Topic
Spillover effect
About: Spillover effect is a research topic. Over the lifetime, 7869 publications have been published within this topic receiving 167367 citations.
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TL;DR: In this article , the authors used the improved Diebold & Yilmaz method based on TVP-VAR-SV model to analyze dynamic connectedness between energy, precious metal, industrial metal, agriculture and livestock commodity markets.
52 citations
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TL;DR: This paper examined the spillover effects of scheduled announcements of the US and Japanese macroeconomic variables in the advanced Asia-Pacific stock markets of Australia, Hong Kong and Singapore for the period 2 January 1991 to 31 May 1999.
Abstract: This paper investigates the nature of information leadership of the US and Japan in the advanced Asia-Pacific stock markets. Instead of just relying on return and return volatility spillovers from major markets, specific and disaggregated news events are also utilized. In particular, the aim is to examine the nature of spillover effects of scheduled announcements of the US and Japanese macroeconomic variables in the advanced Asia-Pacific stock markets of Australia, Hong Kong and Singapore for the period 2 January 1991 to 31 May 1999. The investigation reveals that both US and Japanese announcement news elicit significant first and second moment influences on the returns of the other markets, in general, and that there is a complex array of significant market responses to various news announcements. There is also strong evidence of markets responding differently to bad news announcements compared to overall news (including both good and bad news) announcements which indicate that the information content of each economic announcement is a source of tradable information rather than the act of releasing economic figures. Thus, this paper contributes to the literature by shedding light on the important drivers of the documented information leadership of the US and Japanese stock markets.
52 citations
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TL;DR: The authors empirically investigated the regional economic impact of oil and gas extraction in Texas during the recent shale oil boom and found that economic impacts were larger for extraction from gas wells than oil wells, while the drilling phase generated comparable impacts.
52 citations
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TL;DR: In this paper, the authors used the time-varying vector parameter autoregressive model with stochastic volatility (TVP-VAR-SV model) and impulse response function to study the intensity and direction of the time changing spillover effects between the carbon market and fossil energy markets.
52 citations
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TL;DR: In this paper, the authors evaluate the information spillover between equity-related uncertainty and the oil price before and after the 2008 global financial crisis, and the effects of exogenous shocks on the pattern of information spill over.
52 citations