, 2023 The phenomenon by which the uncertainty of one market affects other markets can be known as "volatility spillover." This paper employs bibliometric analysis to clearly explain the publication trend, important authors, global collaborations, significant ...
Yedhu Harikumar, M. Muthumeenakshi
semanticscholar +1 more source
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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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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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 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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