Empirical Evidence On Financial Spillovers And Contagion To International Stock Markets

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Empirical Evidence On Financial Spillovers And Contagion To International Stock Markets

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Author : Dobromi·l Serwa
language : en
Publisher:
Release Date : 2005

Empirical Evidence On Financial Spillovers And Contagion To International Stock Markets written by Dobromi·l Serwa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

Empirical Evidence On Financial Spillovers And Contagion To International Stock Markets

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Author :
language : en
Publisher:
Release Date : 2005

Empirical Evidence On Financial Spillovers And Contagion To International Stock Markets written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

In this thesis different definitions of financial contagion are explored. These definitions are applied to test for evidence of contagion on a number of stock markets and during several turbulent periods. First, we investigate the question whether emerging stock markets are more or less vulnerable to large financial shocks than developed capital markets. Second, this study analyzes how significant financial turmoil can change the direction and strength of spillovers between a mature calm market and emerging crisis markets. Additionally, we explore the direction of spillovers and contagion effects between two crisis markets during the same turbulent period. Third, dynamic dependencies between mature stock markets are explored to learn how the strength of spillovers changes in tranquil and turbulent times and how crisis markets are influenced by the leading stock market.

Volatility Spillovers And Contagion From Mature To Emerging Stock Markets

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Author : John Beirne
language : en
Publisher:
Release Date : 2009

Volatility Spillovers And Contagion From Mature To Emerging Stock Markets written by John Beirne and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Stock exchanges categories.

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.

Volatility Spillovers And Contagion From Mature To Emerging Stock Markets

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Author : John Beirne
language : en
Publisher: INTERNATIONAL MONETARY FUND
Release Date : 2008-12-01

Volatility Spillovers And Contagion From Mature To Emerging Stock Markets written by John Beirne and has been published by INTERNATIONAL MONETARY FUND this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-12-01 with categories.

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.

International Mutual Funds Capital Flow Volatility And Contagion A Survey

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Author : Mr.R. Gelos
language : en
Publisher: International Monetary Fund
Release Date : 2011-04-01

International Mutual Funds Capital Flow Volatility And Contagion A Survey written by Mr.R. Gelos and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-04-01 with Business & Economics categories.

Gaining a better understanding of the behavior of international investors is key for informing the debate about the optimal response to capital flows and about reforms to the international financial architecture. In this context, recent research on the behavior of international mutual funds at the micro level has expanded our knowledge about the drivers of portfolio flows and the mechanisms behind the transmission of financial shocks across countries. This paper provides a brief survey of this literature, with a focus on the empirical evidence for emerging markets. Overall, the behavior of international mutual funds is complex and overly simplistic characterizations are misleading. However, there is broad-based evidence for momentum trading among funds. Moreover, funds tend to avoid opaque markets and assets, and this behavior becomes more pronounced during volatile times. Portfolio rebalancing mechanisms are clearly important in explaining contagion patterns, even in the absence of common macroeconomic fundamentals. From a surveillance point of view, this implies that monitoring the exposures of large investors at a micro level is crucial to assess vulnerabilities.

Identifying International Financial Contagion

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Author : Mardi Dungey
language : en
Publisher: Oxford University Press, USA
Release Date : 2005

Identifying International Financial Contagion written by Mardi Dungey and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business & Economics categories.

This book tackles these factors theoretically, providing an intellectually satisfying framework for the understanding of financial contagion."--Jacket.

Information Spillovers And Market Integration In International Finance

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Author : Suk-Joong Kim
language : en
Publisher: World Scientific Publishing Company
Release Date : 2017

Information Spillovers And Market Integration In International Finance written by Suk-Joong Kim and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Business & Economics categories.

The contents in this volume are based on the program Sets and Computations that was held at the Institute for Mathematical Sciences, National University of Singapore from 30 March until 30 April 2015. This special collection reports on important and recen

Unanticipated Shocks And Systemic Influences

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Author : Mr.Mardi Dungey
language : en
Publisher: International Monetary Fund
Release Date : 2003-04-01

Unanticipated Shocks And Systemic Influences written by Mr.Mardi Dungey and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-04-01 with Business & Economics categories.

August to September 1998 has been characterized as one of the worst episodes of global financial distress in decades. This paper investigates the transmission of the Russian and the LTCM crises through global equity markets using a panel of 14 developing and industrial countries. The results show that contagion was systemic during the period, with industrial countries providing the dominant cross-country transmission linkages. Both crises reinforced each other, highlighting the importance of studying them jointly. An implication of the empirical results is that models of contagion that exclude industrial countries are potentially misspecified and may yield misleading outcomes.

International Financial Contagion

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Author : Stijn Claessens
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-04-17

International Financial Contagion written by Stijn Claessens and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-17 with Business & Economics categories.

No sooner had the Asian crisis broken out in 1997 than the witch-hunt started. With great indignation every Asian economy pointed fingers. They were innocent bystanders. The fundamental reason for the crisis was this or that - most prominently contagion - but also the decline in exports of the new commodities (high-tech goods), the steep rise of the dollar, speculators, etc. The prominent question, of course, is whether contagion could really have been the key factor and, if so, what are the channels and mechanisms through which it operated in such a powerful manner. The question is obvious because until 1997, Asia's economies were generally believed to be immensely successful, stable and well managed. This question is of great importance not only in understanding just what happened, but also in shaping policies. In a world of pure contagion, i.e. when innocent bystanders are caught up and trampled by events not of their making and when consequences go far beyond ordinary international shocks, countries will need to look for better protective policies in the future. In such a world, the international financial system will need to change in order to offer better preventive and reactive policy measures to help avoid, or at least contain, financial crises.

Financial Market Dynamics After Covid 19

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Author : Stéphane Goutte
language : en
Publisher: Springer Nature
Release Date : 2022-04-27

Financial Market Dynamics After Covid 19 written by Stéphane Goutte and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-04-27 with Business & Economics categories.

This book analyses the impact of the COVID-19 pandemic in different areas of Finance emphasizing the contagion effect in capital markets. The volume presents evidence-based case studies from the global financial crisis that followed after the onset of the pandemic in March 2020.