scholarly journals Dynamic Conditional Correlation between Electricity, Energy (Commodity) and Financial Markets during the Financial Crisis in Greece

2017 ◽  
Vol 07 (04) ◽  
pp. 990-1033
Author(s):  
Panagiotis G. Papaioannou ◽  
George P. Papaioannou ◽  
Kostas Sietos ◽  
Akylas Stratigakos ◽  
Christos Dikaiakos
Keyword(s):  
Financial Crisis ◽  
Financial Markets ◽  
Conditional Correlation ◽  
Dynamic Conditional Correlation

scholarly journals Are Hedge Funds Uncorrelated With Financial Markets? An Empirical Assessment

2015 ◽  
Vol 31 (5) ◽  
pp. 1631
Author(s):  
Khaled Guesmi ◽  
Saoussen Jebri ◽  
Abdelkarim Jabri ◽  
Frederic Teulon
Keyword(s):  
Financial Crisis ◽  
Financial Markets ◽  
Hedge Funds ◽  
Hedge Fund ◽  
Conditional Correlation ◽  
Dynamic Conditional Correlation ◽  
Bond Indices ◽  
Asset Classes ◽  
Recent Financial Crisis ◽  
Bull And Bear Markets

<p>In this paper, we examine the correlations between hedge fund strategy indices and asset classes. Based on the Dynamic Conditional Correlation (DCC) GARCH Model, we estimate the correlations between hedge fund, stock, and bond indices during bull and bear markets. The results reveal that there are significant correlations between hedge funds and the stock market, especially during the recent financial crisis that took place from 2007 to 2009.</p>

scholarly journals Contagion of the shareholder market: cases of Colombia, México, Perú, Chile and Argentina

2019 ◽  
Vol 18 ((1)) ◽  
Author(s):  
Marcos Vera Leyton
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Time Window ◽  
Sum Of Squares ◽  
Conditional Correlation ◽  
Cumulative Sum ◽  
Crisis Period ◽  
Dynamic Conditional Correlation ◽  
Highly Sensitive ◽  
Before And After

This document study the existence of financial crisis contagion, it defined like the transmission of the shocks between countries, which translates in increasing in the correlation anything beyond or fundamental link, taking as a source of contagion by EEUU, Brasil, and analyzing Mexico, Colombia, Peru, Chile and Argentina like “Infected” countries, for the period covered between July 3 of 2001, date of unification of the Colombia Stock Market, to July 3 of 2010. To identify crisis period, and to evoid volatility overestimation, it used the algorithm iterative cumulative sum of squares ICCS, developed by Inclan y Tiao (1994), additionally calculated the dynamic conditional correlation (DCC) Engle Model (2002). The document includes a review of several studies, concepts, and transmission (Contagion) methodologies, and it constitutes one of the few studies that includes Colombia like analysis source.  So this study verifies the existence of contagion in the countries studies, except Argentina, but warns that the measure of impact that a crisis in a given country has over other countries is highly sensitive to the way we choose the time window before and after the crisis.

scholarly journals East Asian Financial Contagion under DCC-Garch

2009 ◽  
Author(s):  
J H Cho ◽  
Ali M. Parhizgari
Keyword(s):  
Hong Kong ◽  
Financial Crisis ◽  
East Asian ◽  
Equity Markets ◽  
Asian Financial Crisis ◽  
Financial Contagion ◽  
Conditional Correlation ◽  
Dynamic Conditional Correlation ◽  
Alternative Sources ◽  
Target Country

We consider the definition and measurement of contagion by analysing the 1997 East Asian financial crisis in the equity markets of eight countries using dynamic conditional correlation (DCC). Taking Thailand and Hong Kong as alternative sources of contagion, a total of fourteen source-target pairs is analyzed. We define contagion as the statistical break in the computed DCCs as measured by the shifts in their means and medians. In the DCC process, the parameters of each pair of source-target country contagion are allowed to vary and be dictated by the data. Contagion is tested using DCC means and medians difference tests. Our findings indicate the presence of contagion in the equity markets across all the fourteen pairs of source-target countries that are considered.  

scholarly journals Does Gold Act as a Hedge or a Safe Haven against Equity and Currency in Asia?

