[HTML][HTML] Stock market efficiency: An intraday case of study about the G-20 group

GF Zebende, RMTS Dias, LC de Aguiar - Heliyon, 2022 - cell.com
Given the importance of the financial markets in the global context, data analysis and new
statistical approach are always welcome, especially if we are referring to G-20 group (the …

Stock markets and the COVID-19 fractal contagion effects

DI Okorie, B Lin - Finance Research Letters, 2021 - Elsevier
This article investigates the fractal contagion effect of the COVID-19 pandemic on the stock
markets. The stock market information of the top 32 coronavirus affected economies (as of …

Assessing the impact of the Russia–Ukraine war on energy prices: A dynamic cross-correlation analysis

CMC Inacio Jr, L Kristoufek, SA David - Physica A: Statistical Mechanics …, 2023 - Elsevier
The ongoing conflict between Russia and Ukraine has raised concerns about the stability of
energy supplies from Russia, one of the largest crude oil, refined products and natural gas …

[HTML][HTML] Contagion effect in cryptocurrency market

P Ferreira, É Pereira - Journal of Risk and Financial Management, 2019 - mdpi.com
The rapid development of cryptocurrencies has drawn attention to this particular market, with
investors trying to understand its behaviour and researchers trying to explain it. The …

[HTML][HTML] Effects of Interdependence and Contagion on Crude Oil and Precious Metals According to ρDCCA: A COVID-19 Case Study

TP Santana, N Horta, C Revez, RMTS Dias… - Sustainability, 2023 - mdpi.com
The energy sector has been the main economic hub in everyone's lives and in world
geopolitics. Consequently, oil, gas, electricity and energy from renewable sources (wind and …

Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis

P Ferreira, ÉJDAL Pereira, MF da Silva… - Physica A: Statistical …, 2019 - Elsevier
The relationship between oil prices and stock markets is commonly studied, in order to
understand how financial markets are influenced by this important real asset. The evidence …

Dynamic cross-correlation and dynamic contagion of stock markets: A sliding windows approach with the DCCA correlation coefficient

O Tilfani, P Ferreira, MY El Boukfaoui - Empirical Economics, 2021 - Springer
How stock markets relate to each other is very important because this could have positive
effects (such as enhancing economic growth) but also negative effects (possible contagion …

Differential market reactions to pre and post Brexit referendum

U Bashir, GF Zebende, Y Yu, M Hussain, A Ali… - Physica A: Statistical …, 2019 - Elsevier
Abstract The United Kingdom voted to leave the European Union on 23 June 2016, which
led to a notable shift in the financial markets. This study investigates the dynamic linkages …

Financial contagion analysis in frontier markets: Evidence from the US subprime and the Eurozone debt crises

W Mohti, A Dionísio, I Vieira, P Ferreira - Physica A: Statistical Mechanics …, 2019 - Elsevier
This study assesses the effects of the US financial and the Eurozone debt crises on a large
set of frontier stock markets. Detrended Cross Correlation Analysis (DCCA) and Detrended …

Cryptocurrency spectrum and 2020 pandemic: Contagion analysis

DI Okorie, B Lin - International Review of Economics & Finance, 2023 - Elsevier
While several studies evaluate the impacts of the novel coronavirus pandemic on different
markets, it is worth the while to also examine its contagion (fractal) effect on the top (based …