The U.S. term structure and return volatility in emerging stock markets
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DOI: 10.1007/s12197-020-09511-x
Abstract: This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets. Decomposing the term structure of U.S. Treasury yields into two components, the expectations factor and the maturity… read more here.
Keywords: emerging stock; volatility; term; term structure ... See more keywords
Which is the safe haven for emerging stock markets, gold or the US dollar?
Sign Up to like & getrecommendations! Published in 2018 at "Emerging Markets Review"
DOI: 10.1016/j.ememar.2017.12.006
Abstract: This paper examines whether gold or the US dollar is a safe haven for emerging stocks. By calculating the low-high tail dependence between markets via copulas and the downside risk gains of portfolios, we find… read more here.
Keywords: dollar; dollar safe; stock markets; gold dollar ... See more keywords
The non-persistent relationship between foreign equity flows and emerging stock market returns across quantiles
Sign Up to like & getrecommendations! Published in 2018 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2018.03.002
Abstract: We compare the performance of two state-of-the-art predictive regression methods of IVX-Wald (Kostakis et al., 2015), IVX-Quantile regression (Lee, 2016) with the traditional OLS in examining the relationship between foreign equity flows and emerging stock… read more here.
Keywords: equity; foreign equity; emerging stock; equity flows ... See more keywords
Cross-border capital flows and return dynamics in emerging stock markets: Relative roles of equity and debt flows
Sign Up to like & getrecommendations! Published in 2020 at "Journal of International Money and Finance"
DOI: 10.1016/j.jimonfin.2020.102258
Abstract: This paper examines the wealth and risk effects of cross-border capital flows on emerging stock markets by distinguishing between equity and debt flows and using a panel GARCH approach. We find that both equity and… read more here.
Keywords: debt flows; debt; stock markets; emerging stock ... See more keywords
Long range dependence in an emerging stock market’s sectors: volatility modelling and VaR forecasting
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DOI: 10.1080/00036846.2017.1403559
Abstract: ABSTRACT This study evaluates the sector risk of the Qatar Stock Exchange (QSE), a recently upgraded emerging stock market, using value-at-risk models for the 7 January 2007–18 October 2015 period. After providing evidence for true… read more here.
Keywords: volatility; emerging stock; stock market; long range ... See more keywords
Emerging stock market reactions to shocks during various crisis periods
Sign Up to like & getrecommendations! Published in 2022 at "PLoS ONE"
DOI: 10.1371/journal.pone.0272450
Abstract: This study investigates granger causal linkages among six Asian emerging stock markets and the US market over the period 2002–2020, taking into account several crisis periods. The pairwise Granger causality tests for investigating the short-run… read more here.
Keywords: stock market; crisis periods; crisis; market ... See more keywords
Spillover effects between US ETFs and emerging stock markets
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DOI: 10.1504/gber.2018.10010997
Abstract: The current paper focuses on return and volatility spillovers between the US ETF market and emerging stock markets using a sample of 40 US-listed iShares, which track several emerging stock markets indices from the Americas,… read more here.
Keywords: model arma; stock markets; emerging stock; correlation ... See more keywords
LINKAGES BETWEEN OIL SECTORS RETURNS OF ASIAN EMERGING STOCK MARKETS: UNEARTHING THE HIDDEN OPPORTUNITY FOR PORTFOLIO DIVERSIFICATIO
Sign Up to like & getrecommendations! Published in 2020 at "International Journal of Energy Economics and Policy"
DOI: 10.32479/ijeep.9970
Abstract: The increase in the extent of integration between global markets declined the opportunity for international portfolio diversification. This in turn created the hurdles amongst the investors and therefore recently they either prefer less correlated emerging… read more here.
Keywords: portfolio; stock markets; emerging stock; asian emerging ... See more keywords