Efficiency and long-range correlation in G-20 stock indexes: A sliding windows approach
EF Guedes, RPC Santos, LHR Figueredo… - Fluctuation and Noise …, 2022 - World Scientific
This paper aims to analyze whether the financial crises of the past 20 years have reduced
efficiency, in its weak form, in 19 stock markets belonging to the 20 most developed …
efficiency, in its weak form, in 19 stock markets belonging to the 20 most developed …
Is the COVID-19 pandemic more contagious for the Asian stock markets? A comparison with the Asian financial, the US subprime and the Eurozone debt crisis
The ongoing COVID-19 pandemic has sent shock waves across the global stock markets.
Several financial crises in the past too have had a global impact with their reach extending …
Several financial crises in the past too have had a global impact with their reach extending …
COVID-19 pandemic and global financial market interlinkages: a dynamic temporal network analysis
The present study investigates the changes in G20 stock market dynamics and their
interlinkages in the aftermath of COVID-19. It utilizes the Detrended Cross-Correlation …
interlinkages in the aftermath of COVID-19. It utilizes the Detrended Cross-Correlation …
A nonlinear approach to quantifying investor fear in stock markets of BRIC
The information flow between BRIC and relevant volatilities constitutes a complex network,
which needs comprehensive analysis. We provide a rigorous investigation of information …
which needs comprehensive analysis. We provide a rigorous investigation of information …
How are policy uncertainty, real economy, and financial sector connected?
Frequent economic policy adjustments increase economic policy uncertainty. Recent studies
show that policy uncertainty has contractionary effects on real investment. We conduct a …
show that policy uncertainty has contractionary effects on real investment. We conduct a …
Financial contagion and networks among the oil and BRICS stock markets during seven episodes of crisis events
In this study, we contribute to the existing literature on Brent Crude oil and BRICS stock
markets by introducing a novel approach for testing financial market contagion, known as …
markets by introducing a novel approach for testing financial market contagion, known as …
Examining the efficiency and herding behavior of commodity markets using multifractal detrended fluctuation analysis. Empirical evidence from energy, agriculture …
We examine the efficiency and herding behavior between four energy markets (Crude,
Brent, Gasoline, and Natural gas), five agriculture markets (Corn, Wheat, Soybeans, Cocoa …
Brent, Gasoline, and Natural gas), five agriculture markets (Corn, Wheat, Soybeans, Cocoa …
A Study on Volatility Spillovers among International Stock Markets during the Russia‐Ukraine Conflict
S Mu, G Huang, P Li, Y Hou - Discrete Dynamics in Nature and …, 2022 - Wiley Online Library
This paper analyzes the dynamic time‐frequency volatility spillovers among the international
stock markets during the Russian‐Ukraine conflict. We use the VAR‐based connectedness …
stock markets during the Russian‐Ukraine conflict. We use the VAR‐based connectedness …
The Co‐Movement between International and Emerging Stock Markets Using ANN and Stepwise Models: Evidence from Selected Indices
D Al-Najjar - Complexity, 2022 - Wiley Online Library
In the past two decades, especially after the financial crisis of 2007–09, the literature for
examining the availability of integration between the stock exchanges in developed and …
examining the availability of integration between the stock exchanges in developed and …
Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression
O Tilfani, L Kristoufek, P Ferreira… - Physica A: Statistical …, 2022 - Elsevier
Heterogeneity of effects between economic variables has been a frequently discussed topic
for many years now. However, the estimation of such scale-dependent effects has proved …
for many years now. However, the estimation of such scale-dependent effects has proved …