[HTML][HTML] Tail-event driven NETwork dependence in emerging markets
This paper employs the Tail Event NETwork (TENET) to identify financial markets with
greater potential risk, and simultaneously investigate the interdependence between them …
greater potential risk, and simultaneously investigate the interdependence between them …
Dynamic spillovers among natural gas, liquid natural gas, trade policy uncertainty, and stock market
S Roudari, A Sadeghi, S Gholami, W Mensi… - Resources Policy, 2023 - Elsevier
Given Qatar's economic structure and geographical features, we examine the likely
spillovers among natural gas, liquid natural gas (LNG), trade policy uncertainty (TPU), and …
spillovers among natural gas, liquid natural gas (LNG), trade policy uncertainty (TPU), and …
Do volatility spillover and hedging among GCC stock markets and global factors vary from normal to turbulent periods? Evidence from the global financial crisis and …
In this paper, we use a bivariate VAR-asymmetric-BEKK-GARCH model to examine returns,
asymmetric volatility spillovers, and time-varying correlations among GCC stock markets …
asymmetric volatility spillovers, and time-varying correlations among GCC stock markets …
Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect
R Huo, AD Ahmed - Economic Modelling, 2017 - Elsevier
This study investigates the impact of the recently introduced Shanghai-Hong Kong Stock
Connect. Using high frequency data and dynamic forecasting techniques, we find that the …
Connect. Using high frequency data and dynamic forecasting techniques, we find that the …
Volatility spillover impact of world oil prices on leading Asian energy exporting and importing economies' stock returns
Today Asia accounts for about 40% of the world oil trade and most of the trade is transpired
within the region. This study presents an investigation of the volatility spillovers among …
within the region. This study presents an investigation of the volatility spillovers among …
[HTML][HTML] What influences stock market co-movements between China and its Asia-Pacific trading partners after the Global Financial Crisis?
Y Shi - Pacific-Basin Finance Journal, 2022 - Elsevier
This paper investigates the stock market co-movements between China and its 12 trading
partners in the Asia-Pacific region after the Global Financial Crisis. The Dynamic Conditional …
partners in the Asia-Pacific region after the Global Financial Crisis. The Dynamic Conditional …
Spillovers between Sukuks and Shariah-compliant equity markets
In this paper, we quantify the directional spillovers from sukuk (Islamic bond) markets to
Shariah-compliant equity markets and vice versa. The directions and magnitudes of …
Shariah-compliant equity markets and vice versa. The directions and magnitudes of …
Are benchmark stock indices, precious metals or cryptocurrencies efficient hedges against crises?
This study investigates whether benchmark stock indices, precious metals or
cryptocurrencies constitute more reliable hedging mechanisms in normal periods in …
cryptocurrencies constitute more reliable hedging mechanisms in normal periods in …
Spillovers and connectedness between Chinese and ASEAN stock markets during bearish and bullish market statuses
Purpose This study aims to examine the tail connectedness between the Chinese and
Association of Southeast Asian Nations (ASEAN) stock markets. More specifically, the …
Association of Southeast Asian Nations (ASEAN) stock markets. More specifically, the …
[HTML][HTML] COVID-19 and uncertainty spillovers in Indian stock market
In this paper, we have examined the impact of COVID-19 on the volatility spillovers among
ten major sector indices listed in BSE India. We found that total volatility spillovers reached …
ten major sector indices listed in BSE India. We found that total volatility spillovers reached …