Endre søk
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
Equity Market Contagion in Return Volatility during Euro Zone and Global Financial Crises: Evidence from FIMACH Model
Blekinge Tekniska Högskola, Fakulteten för teknikvetenskaper, Institutionen för industriell ekonomi.
Blekinge Tekniska Högskola, Fakulteten för teknikvetenskaper, Institutionen för industriell ekonomi.
Blekinge Tekniska Högskola, Fakulteten för teknikvetenskaper, Institutionen för industriell ekonomi.
2019 (engelsk)Inngår i: Journal of Risk and Financial Management, ISSN 1911-8074, Vol. 12, nr 2, artikkel-id 94Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including the US, UK, Euro Zone and BRICS (Brazil, Russia, India, China and South Africa) countries, as a proxy for the measurement of volatility. Results from the conditional heteroskedasticity long memory model show the evidence of long memory in the squared stock returns of all 35 stock indices studied. Empirical findings show the evidence of contagion during the global financial crisis (GFC) and Euro Zone crisis (EZC). The intensity of contagion varies depending on its sources. This implies that the effects of shocks are not symmetric and may have led to some structural changes. The effect of contagion is also studied by decomposing the level series into explained and unexplained behaviors.

sted, utgiver, år, opplag, sider
MDPI, 2019. Vol. 12, nr 2, artikkel-id 94
Emneord [en]
contagion; financial markets; global financial crisis; Euro zone crisis; long memory
HSV kategori
Identifikatorer
URN: urn:nbn:se:bth-18534DOI: 10.3390/jrfm12020094ISI: 000475294000045OAI: oai:DiVA.org:bth-18534DiVA, id: diva2:1342151
Tilgjengelig fra: 2019-08-12 Laget: 2019-08-12 Sist oppdatert: 2019-09-10bibliografisk kontrollert

Open Access i DiVA

fulltext(267 kB)31 nedlastinger
Filinformasjon
Fil FULLTEXT02.pdfFilstørrelse 267 kBChecksum SHA-512
929ea2c979727e5bc2a40e237ac3f1e5791acf035c1a6136ed5c02d9c630f2cf3239712f764d77161ed13ab50686380d48d985aea5fad51a4dda89a8b7e94ba2
Type fulltextMimetype application/pdf

Andre lenker

Forlagets fulltekst

Personposter BETA

Quoreshi, A.M.M. ShahiduzzamanJienwatcharamongkhol, Viroj

Søk i DiVA

Av forfatter/redaktør
Quoreshi, A.M.M. ShahiduzzamanJienwatcharamongkhol, Viroj
Av organisasjonen

Søk utenfor DiVA

GoogleGoogle Scholar
Totalt: 31 nedlastinger
Antall nedlastinger er summen av alle nedlastinger av alle fulltekster. Det kan for eksempel være tidligere versjoner som er ikke lenger tilgjengelige

doi
urn-nbn

Altmetric

doi
urn-nbn
Totalt: 131 treff
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf