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Narayana Maharana, Ashok Kumar Panigrahi, Suman Kalyan Chaudhury, Minal Uprety, Pratibha Barik and Pushparaj Kulkarni
This study explores the resilience of the Indian stock market in the face of global shocks in the post-pandemic era, focusing on its volatility dynamics and interconnections with international indices. Through a combination of Vector Autoregression (VAR)...
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Afees A. Salisu, Kazeem O. Isah, Alberto Assandri
Pág. 255 - 283
This study examines probable dynamic spillover transmissions between the Nigerian stock and money markets using the multivariate volatility framework that simultaneously accounts for both returns and shock spillovers. Based on relevant pre-tests, the VAR...
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Baocheng Yu, Wei Fang, Shupei Huang, Siyao Liu, Yajie Qi and Xiaodan Han
Air pollution spillover can cause air pollution to negatively affect neighboring regions. The structure of air pollution spillover varies with changes in season and space. Researching the spatial and seasonal characteristics of air pollution spillover is...
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Daijun Zhang, Xiaoqi Zhang, Yanqiao Zheng, Xinyue Ye, Shengwen Li and Qiwen Dai
This study analyzed the spillovers among intra-urban housing submarkets in Beijing, China. Intra-urban spillover imposes a methodological challenge for housing studies from the spatial and temporal perspectives. Unlike the inter-urban spillover, the rang...
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Fitria Yuliani,Hermanto Siregar,Widyastutik Widyastutik,Amzul Rifin
Pág. 287 - 296
Foreign direct investment (FDI) is necessary for Indonesia since the rate of saving is still low compared to the higher demand for investment in Indonesia. FDI contributes not only to the higher rate of investment but also to the spillover of other indus...
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Lan Yi, Jianping Tao, Caifeng Tan and Zhongkun Zhu
Animal disease is a major threat to the sustainability of the global livestock market. We explore the price risk spillover of avian influenza to the broiler market, from the perspective of public opinion. Unlike in previous work, where avian influenza is...
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Junjie Li, Li Zheng, Chunlu Liu and Zhifeng Shen
With the rapid development of information communication technology and the Internet, information spillover between cities in real estate markets is becoming more frequent. The influence of information spillover in real estate markets is becoming more and...
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Mouna Ben Saad Zorgati
This study investigates the risk spillover effect between the exchange rate of importing and exporting oil countries and the oil price. The analysis is supported by the utilization of a set of double-long memories. Thereafter, a multivariate GARCH type m...
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Mohanasundaram Thangamuthu, Suneel Maheshwari and Deepak Raghava Naik
We examined volatility spillover effects from five prominent global stock markets to India?s stock market during the pre-and-post COVID-19 outbreak using daily adjusted closing prices between January 2019 and September 2021 from six capital markets. The ...
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Lu Wang, Shumin Jiang and Hua Xu
In this study, the static and dynamic spatial Durbin model between industrial structure and haze pollution in Yangtze River Delta is constructed. Later, the spatial spillover effect and time lag effect of haze pollution in Yangtze River Delta are analyze...
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Yanbin Li, Dan Nie, Bingkang Li and Xiyu Li
The power sector is one of the major contributors to China?s carbon emissions, and its low-carbon transformation is of vital importance to China?s long-term sustainable development. This paper aims to investigate the spillover effect between the carbon e...
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Xiping Wang and Moyang Li
This study investigated the spatial spillover effects of environmental regulation (ER) on industrial green growth performance (IGGP) in China. Firstly, a parametric stochastic frontier analysis (SFA) was estimated to measure IGGP using the data of China?...
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Nassar S. Al-Nassar and Abdulrahman A. Albahouth
The influence of recent global shocks such as the COVID-19 pandemic and the Russian?Ukrainian war on the variability of major macroeconomic trends not only shows synchronized behavior across economies but also induces similar policy responses to counter ...
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Kurukulasuriya Dinesh Udana Devindra Fernando, Thambawita Maddumage Nimali Tharanga, Narayanage Jayantha Dewasiri, Kiran Sood, Simon Grima and Eleftherios Thalassinos
The contemporary environment is interrelated, and interactions between markets, countries, and international actors at different levels exist in every corner of the globe. Amid this, the failures of the free-market system have paved the way for instituti...
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Imran Yousaf, Shoaib Ali and Wing-Keung Wong
This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of the Chinese sto...
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Fan Wu, Anqi Liu, Jing Chen and Yuhua Li
The collapse of Silicon Valley Bank in 2023 was historically significant, and based on past experiences with similar banking sector shocks, it is widely expected to trigger domino effects among tech giants and startups. However, based on the analysis of ...
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Yang Liu and Yongchen Zhao
Understanding liquidity and liquidity risk is essential for effective risk management. We investigate liquidity spillover effects among ETFs that track the S&P sectors. In particular, using COVID-related news shocks as a natural experiment, we estima...
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Poshan Yu, Haoran Xu and Jianing Chen
This paper provides an investigation into the dependence structure among different disruptive technology sectors driving the Fourth Industrial Revolution and scrutinizes the impact of ESG integration on shaping investments in different tech stock sectors...
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Jinwang Ma, Jingran Feng, Jun Chen and Jianing Zhang
The carbon emission trading markets represent an emerging domain within China. The primary objective of this study is to explore whether carbon price volatility influences stock market volatility among companies subject to these emission trading regulati...
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Mingguo Zhao and Hail Park
This study aims to investigate bidirectional risk spillovers between the Chinese and other Asian stock markets. To achieve this, we construct a dynamic Copula-EVT-CoVaR model based on 11 Asian stock indexes from 1 January 2007 to 31 December 2021. The fi...
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