Dynamic asymmetric financial connectedness under tail dependence and rendered time variance: Selected evidence from emerging MENA stock markets

Borsa Istanbul Review - Tập 19 - Trang 323-330 - 2019
Huthaifa Alqaralleh1, Diyama Awadallah2, Noor Al-Ma'aitah3
1Department of Economics, Business & Finance, Mutah University, Karak, Jordan
2Economics and Finance Department, Brunel University London, UK
3Department of Business Administration, Mutah University, Karak, Jordan

Tài liệu tham khảo

Alqaralleh, 2018, Asymmetric volatility in the presence of structural breaks in the variance; Further Evidence from Amman stock market, Journal of Economic and Management Perspectives, 12 Bae, 2003, A new approach to measuring financial contagion, Review of Financial Studies, 16, 717, 10.1093/rfs/hhg012 Bala, 2017, Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach, Borsa Istanbul Review, 17, 25, 10.1016/j.bir.2017.02.002 Bauwens, 2002, A new class of multivariate skew densities, with application to GARCH model, Journal of Business and Economic Statistics Becketti, 1990, Will increased regulation of stock index futures reduce stock market volatility?, Economic Review, 75, 33 Bollerslev, 1988, A capital asset pricing model with time-varying covariances, Journal of Political Economy, 96, 116, 10.1086/261527 Bushman, 2004, Financial accounting information, organizational complexity and corporate governance systems, Journal of Accounting and Economics, 37, 167, 10.1016/j.jacceco.2003.09.005 Chang, 2008, Weather and intraday patterns in stock returns and trading activity, Journal of Banking & Finance, 32, 1754, 10.1016/j.jbankfin.2007.12.007 Cherubini, 2004 Chuang, 2009, Causality in quantiles and dynamic stock return–volume relations, Journal of Banking & Finance, 33, 1351, 10.1016/j.jbankfin.2009.02.013 Engle, 2007, What good is a volatility model?, 47 Hemche, 2016, On the study of contagion in the context of the subprime crisis: A dynamic conditional correlation-multivariate GARCH approach, Economic Modelling, 52, 292, 10.1016/j.econmod.2014.09.004 Jebran, 2016, Dynamics of volatility spillover between stock market and foreign exchange market: Evidence from Asian countries, Financial Innovation, 2, 3, 10.1186/s40854-016-0021-1 Jondeau, 2006, The copula-GARCH model of conditional dependencies: An international stock market application, Journal of International Money and Finance, 25, 827, 10.1016/j.jimonfin.2006.04.007 Joshi, 2011, Return and volatility spillovers among Asian stock markets, Sage Open, 1, 10.1177/2158244011413474 Kalemli-Ozcan, 2013, Global banks and crisis transmission, Journal of International Economics, 89, 495, 10.1016/j.jinteco.2012.07.001 Ke, 2010, An empirical analysis of the volatility spillover effect between primary stock markets abroad and China, Journal of Chinese Economic and Business Studies, 8, 315, 10.1080/14765284.2010.493645 Lee, 2009, Copula-based multivariate GARCH model with uncorrelated dependent errors, Journal of Econometrics, 150, 207, 10.1016/j.jeconom.2008.12.008 Li, 2007, Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy, Journal of Economic Dynamics and Control, 31, 1697, 10.1016/j.jedc.2006.06.003 Liu, 1997, Mean and volatility spillover effects in the US and Pacific-Basin stock markets, Multinational Finance Journal, 1, 47, 10.17578/1-1-3 Mensi, 2017, Oil and foreign exchange market tail dependence and risk spillovers for MENA, emerging and developed countries: VMD decomposition-based copulas, Energy Economics, 67, 476, 10.1016/j.eneco.2017.08.036 Mukherjee, 2010, Stock market integration and volatility spillover: India and its major Asian counterparts, Research in International Business and Finance, 24, 235, 10.1016/j.ribaf.2009.12.004 Neaime, 2016, Financial crises and contagion vulnerability of MENA stock markets, Emerging Markets Review, 27, 14, 10.1016/j.ememar.2016.03.002 Nelson, 1991, Conditional heteroskedasticity in asset returns: A new approach, Econometrica: Journal of the Econometric Society, 347, 10.2307/2938260 Ng, 1991, Tests of the CAPM with time-varying covariances: A multivariate GARCH approach, The Journal of Finance, 46, 1507, 10.1111/j.1540-6261.1991.tb04628.x Patton, 2012, A review of copula models for economic time series, Journal of Multivariate Analysis, 110, 4, 10.1016/j.jmva.2012.02.021 Ross, 1989, Information and volatility: The no-arbitrage martingale approach to timing and resolution irrelevancy, The Journal of Finance, 44, 1, 10.1111/j.1540-6261.1989.tb02401.x Sahu, 2003, A new class of multivariate skew distributions with applications to Bayesian regression models, Canadian Journal of Statistics, 31, 129, 10.2307/3316064 Shusong, 2009, The dynamic relationships between stock price and exchange rate – an empirical analysis based on the Chinese market, Nankai Economic Studies, 2, 46 Sidek, 2011, Spill-over effect of US Sub-Prime Crisis on ASEAN-5 stock markets, International Review of Business Research Papers, 7, 207 Tse, 2002, A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations, Journal of Business & Economic Statistics, 20, 351, 10.1198/073500102288618496 Yarovaya, 2016, Intra-and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures, International Review of Financial Analysis, 43, 96, 10.1016/j.irfa.2015.09.004 Yu, 2008, Global and regional integration of the Middle East and North African (MENA) stock markets, The Quarterly Review of Economics and Finance, 48, 482, 10.1016/j.qref.2006.06.003