Notice of Retraction: Study on time varying conditional correlations of stock market returns based on multivariate GARCH model

2010 ◽  
Author(s):  
Yu Lin ◽  
Yanxiang Chen
Keyword(s):  
Stock Market ◽  
Garch Model ◽  
Multivariate Garch ◽  
Time Varying ◽  
Market Returns ◽  
Stock Market Returns ◽  
Multivariate Garch Model ◽  
Conditional Correlations

scholarly journals Dynamic Spillovers between Gulf Cooperation Council’s Stocks, VIX, Oil and Gold Volatility Indices

2020 ◽  
Vol 13 (4) ◽  
pp. 69 ◽  
Author(s):  
Abdullah Alqahtani ◽  
Julien Chevallier
Keyword(s):  
Saudi Arabia ◽  
Stock Market ◽  
Stock Returns ◽  
Gulf Cooperation Council ◽  
Oil Shocks ◽  
Market Returns ◽  
Stock Market Returns ◽  
Gcc Countries ◽  
Conditional Correlations ◽  
Garch Modeling

This paper analyzes the conditional correlations between the stock market returns of countries that are members of the Gulf Cooperation Council (GCC). The innovative aspects of the paper consist of focusing on three volatility indices: the oil (OVX), gold (GVZ), and S&P500 (VIX) markets (considered in log-difference). We use weekly data and resort to DCC-GARCH modeling. The novelty of the paper consists in revealing that: (i) GCC stock market returns are negatively correlated with each of the volatility measures, and the correlations are stronger during crisis periods; (ii) GCC stock returns are mostly correlated with oil shocks; and (iii) Saudi Arabia and Qatar are the most responsive to all shocks among the GCC countries, while Bahrain correlates weakly to shocks in oil, gold, and VIX. The most striking results feature extra sensitivity of Saudi Arabia and Qatar in terms of volatility indices, which should be the foremost concern of policymakers and banking analysts.

scholarly journals Co-movements in stock market returns, Ireland and London 1869–1929

2017 ◽  
Vol 24 (2) ◽  
pp. 167-184 ◽  
Author(s):  
Rebecca Stuart
Keyword(s):  
Stock Market ◽  
Capital Gains ◽  
Free State ◽  
Time Varying ◽  
Market Returns ◽  
Stock Market Returns ◽  
Monthly Data ◽  
Volatility Spillovers ◽  
Bivariate Garch Model ◽  
The Relationship

This article studies the relationship between the Irish and London stock markets over the period 1869 to 1929, using monthly data on capital gains. A bivariate GARCH model shows that there were significant volatility spillovers from the London to the Irish market, but not vice versa. This suggests that shocks originating in London were transmitted to Ireland, but that the reverse did not occur. Furthermore, the time-varying correlation indicates that the co-movement between London and Ireland declined during the Irish independence struggle and the establishment of the Irish Free State. The correlation appears to stabilise in the late 1920s.

scholarly journals The Asian crisis contagion: A dynamic correlation approach analysis

2009 ◽  
Vol 56 (2) ◽  
pp. 241-260 ◽  
Author(s):  
Essahbi Essaadi ◽  
Jamel Jouini ◽  
Wajih Khallouli
Keyword(s):  
Structural Change ◽  
Stock Market ◽  
Structural Break ◽  
Asian Crisis ◽  
Time Varying ◽  
Market Returns ◽  
Stock Market Returns ◽  
Work Shift ◽  
Dynamic Correlation ◽  
Break Points

In this paper we are testing for contagion caused by the Thai baht collapse of July 1997. In line with earlier work, shift-contagion is defined as a structural change within the international propagation mechanisms of financial shocks. We adopt Bai and Perron's (1998) structural break approach in order to detect the endogenous break points of the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach enables us to solve the misspecification problem of the crisis window. Our results illustrate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand.

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