Stock market volatility: a systematic review
Purpose The increasing globalization and technological advancements have increased the
information spillover on stock markets from various variables. However, there is a dearth of a …
information spillover on stock markets from various variables. However, there is a dearth of a …
Impact of COVID-19 on volatility spillovers across international markets: evidence from VAR asymmetric BEKK GARCH model
This study contributes to the COVID-19 related literature in finance by examining asymmetric
volatility spillover across stock, Bitcoin, gold and oil markets before and during the COVID …
volatility spillover across stock, Bitcoin, gold and oil markets before and during the COVID …
Risk transmission from the COVID-19 to metals and energy markets
I Yousaf - Resources Policy, 2021 - Elsevier
We examine the risk transmission from the COVID-19 to metal (precious and industrial) and
energy markets using the BEKK-MGARCH model. The findings reveal the significant and …
energy markets using the BEKK-MGARCH model. The findings reveal the significant and …
Modelling volatility spillovers from the US equity market to ASEAN stock markets
An important aspect of increased international financial integration is the associated
increase in volatility spillover. Analyzing volatility spillovers from advanced economies to …
increase in volatility spillover. Analyzing volatility spillovers from advanced economies to …
[HTML][HTML] Return and volatility connectedness between gold and energy markets: Evidence from the pre-and post-COVID vaccination phases
Using a two-step VAR asymmetric BEKK GARCH model, this research explores the
asymmetric return and volatility connectedness between gold and several energy markets …
asymmetric return and volatility connectedness between gold and several energy markets …
Return and volatility spillover between India and leading Asian and global equity markets: an empirical analysis
AK Mishra, S Agrawal, JA Patwa - Journal of Economics, Finance and …, 2022 - emerald.com
Purpose The study uses the multivariate GARCH-BEKK model (which was first proposed by
Baba et al.(1990) and then further developed by Engle and Kroner (1995)) to examine the …
Baba et al.(1990) and then further developed by Engle and Kroner (1995)) to examine the …
[HTML][HTML] Global and regional stock market integration in Asia: A panel convergence approach
GM Caporale, K You, L Chen - International Review of Financial Analysis, 2019 - Elsevier
This paper examines global and regional stock market integration in Asia at both the
aggregate and disaggregate (industry) levels by applying the Phillips-Sul (2007) tests for …
aggregate and disaggregate (industry) levels by applying the Phillips-Sul (2007) tests for …
Dynamic connectedness between Bitcoin and equity market information across BRICS countries: Evidence from TVP-VAR connectedness approach
AM Dahir, F Mahat, BA Amin Noordin… - International Journal of …, 2020 - emerald.com
Purpose Recent trends and developments in Bitcoin have led to a proliferation of studies
that analyzed the Bitcoin returns and volatility; however, the volatility connectedness …
that analyzed the Bitcoin returns and volatility; however, the volatility connectedness …
[PDF][PDF] IMPACT OF BANK CAPITAL ADEQUACY ON BANK PROFITABILITY UNDER BASEL II ACCORD: EVIDENCE FROM VIETNAM.
TH Nguyen - Journal of Economic Development, 2020 - jed.cau.ac.kr
This paper explores the impact of capital adequacy on bank profitability in the context of
Basel II Accord implementation in Vietnam. In this study, bank profitability is measured by …
Basel II Accord implementation in Vietnam. In this study, bank profitability is measured by …
An analysis of stock markets integration and dynamics of volatility spillover in emerging nations
I Khan - Journal of Economic and Administrative Sciences, 2023 - emerald.com
Purpose BRICS (Brazil, Russia, India, China, and South Africa) a group of five emerging
nations that are expected to lead the global economy by the year 2050. The growth potential …
nations that are expected to lead the global economy by the year 2050. The growth potential …