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
Stock market linkages in emerging markets: implications for international portfolio diversification
Kate Phylaktis,Fabiola Ravazzolo +1 more
TL;DR: The authors examined the stock market linkages of a group of Pacific-Basin countries with US and Japan by estimating the multivariate cointegration model in both the autoregressive (AR) and moving average (MA) forms over the period 1980-1998.
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Does sovereign debt ratings news spill over to international stock markets
Miguel A. Ferreira,Paulo Gama +1 more
TL;DR: This paper showed that sovereign debt rating and credit outlook changes of one country have an asymmetric and economically significant effect on the stock market returns of other countries over 1989-2003, showing that there is a negative reaction of 51 basis points (two-day return spread vis-a-vis the US) to a credit ratings downgrade in a common information spillover around the world.
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Does Sovereign Debt Ratings News Spillover to International Stock Markets
TL;DR: This paper showed that sovereign debt rating and credit outlook changes of one country have an asymmetric and economically significant effect on the stock market returns of other countries over 1989-2003, showing that there is a negative reaction of 51 basis points (two-day return spread) to a credit ratings downgrade of one notch in a common information spillover around the world.
Journal ArticleDOI
Financial Market Spillovers in Transition Economies
TL;DR: In this paper, the authors examine financial market comovements across European transition economies and compare their experience to that of other regions, finding that structural breaks in the relationship between exchange-, but not stock markets, can partly be explained by direct trade linkages.
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Commonality in the time-variation of stock–stock and stock–bond return comovements ☆
TL;DR: In this paper, the authors investigate time-varying comovements between stock returns across countries and between long-term government bond and stock returns within countries, focusing on how daily return comovement vary with stock uncertainty, as measured by the implied volatility (IV) from equity index options.