Results 51 to 60 of about 641,406 (300)

Return and Volatility Spillovers Among Asian Stock Markets

SAGE Open, 2011
The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China, Jakarta, and Korea using a six-variable asymmetric generalized autoregressive conditional heteroscedasticity–Baba, Engle, Kraft, and ...
Prashant Joshi
doaj   +1 more source

Investigating Spillover Effects between Foreign Exchange Rate Volatility and Commodity Price Volatility in Uganda

Economies, 2018
This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically, the study investigates the spillover effects between oil and food price volatility and the volatility of a key macroeconomic ...
Lorna Katusiime
doaj   +1 more source

Does volatility spillover among stock markets varies from normal to turbulent periods? Evidence from emerging markets of Asia

Journal of Finance and Data Science, 2017
This study investigates the volatility spillover effect among Asian emerging markets in pre and post 2007 financial crisis period. The sample includes five emerging markets of Asia named; China, Pakistan, Hong Kong, Sri Lanka, and India.
Khalil Jebran, Shihua Chen, Irfan Ullah, Sultan Sikandar Mirza   +3 more
doaj   +1 more source

Does Volatility Spillover among Sectors Varies from Normal to Turbulent Periods? Evidence from Pakistan Stock Exchange

Pakistan journal of humanities and social sciences
This study investigates how six financial market performances are affected by spillover volatility sectors in both during and following the 2007 financial crisis in Pakistan.
Asif Ali Abro, Muhammad Abubakar, Tanveer Ahmad Shahid, U. Fatima   +3 more
semanticscholar   +1 more source

Volatility Spillover Effects during Pre-and-Post COVID-19 Outbreak on Indian Market from the USA, China, Japan, Germany, and Australia

Journal of Risk and Financial Management, 2022
We examined volatility spillover effects from five prominent global stock markets to India’s stock market during the pre-and-post COVID-19 outbreak using daily adjusted closing prices between January 2019 and September 2021 from six capital markets.
Mohanasundaram Thangamuthu, S. Maheshwari, D. R. Naik   +2 more
semanticscholar   +1 more source

Analysis of return and volatility spillover between oil-gold and oil-bitcoin during the covid-19 pandemic [PDF]

E3S Web of Conferences
This study analyzes the return and volatility spillover between oil-gold and oil-Bitcoin pairs before and after the COVID-19 pandemic using the Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model ...
Inayah Asty Khairi, Ginoga Lesia Fatma, Tanjungan Dahri, Ramadhanti Resti Jayeng, Rosyanti Novi   +4 more
doaj   +1 more source

Volatility spillover between Germany, France, and CEE stock markets

Journal of Business Economics and Management, 2022
The CEE stock markets are more and more integrated in the European financial markets. The growth of the integration of financial markets favours the volatility and return spillover between them.
Viorica Chirilă, Ciprian Chirilă
doaj   +1 more source

Volatility spillover among the sectors of emerging and developed markets: a hedging perspective

Cogent Economics & Finance
This study empirically investigates the volatility spillover among the sectors of emerging markets, that is, India and China and developed markets, that is, the United Kingdom (UK) and the United States (US). Focusing on financial services, auto, oil and
Satyaban Sahoo, Sanjay Kumar
semanticscholar   +1 more source

Cryptocurrencies Intraday High-Frequency Volatility Spillover Effects Using Univariate and Multivariate GARCH Models

International Journal of Financial Studies, 2022
Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of
Apostolos Ampountolas
semanticscholar   +1 more source

Volatility Spillovers in Energy Markets

The Energy Journal, 2019
We investigate the extent and evolution of the links between energy markets using a broad data set consisting of a total of 17 series of prices for commodities such as electricity, natural gas, coal, oil and carbon. The results shed light on a number of relevant issues such as the volatility spillover effect in energy markets (within and across sectors)
Chuliá Soler, Helena, Furió Ortega, María Dolores, Uribe Gil, Jorge Mario   +2 more
openaire   +3 more sources