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Full-Text Articles in Business
The Ceecs’ Banking System: A Risk Study During The Global Financial Crisis, Bernadette Andreosso-O'Callaghan, Lucia Morales, Valentina Tarkovska
The Ceecs’ Banking System: A Risk Study During The Global Financial Crisis, Bernadette Andreosso-O'Callaghan, Lucia Morales, Valentina Tarkovska
Conference papers
We consider operational risk and market integration in the banking system of the Central and East European Countries’ (CEECs). The analysis provides an interesting framework in relation to the effects of the global financial crisis in some European emerging banks. We implement an econometric model that takes into account the level of integration of these banks in relation to a number of most developed institutions, which are represented by the Dow Jones STOXX 600 index, with the objective of analyzing how this could be impacting the level of operational risk in the region. This paper provides new evidence that links …
Volatility Spillovers Between Stock Returns And Foreign Exchange Rates: Evidence From Four Eastern European Countries, Lucia Morales
Volatility Spillovers Between Stock Returns And Foreign Exchange Rates: Evidence From Four Eastern European Countries, Lucia Morales
Conference papers
This paper investigates the nature of volatility spillovers between stock returns and exchange rates changes for the Czech Republic, Hungary, Poland and Slovakia for the 1999-2006 period. We divide our sample in two sub period, prior to the introduction of the Euro as since the single currency has been introduced. We use an EGARCH modelling which takes into account whether bad news has the same impact on volatility as good news. Our results show that in terms of volatility spillover effects from stock returns to exchange rates returns, there is non-existence of significant spillovers in these countries, what suggest the …
Volatility Spillovers Between Equity And Currency Markets: Evidence From Major Latin American Countries, Lucia Morales
Volatility Spillovers Between Equity And Currency Markets: Evidence From Major Latin American Countries, Lucia Morales
Articles
This paper investigates the nature of volatility spillovers between stock returns and a number of exchange rates in six Latin American countries and one European economy in the 1998-2006 period. We divide our sample into sub periods, prior to and after the introduction of the Euro and we apply the EGARCH methodology to model volatility. Our results show that the volatility of stock returns affects the volatility of exchange rates; however, we do not find evidence of volatility transmission in the opposite direction.
International Transmission Effects Of Volatility Between Financial Markets In The G-7 Since The Introduction Of The Euro, Lucia Morales
International Transmission Effects Of Volatility Between Financial Markets In The G-7 Since The Introduction Of The Euro, Lucia Morales
Conference papers
This paper investigates the nature of volatility spillovers between stock returns and a number of exchange rates changes for the G-7 countries for the 1996-2006 period. We divide our sample into a number of sub periods, prior to and after the introduction of the Euro, we use EGARCH modelling which takes into account whether bad news has the same impact on volatility as good news. Our results show that in terms of volatility spillover effects from stock returns to exchange rates returns, there is a large degree of consistency across countries and time periods with significant spillovers found for all …