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Full-Text Articles in Business
Volatility Analysis Of Precious Metals Returns And Oil Returns, Lucia Morales, Bernadette Andreosso
Volatility Analysis Of Precious Metals Returns And Oil Returns, Lucia Morales, Bernadette Andreosso
Conference papers
This study examines volatility persistence on precious metals returns taking into account oil returns and the three world major stock equity indices (Dow Jones Industrials, FTSE 100, and Nikkei 225) using daily data over the sample period January 1995- May 2008. We first determine when large changes in the volatility of each market returns occur, by identifying major global events that would increase the volatility of these markets; the Iterated Cumulative Sums of Squares (ICSS) algorithm helps identify the break points or sudden changes in the variance of returns in each market using the standardized residuals obtained through the GARCH(1,1) …
Do Precious Metals Markets Influence Stock Markets?, Lucia Morales
Do Precious Metals Markets Influence Stock Markets?, Lucia Morales
Conference papers
This paper investigates the nature of volatility spillovers between stock returns and precious metals returns for the G-7 countries over the 1995-2006 period. We divide our sample into a number of sub periods, prior to, during and after the Asian crisis, with the objective to provide a wide analysis of the behaviour of these two markets taking into account the effects of the Asian crisis; we use EGARCH modelling which takes into account whether bad news has the same impact on volatility as good news. The results show that there is no evidence of volatility persistence from stock returns to …
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 …
European Equity Markets And Currency Markets Interlinkages, Lucia Morales
European Equity Markets And Currency Markets Interlinkages, Lucia Morales
Conference papers
This thesis examines the relationship between exchange rates and stock prices in a number of European countries. We focus our attention in three different regions of Europe that are: four Eastern European markets, Czech Republic, Hungary, Poland and Slovakia, four South European Countries: Greece, Italy, Portugal and Spain and one West European Country: Ireland, using daily data we analyze the relationship between these two financial markets from 1996 to 2006. Both the long-run and the short-run association between these variables are analyzed. We employed the Engle and Granger two step and Johansen cointegration techniques, Vector Error Correction Modeling Technique and …
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 …
The Dynamic Relationship Between Stock Prices And Exchange Rates: Evidence From Four Transition Economies, Lucia Morales
The Dynamic Relationship Between Stock Prices And Exchange Rates: Evidence From Four Transition Economies, Lucia Morales
Conference papers
This article examines the dynamic relationship between exchange rates and stock prices in four Easter European markets, Czech Republic, Hungary, Poland and Slovakia, using stock price and exchange rate data from these countries, as well as stock prices from the United States, Germany and the United Kingdom. The data set consists of daily data over a 7 year period from 1999 to 2006. Both the long-run and the short-run association between these variables are analyzed. We employed the Johansen cointegration technique, Vector Error Correction Modeling and the standard Granger causality test to analyze the relationship between these two financial variables. …