Multi-Time Scale Spillover Effect of International Oil Price Fluctuation on China’s Stock Markets
Energies, 2020 With the continuous increase of China’s foreign-trade dependence on crude oil and the accelerating integration of the international crude oil market and the Chinese finance market, the spillover effect of international oil price fluctuation on China’s ...
Jingran Zhu +2 more
doaj +1 more source
Topological Properties of International Commodity Market: How Uncertainty Affects the Linkages?
Agribusiness, EarlyView.ABSTRACT The study aims to explore the network topology of the international commodity market by examining the interconnections among 21 commodity futures across various categories, including energy, precious and industrial metals, and agriculture. We analyze the market structure of these commodity futures under both low and high uncertainty conditions
Ibrahim Yagli, Bayram Deviren
wiley +1 more source
Spillover Volatilitas Pasar Saham Indonesia dan Singapura Periode 2001-2005
Jurnal Akuntansi dan Keuangan, 2010 Using an Autoregressive model combined with a univariate Exponential GARCH model for constructing a volatility spillover model, we investigate asymmetric effect and volatility persistence effect in Indonesia and Singapore stock market, and the effect of ...
Lestano Lestano, Julia Sucito
doaj
Exploring the Contagion Effect from Developed to Emerging CEE Financial Markets
Mathematics, 2023 The paper aims to analyze the contagion effect coming from the developed stock markets of the US and Germany to the emerging CEE stock markets of Romania, Czech Republic, Hungary, and Poland using daily data for the period April 2005–April 2021.
Adriana AnaMaria Davidescu +4 more
doaj +1 more source
Gradualism, transparency and improved operational framework : a look at the overnight volatility transmission [PDF]
, 2007 This paper proposes a possible way of assessing the effect of interest rate dynamics on changes in the decision-making approach, communication strategy and operational framework of a Central bank.
Colarossi, Silvio, Zaghini, Andrea
core +4 more sources
Will Bitcoin become the 21st century gold: Spillover effect of return and volatility between digital and traditional assets [PDF]
IndustrijaThis study aims to examine the spillover effects of return and volatility between three different assets (Bitcoin, Gold, and Nasdaq) using GARCH-ARMA models.
Sadewa Putra, Huruta Andrian Dolfriandra
doaj +1 more source
Volatility Spillover Between Stock Market and Foreign Exchange Market in Indonesia [PDF]
, 2009 Foreign exchange rate risk is one the market risk factors that effects investments. Understanding the foreign exchange risk exposure of each sector is necessary to set foreign exchange risk management.
Widjonarko, Y. E. (Yohanes) +1 more
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Return and Volatility Spillovers Among Major Cotton Markets
Agribusiness, EarlyView.ABSTRACT This study explores return and volatility transmission among major cotton markets. Several events have disrupted cotton supply and demand in recent years, leading to heightened price volatility and significant shifts in market interconnections.
Susmitha Kalli +3 more
wiley +1 more source
Is bitcoin a safe haven or a hedging asset? Evidence from China
Journal of Management Science and Engineering, 2019 Based on daily data about Bitcoin and six other major financial assets (stocks, commodity futures (commodities), gold, foreign exchange (FX), monetary assets, and bonds) in China from 2013 to 2017, we use a VAR-GARCH-BEKK model to investigate mean and ...
Gangjin Wang +3 more
doaj +1 more source
Volatility spillover in the foreign exchange market: The Indian experience [PDF]
, 2012 We find evidences of significant volatility co-movements and/ or spillover from different financial markets to forex market for Indian economy. Among a large number of variables examined, volatility spillovers from stock market, government securities ...
Ghosh, Saurabh
core