Results 11 to 20 of about 9,540,414 (299)
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
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Global and regional range-based volatility spillover effects
Emerging Markets Review, 2013 Abstract This study extends the univariate Weibull conditional autoregressive range (CARR) model to establish a bivariate Weibull CARR (BWCARR) model to investigate the range-based volatility spillover effect. The empirical results indicate that a conditional autoregressive range relationship exists on the US, Japan, mainland China, Hong Kong and ...
Lee, Yen-Hsien
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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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Testing the volatility spillover between crude oil price and the U.S. stock market returns [PDF]
Management Science Letters, 2019 The study aims to examine the volatility transmission between the West Texas Intermediate (WTI) crude oil price returns and the U.S. stock market (S&P500 index) returns for the period 2006-2016.
Mehmet Kondoz +3 more
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Investigating and Analyzing the Spillover Effects among Stock, Currency, Gold, and Commodity Markets: VARMA-BEKK-AGARCH Approach [PDF]
تحقیقات مالی, 2023 Objective: In recent years, the increasing speed of information transfer and market connectedness has caused markets to converge and affect each other. The spillover effect occurs when the return or volatility of one market cause fluctuation in another ...
Mohammadbagher Mohammadinejad Pashaki +2 more
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Volatility and Spillover Effects of Yen Interventions
Review of International Economics, 2013 AbstractWe consider the effects of interventions by the Bank of Japan's (BoJ) on the intraday volatility of the US dollar/Japanese yen (USD/JPY) exchange rates and their spillovers to volatility of the euro/JPY exchange rates. We use 15‐minute data during the period 2000–2004 and employ multivariate generalized autoregressive conditional ...
Chortareas, Georgios +2 more
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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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Volatility Spillover Effects in European Equity Markets [PDF]
Journal of Financial and Quantitative Analysis, 2002 AbstractThis paper investigates to what extent globalization and regional integration lead to increasing equity market interdependence. I focus on Western Europe, as this region has gone through a unique period of economic, financial, and monetary integration.
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IEEE Access, 2019 This paper studies the intraday return and volatility spillovers of Chinese CSI 300 industry indices with high-frequency data over the period from May 2012 to June 2016. The dynamic correlation among the industries is calculated with VEC-DCC-GARCH model.
Feng He, Zhifeng Liu, Sicen Chen
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Dynamic Spillover and Hedging among Carbon, Biofuel and Oil
Energies, 2020 In recent years, there has been growing interest in the market interactions between carbon (or clean/renewable energy) and traditional fossil energy such as coal and oil, but few studies have discussed their dynamic volatility spillover and time-varying ...
Yeonjeong Lee, Seong-Min Yoon
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