Results 1 to 10 of about 30,423 (304)
Volatility Spillover Effect of Pan-Asia’s Property Portfolio Markets [PDF]
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 Spillover pada Pasar Saham Indonesia, Cina, dan India [PDF]
Binus Business Review, 2010 Globalization and advanced information technology easing us for obtaining information from global stock markets. With that condition, volatility in domestic capital market could be affected by volatility from global stock markets.
Martin Martin, Yunita Yunita
doaj +2 more sources
Volatility Spillover Effect from Volatility Implied Index to Emerging Markets [PDF]
Journal of Banking and Financial Markets, 2009 This study has investigated the effect of VIX, created as an implied volatility in the US, on 15 emerging stock markets with the application of GJR-GARCH model.
Emrah Ismail Çevik, Turhan Korkmaz
core +1 more source
Cross-company jump spillover and the role of news [PDF]
HeliyonWe study how jumps spillover and the cross-company impact of firm-specific unscheduled news on jumps between economic sectors. To this end, we employ high-frequency data of 220 constituents of the Russell 3000 index equally divided into eleven sectors ...
Francesco Poli, Massimiliano Caporin
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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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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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Energies, 2023 Based on the spillover index and an improved spillover asymmetric measure method, this paper studies the volatility spillover and its asymmetric effect between crude oil and agricultural commodity futures in pre- and post-outbreak of COVID-19.
Deyuan Zhang +3 more
doaj +1 more source
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
openaire +3 more sources
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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Revisiting spillover effect: An empirical evidence from GARCH-ARMA approach [PDF]
Industrija, 2021 This study analyzes the spillover effect of markets' commodity, exchange rate, and stock price. Starting from July 1, 2009, the daily data to December 31, 2019, are conducted in our study. The GARCH-ARMA approach has been undertaken in this study.
Dolfriandra Huruta Andrian +4 more
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