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.
Journal ArticleDOI
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.
Journal ArticleDOI
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.
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Posted Content
Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion
TL;DR: In this paper, the authors build on a standard factor model of stock market returns to reconsider recent empirical literature on contagion in financial markets based on bivariate correlation analysis and show that the result of "no contagion, only interdependence" stressed by recent contributions is due to arbitrary and unrealistic restrictions on the variance of country specific shocks.
ReportDOI
Volatiltiy and Links Between National Stock Markets
TL;DR: In this article, a factor model for sixteen national stock market returns whose volatility is induced by changing volatility in the factors is presented. But the authors find that only a small proportion of their covariances can be accounted for by 'observable' economic variables.
Journal ArticleDOI
Dynamic correlation analysis of financial contagion: Evidence from Asian markets
TL;DR: This article applied a dynamic conditional-correlation model to nine Asian daily stock-return data series from 1990 to 2003 to identify two phases of the Asian crisis, and found an increase in correlation (contagion) and continued high correlation (herding).
Journal ArticleDOI
Market Integration and Investment Barriers in Emerging Equity Markets
TL;DR: This paper developed a return-based measure of market integration for nineteen emerging equity markets and examined the relation between that measure, other return characteristics, and broadly defined investment barriers, concluding that the most important de facto barriers to global equity-market integration are poor credit ratings, high and variable inflation, exchange rate controls, lack of a high-quality regulatory and accounting framework, the lack of sufficient country funds or cross-listed securities, and the limited size of some stock markets.
Journal ArticleDOI
Herd Behaviour and Cascading in Capital Markets: A Review and Synthesis
David Hirshleifer,Siew Hong Teoh +1 more
TL;DR: In this paper, the authors review theory and evidence relating to herd behaviour, payoff and reputational interactions, social learning, and informational cascades in capital markets and evaluate how alternative theories may help explain evidence on the behaviour of investors, firms, and analysts.