Journal ArticleDOI
Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets☆
TLDR
This article applied the Dynamic Conditional Correlation (DCC) multivariate GARCH model to examine the time-varying conditional correlations to the weekly index returns of seven emerging stock markets of Central and Eastern Europe.About:
This article is published in International Review of Economics & Finance.The article was published on 2011-10-01. It has received 353 citations till now. The article focuses on the topics: Financial contagion & Eastern european.read more
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Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold
TL;DR: In this article, the authors employ a VAR-GARCH model to investigate the return links and volatility transmission between the S&P 500 and commodity price indices for energy, food, gold and beverages over the turbulent period from 2000 to 2011.
Journal ArticleDOI
Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach
TL;DR: In this paper, the contagion effects of the global financial crisis in a multivariate Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) dynamic conditional correlation (DCC) framework during the period 1997-2012 were investigated.
Journal ArticleDOI
The more contagion effect on emerging markets: The evidence of DCC-GARCH model
TL;DR: In this article, the authors test the existence of financial contagion between foreign exchange markets of several emerging and developed countries during the U.S. subprime crisis and find that emerging markets seem to be the most influenced by the contagion effects.
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Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?
TL;DR: In this paper, the contagion effects of GIPSI (Greece, Ireland, Portugal, Spain and Italy), USA, UK and Japan markets on BRIICKS (Brazil, Russia, India, Indonesia, China, South Korea and South Africa) stock markets were examined.
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Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre
TL;DR: In this paper, the authors used Chinese-developed data based on long-standing influenza indices, and the more recently developed coronavirus and face mask indices, to test for the presence of volatility spillovers from Chinese financial markets upon a broad number of traditional financial assets during the outbreak of the COVID-19 pandemic.
References
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Journal ArticleDOI
Non-synchronous trading and testing for market integration in Central European emerging markets
TL;DR: In this paper, the authors argue that controlling for time differences in trading hours of stock markets is important and show that time-adjustment improves estimates of market integration and also show that using weekly frequency does not sidestep the consequences of the time-match problem but leads to significant loss of information.
Posted Content
Macroeconomic factors’ influence on “new” European countries stock returns: the case of four transition economies
TL;DR: In this paper, the authors investigated whether current and future domestic and international macroeconomic variables can explain long and short run stock returns in four “new” European countries (Poland, Czech Republic, Slovakia and Hungary).
Journal ArticleDOI
German, US and Central and Eastern European Stock Market Integration
TL;DR: In this article, the authors examined the long-term linkages between seven Central and Eastern European (CEE) emerging stock markets and two developed stock markets, namely the German and the US markets.
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Macroeconomic shocks and the co-movement of stock returns in Latin America ☆
TL;DR: In this paper, the authors studied the economic sources underlying the co-movement of real stock returns in Latin America and identified three structural shocks: demand, supply, and portfolio shocks.
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European Union enlargement and equity markets in accession countries
Tomáš Dvořák,Richard Podpiera +1 more
TL;DR: In this paper, the authors investigated the hypothesis that the rise in stock prices was a result of the repricing of systematic risk due to the integration of accession countries into the world market and found that firm-level stock price changes are positively related to the difference between a firm's local and world market betas.