Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries
Sign Up to like & getrecommendations! Published in 2020 at "Borsa Istanbul Review"
DOI: 10.1016/j.bir.2020.04.003
Abstract: Abstract Empirical findings focusing on the relationship between capital markets and macroeconomic variables are used as data sources in determining policies for the development of the conventional and Islamic financial system. The aim of this… read more here.
Keywords: volatility; islamic stock; spillover effects; volatility spillover ... See more keywords
Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis
Sign Up to like & getrecommendations! Published in 2019 at "Energy Economics"
DOI: 10.1016/j.eneco.2019.02.016
Abstract: This paper explores the dynamic conditional correlation and volatility linkage between Islamic indexes and oil for BRIC countries. Correlations between these assets increase during the global financial crisis for India and China but not for… read more here.
Keywords: volatility spillover; conditional correlation; volatility; oil ... See more keywords
Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach
Sign Up to like & getrecommendations! Published in 2019 at "Energy Economics"
DOI: 10.1016/j.eneco.2019.06.020
Abstract: Abstract This paper reveals some new evidence on the volatility spillover between fuel oil and stock index futures markets in China by considering its time-variant feature. Time-varying effect is specified by the Legendre polynomials in… read more here.
Keywords: volatility spillover; stock index; fuel oil; volatility ... See more keywords
Volatility spillover of energy stocks in different periods and clusters based on structural break recognition and network method
Sign Up to like & getrecommendations! Published in 2020 at "Energy"
DOI: 10.1016/j.energy.2019.116585
Abstract: This paper investigates the volatility spillover among multiple energy stocks in different periods and clusters (the period of similar fluctuation) by employing the Toeplitz inverse covariance-based clustering method (TICC) and network method. Specifically, we investigate… read more here.
Keywords: volatility spillover; energy; different periods; periods clusters ... See more keywords
Volatility spillover in crypto-currency markets: Some evidences from GARCH and wavelet analysis
Sign Up to like & getrecommendations! Published in 2019 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2019.04.154
Abstract: Abstract We study the dynamics of volatility spillover across four major cryptocurrency returns namely Bitcoin, Ethereum, Ripple and Litecoin from 15 − 08 − 2015 to 18 − 01 − 2018 . In the first… read more here.
Keywords: volatility spillover; volatility; currency markets; crypto currency ... See more keywords
Time-varying volatility spillovers between oil prices and precious metal prices
Sign Up to like & getrecommendations! Published in 2020 at "Resources Policy"
DOI: 10.1016/j.resourpol.2020.101783
Abstract: Abstract This paper tackles whether there is a return and volatility spillover effect between oil price and precious metal prices such as gold, silver, platinum, and palladium using the causality-in-variance test approach proposed by Hong… read more here.
Keywords: spillover effect; volatility spillover; volatility; precious metal ... See more keywords
Exchange rate volatility in West African countries: is there a shred of Spillover?
Sign Up to like & getrecommendations! Published in 2018 at "International Journal of Emerging Markets"
DOI: 10.1108/ijoem-08-2017-0312
Abstract: Purpose The purpose of this paper is to evaluate selected West African currencies/US dollar exchange rates for the evidence of volatility spillover. Specifically, the paper examines West African CFA franc, Gambian dalasi and Nigerian naira… read more here.
Keywords: volatility spillover; volatility; west african; exchange ... See more keywords
Volatility spillover between stock and foreign exchange market of China: evidence from subprime Asian financial crisis
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Asia Business Studies"
DOI: 10.1108/jabs-01-2016-0003
Abstract: This paper aims to examine the volatility spillover dynamics between stock and foreign exchange market of China considering subprime 2007 financial crisis period.,This study considered daily data from January 2, 2002, to December 31, 2013.… read more here.
Keywords: foreign exchange; volatility spillover; volatility; period ... See more keywords
Integration and Volatility Spillover Among Environmental, Social and Governance Indices: Evidence from BRICS Countries
Sign Up to like & getrecommendations! Published in 2022 at "Global Business Review"
DOI: 10.1177/09721509221114699
Abstract: The current research examines the integration of environmental, social and governance (ESG) equity indices among emerging markets, that is, Brazil, Russia, India, China and South Africa (BRICS). Daily data of the ESG equity index from… read more here.
Keywords: integration; volatility spillover; volatility; environmental social ... See more keywords
Research on volatility spillover effect between foreign exchange and stock market based on computer simulation multi resolution analysis
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Intelligent and Fuzzy Systems"
DOI: 10.3233/jifs-219034
Abstract: In order to analyze the volatility spillover effect between foreign exchange and stock market, this paper adopts the wavelet multi-resolution analysis method of computer simulation. Firstly, aiming at the problem of high and low frequency… read more here.
Keywords: volatility spillover; exchange; multi resolution; volatility ... See more keywords
Systemic Importance of China’s Financial Institutions: A Jump Volatility Spillover Network Review
Sign Up to like & getrecommendations! Published in 2020 at "Entropy"
DOI: 10.3390/e22050588
Abstract: The investigation of the systemic importance of financial institutions (SIFIs) has become a hot topic in the field of financial risk management. By making full use of 5-min high-frequency data, and with the help of… read more here.
Keywords: china financial; volatility spillover; financial institutions; systemic importance ... See more keywords