Oil and stock markets before and after financial crises: A local Gaussian correlation approach
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Futures Markets"
DOI: 10.1002/fut.21860
Abstract: The effect of financial shocks on the cross-market linkages between oil prices (spot and futures) and stock markets is examined for four major crises. We employ the local Gaussian correlation approach and find that the… read more here.
Keywords: stock markets; correlation approach; gaussian correlation; local gaussian ... See more keywords
Did Baltic stock markets offer diversification benefits during the recent financial turmoil? Novel evidence from a nonparametric causality-in-quantiles test
Sign Up to like & getrecommendations! Published in 2018 at "Empirica"
DOI: 10.1007/s10663-016-9344-4
Abstract: Abstract Motivated by financial liberalization investors seek for new investment opportunities through international portfolio diversification. To this end we explore any asymmetric causal relationship between developed European stock markets (Germany, France and UK) and emerging… read more here.
Keywords: novel; stock markets; diversification; causality ... See more keywords
Intra-EMU and non-EMU, EU stock markets’ return spillover: evidence from ESDC
Sign Up to like & getrecommendations! Published in 2019 at "Empirica"
DOI: 10.1007/s10663-019-09437-6
Abstract: This study analyses and compares the dynamics of intra-European Monetary Union (EMU) and intra-non-EMU, European Union (EU) stock markets’ return spillover during European Sovereign Debt Crisis (November 2, 2009 to December 30, 2016). Diebold and… read more here.
Keywords: stock markets; emu stock; return spillover; non emu ... See more keywords
Volatility and asymmetric dependence in Central and East European stock markets
Sign Up to like & getrecommendations! Published in 2020 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-020-00874-0
Abstract: We study the effects of contagion around the global financial crisis (GFC) and the Eurozone crisis periods using German and UK returns, each paired with returns from Central and East European (CEE) stock markets that… read more here.
Keywords: dependence; cee; volatility; stock markets ... See more keywords
Examining the asymmetric effects of stock markets and exchange rate volatility on Pakistan’s environmental pollution
Sign Up to like & getrecommendations! Published in 2020 at "Environmental Science and Pollution Research"
DOI: 10.1007/s11356-020-09240-y
Abstract: The purpose of this study is to observe the effects of stock markets and exchange rate volatility on environmental pollution in Pakistan during the period 1985–2018. A nonlinear autoregressive distributed lag (ARDL) model is applied… read more here.
Keywords: stock markets; rate volatility; exchange rate;
Oil speculation and herding behavior in emerging stock markets
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Economics and Finance"
DOI: 10.1007/s12197-018-9427-0
Abstract: This paper explores the relationship between stock and commodity markets from a novel perspective by examining the relationship between speculation in the oil market and investor herding in stock markets. Using firm level data from… read more here.
Keywords: speculation herding; oil; stock markets; oil speculation ... See more keywords
Sentiment dynamics and volatility of international stock markets
Sign Up to like & getrecommendations! Published in 2017 at "Eurasian Business Review"
DOI: 10.1007/s40821-016-0063-3
Abstract: This study attempts to analyze the effects of investor sentiment on volatility of nine stock markets, and capture the asymmetry in terms of negative and positive news during the period from January, 2004 to June,… read more here.
Keywords: volatility; stock markets; investor sentiment; sentiment ... See more keywords
Modeling the frequency dynamics of spillovers and connectedness between crude oil and MENA stock markets with portfolio implications
Sign Up to like & getrecommendations! Published in 2021 at "Economic Analysis and Policy"
DOI: 10.1016/j.eap.2021.06.001
Abstract: Abstract This paper examines the frequency of spillovers between crude oil futures and the Middle East and North Africa (MENA) stock markets. We use the methodologies proposed by Diebold and Yilmaz (2012) and Barunik and… read more here.
Keywords: term; frequency; oil; stock markets ... See more keywords
Impacts of China's crash on Asia-Pacific financial integration: Volatility interdependence, information transmission and market co-movement
Sign Up to like & getrecommendations! Published in 2019 at "Economic Modelling"
DOI: 10.1016/j.econmod.2018.09.029
Abstract: Abstract This paper examines the price and volatility dynamics between China and major stock markets in the Asia-Pacific, investigating the effects of the Chinese stock market crash (2015–2016) for the first time. Employing the Bayesian… read more here.
Keywords: stock markets; asia pacific; volatility; market ... See more keywords
Assessing downside and upside risk spillovers across conventional and socially responsible stock markets
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DOI: 10.1016/j.econmod.2019.09.023
Abstract: Abstract Since the aftermath of the recent global financial crisis, socially responsible (SR) investments have become an alternative form of conventional finance, giving rise to further systemic risk between conventional and SR stock markets. In… read more here.
Keywords: risk; responsible stock; stock markets; market ... 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