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Benjamin Mudiangombe Mudiangombe and John Weirstrass Muteba Mwamba
This paper examines the effects of the Standard and Poor?s 500 (SP500) stock index crash during the global financial crisis and the COVID-19 pandemic periods on the South African top sector indices (basic materials, consumer goods, consumer services, fin...
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Nassar S. Al-Nassar
This study contributes to the ongoing debate on the size effect and size-based investment styles by investigating the return and volatility spillovers and time-varying conditional correlations among Saudi large-, mid-, and small-cap indices. To this end,...
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Nassar S. Al-Nassar and Beljid Makram
This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small and medium-sized enterprise (SME) stock markets in Saudi Arabia and Egypt for the periods before and during the COVID-19 pandemic. Ret...
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Arfaoui Mongi,Haj Ali Dhouha
Pág. 252 - 270
The present paper studies stock-commodity markets linkage using var-garch approach for the period spanning from January 3, 2000 to March 12, 2014. The analysis has been performed through three competing specifications; the var-ccc-garch, the var-bekk-gar...
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Kalu O. Emenike
AbstractThe direction and intensity of volatility transmission between the money and stock markets are important for portfolio selection and diversification, optimal hedging strategy, financial market regulation, and risk management. The purpose of this ...
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Amir Saadaoui,Younes Boujelbene
Pág. 41 - 49
In the course of the recent global crisis, the stock shocks are distributed and transmitted from their homes in the developed stock market to emerging stock markets. By supporting the development of emerging stock markets, this study aims to see the tran...
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Gaye Gencer,Zafer Musoglu
Pág. 705 - 713
This paper examines the volatility transmission mechanisms bivariately, between gold prices and alternatively, Turkish stock market and government bond indices. We employ the BEKK-GARCH model for evaluating the volatility linkages, as a robust technique....
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