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Bruno P. Arruda 《Applied economics》2013,45(36):5031-5045
In this article, we test the hypothesis of contagion amongst sectors within the United States’ economy during the subprime crisis. The econometric methodology applied here is based on the dynamic conditional correlation model proposed by Engle (2002). Further, we applied several Lagrange multiplier (LM)-robust tests to test whether there were structural breaks in series’ dependency structures during the period of interest. Events theoretically classified as relevant to the crisis upshots as well as the interactions between the moments of the series were used as indicator functions to the referred structural breaks. The main conclusion of this study is that one can indeed observe contagion within almost all pairs of sectors’ indices. Thus, we conclude that the dependency structure of the sectors of interest has faced structural changes during the years of 2007 and 2008. Hence, diversification strategies as well as the risk analysis inherent to the portfolios’ management may have been drastically affected. 相似文献
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《Journal of Property Research》2012,29(1):83-98
Summary Development cost charges (DCCs) can be used to encourage the efficient use of land or they can be used to help a municipality pay for growth. While the objectives are not mutually exclusive, emphasis on one in particular will influence the design of the development cost charge schedule and affect the efficiency of the emerging settlement pattern. The choice of objective will determine how income is to be redistributed within a city and affects the fairness with which infrastructure costs are distributed. This article discusses the implications of pursuing chosen objectives and considers some of the efficiency, equity and practical issues they raise within stable housing markets and within demand‐driven markets. The equity implication of using DCCs as a tax to cover the cost of growth differ in the two types of market. 相似文献
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本文应用DCC多元GARCH模型分析上市银行股票价格的动态相关性,并以此作为银行整体风险的度量监测指标,在模型的构建中考虑了系统风险的时变特征。结果表明,相关系数的大小和动态变化能够对银行系统性风险起到一定的监测和预警作用。本次金融危机过后,银行间动态相关水平一直处于高位,表明投资者对未来银行资产质量和其潜在风险仍然存在担忧。 相似文献
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The purpose of this paper is to study the conditional correlations across the US market and a sample of five Islamic emerging markets, namely Turkey, Indonesia, Pakistan, Qatar, and Malaysia. The empirical design uses MSCI (Morgan Stanley Capital International) Islamic equity index since it applies stringent restrictions to include companies. Indeed, two main restrictions must be met: (i) the business activity must be compliant with Shari’ah (i.e., Islamic law) guidelines and (ii) interest-bearing investments and leverage ratios should not exceed upper limits. Three models are used: multivariate GARCH BEKK, CCC, and DCC. The estimation results of the three models show that the US and Islamic emerging equity markets are weakly correlated over time. No sheer evidence supports that the US market spills over into the Islamic emerging equity markets. Besides interpreting the results in terms of weak market integration, the peculiar specificities of the Islamic finance industry and the admittance conditions to the MSCI Islamic equity index contribute to explaining them. Indeed, Islamic finance bans interest-bearing investments and imposes some rules, such as asset-backing, which has sizeable impacts on volatility spillover and shocks transmissions, alongside with the close linkage between real and financial sectors. These findings suggest that investors should take caution when investing in the Islamic emerging equity markets and diversifying their portfolios in order to minimize risk. 相似文献
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In this paper, we examine the stock market integration process amongst 17 Economic and Monetary Union (EMU) countries from January 2002 to June 2013 over a normal period as well as for the Global Financial Crisis (GFC) and Eurozone Debt Crisis (EDC) periods. We classify the economies in three groups (A, B and C) based on their GDP to examine whether the economic size influences financial integration. Seven indicators are used for the purpose, namely, beta convergence, sigma convergence, variance ratio, asymmetric DCC, dynamic cointegration, market synchronisation measure and common components approach. The results suggest that large-sized EMU economies (termed as Group A) exhibit strong stock market integration. Moderate integration is observed for middle-sized EMU economies with old membership (termed as Group B). Small-sized economies (termed as Group C) economies seemed to be least integrated within the EMU stock market system. The findings further suggest presence of contagion effects as one moves from normal to crisis periods, which are specifically stronger for more integrated economies of Group A. We recommend institutional, regulatory and other policy reforms for Group B and especially Group C to achieve higher level of integration. 相似文献
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《管理科学学报（英文）》2021,6(1):64-74
This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework. In-sample results indicate that oil futures intraday information is helpful to increase the predictability. Moreover, compared to the benchmark model, the proposed models improve their predictive ability with the help of oil futures realized volatility. In particular, the multivariate HAR model outperforms the univariate model. Accordingly, considering the contemporaneous connection is useful to predict the US stock market volatility. Furthermore, these findings are consistent across a variety of robust checks. 相似文献
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《Asia-Pacific Journal of Financial Studies》2017,46(5):700-733
This study examines the volatility spillover effect among five index options and their underlying markets. Results show that the bidirectional volatility spillover effect and the cross‐market leverage effect exist between index options and their underlying markets. Our findings confirm that the volatility spillover effect is generally outweighed by shocks in the underlying market, and that the options implied price volatility is provoked by the information shock occurring in both the cash and options markets to a higher degree. Through the volatility impulse response function, this study shows that the options implied prices are more sensitive to innovations in both markets. 相似文献
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《Asia Pacific Journal of Tourism Research》2012,17(3):261-273
ABSTRACTVolunteer tourism (VT) is an emerging tourism paradigm especially for young tourists. This study inserted three critical constructs (i.e. quality of a VT program, trust in a VT program organization, and awareness of need) into the original theory of planned behavior (TPB) model. Our results indicated that newly-added constructs and the original TPB constructs significantly contribute to the formation of VT tourists' intention for continuing VT activities. Trust, attitude, and subjective norm played vital roles. In addition, awareness was found to be a significant moderator. Overall, our theoretical framework has deepened our understanding of VT tourists' behaviors. 相似文献
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Peter Christoffersen Vihang Errunza Kris Jacobs Xisong Jin 《International Journal of Forecasting》2014
Forecasting the evolution of security co-movements is critical for asset pricing and portfolio allocation. Hence, we investigate patterns and trends in correlations over time using weekly returns for developed markets (DMs) and emerging markets (EMs) over the period 1973–2012. We show that it is possible to model co-movements for many countries simultaneously using BEKK, DCC, and DECO models. Empirically, we find that correlations have trended upward significantly for both DMs and EMs. Based on a time-varying measure of diversification benefits, we find that it is not possible to circumvent the increasing correlations in a long-only portfolio by adjusting the portfolio weights over time. However, we do find some evidence that adding EMs to a DM-only portfolio increases diversification benefits. 相似文献