2018 ◽  
Vol 20 (1) ◽  
pp. 105-118 ◽  
Author(s):  
Muhammad Aftab ◽  
Syed Zulfiqar Ali Shah ◽  
Izlin Ismail
Keyword(s):  
Financial Markets ◽  
National Currency ◽  
Currency Markets ◽  
Safe Haven ◽  
Conditional Correlation ◽  
Dynamic Conditional Correlation ◽  
The Us ◽  
Us Dollar ◽  
Managing Risk ◽  
Autoregressive Conditional Heteroscedasticity

In recent years, uncertainty in financial markets has stimulated the need to explore alternative avenues for safeguarding wealth and managing risk. In this strand of research, gold has been particularly important due to its potential to mitigate risk and preserve wealth. This study investigates gold behaviour against equities and currencies in three regions across Asia. We follow Engle’s (2002) dynamic conditional correlation-multivariate generalized autoregressive conditional heteroscedasticity (DCC-MGARCH) model to test the gold link with equity and currency markets. We use a weekly series of exchange rate (national currency/the US dollar), equity and gold prices in national currency over the weekly period, 1995–2013. The sample consists of 12 countries covering East Asia, South Asia and Southeast Asia. Findings suggest that gold is just a diversifier against stocks in the Asian economies except in Korea, Singapore and Thailand. However, gold acts as a hedge and safe haven against Asian currencies—except China and Hong Kong—thus still preserving its monetary role.

scholarly journals Flight to quality or contagion during US subprime crisis: Evidence from Vietnam financial markets

2020 ◽  
Vol 128 (5B) ◽  
Author(s):  
Thanh Cong Bui ◽  
Khoa Cuong Phan ◽  
Thi Bich Ngoc Ngoc TRAN
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Stock Index ◽  
Subprime Crisis ◽  
Conditional Correlation ◽  
Risky Assets ◽  
Dynamic Conditional Correlation ◽  
Flight To Quality ◽  
Correlation Models ◽  
The Relationship

<p>The purpose of this study is to investigate if contagion or flight-to-quality occurred in Vietnam financial markets during US subprime crisis in 2007. We apply asymmetric dynamic conditional correlation models (ADCC-GARCH (1,1)) to daily stock-index and bond index returns of Vietnam and US stock market. We test for contagion or flight-to-quality by using difference test for dynamic conditional correlation (DCC) means. The results obtained show a contagion between US and Vietnam stock market, confirming the widespread influence of US stock market to a young market like Vietnam. This result suggests a low benefit from diversification for investor holding portfolios containing assets in Vietnam stock market and US stock market during crisis. Moreover, the relationship between Vietnam stock and bond markets represents a flight-to-quality during US subprime crisis. This finding shows that the investors tend to hold less risky assets, i.e. bonds, instead of stocks during turbulent period in Vietnam.</p>

scholarly journals Dynamic Conditional Correlation GARCH: A Multivariate Time Series Novel using a Bayesian Approach

2020 ◽  
Vol 18 (1) ◽  
pp. 2-17
Author(s):  
Diego Nascimento ◽  
Cleber Xavier ◽  
Israel Felipe ◽  
Francisco Louzada Neto
Keyword(s):  
Time Series ◽  
Monte Carlo ◽  
Financial Markets ◽  
Multivariate Time Series ◽  
Estimation Of Parameters ◽  
Conditional Correlation ◽  
Dynamic Conditional Correlation ◽  
Mutation Model ◽  
Joint Evolution ◽  
Over Time

The Dynamic Conditional Correlation GARCH (DCC-GARCH) mutation model is considered using a Monte Carlo approach via Markov chains in the estimation of parameters, time-dependence variation is visually demonstrated. Fifteen indices were analyzed from the main financial markets of developed and developing countries from different continents. The performances of indices are similar, with a joint evolution. Most index returns, especially SPX and NDX, evolve over time with a higher positive correlation.

scholarly journals Contagion in Futures FOREX Markets for the Post- Global Financial Crisis: A Multivariate FIGARCHcDCC Approach

2020 ◽  
Vol 4 (1) ◽  
pp. 1-1 ◽  
Author(s):  
Konstantinos Tsiaras
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Jel Classification ◽  
Time Varying ◽  
Conditional Correlation ◽  
Market Returns ◽  
Dynamic Conditional Correlation ◽  
Contagion Effects ◽  
Investigation Period ◽  
Conditional Correlations

This paper seeks to investigate the time-varying conditional correlations to the futures FOREX market returns. We employ a dynamic conditional correlation (DCC) Generalized ARCH (GARCH) model to find potential contagion effects among the markets. The under investigation period is 2014-2019. We focus on four major futures FOREX markets namely JPY/USD, KRW/USD, EUR/USD and INR/USD. The empirical results show an increase in conditional correlation or contagion for all the pairsof future FOREX markets. Based on the dynamic conditional correlations, KRW/USD seems to be the safest futures FOREX market. The results are of interest to policymakers who provide regulations for the futures FOREX markets. JEL Classification Codes: C58, C61, G11, G15

Normative dimensions of central banking: How the guardians of financial markets affect justice

2017 ◽  
Author(s):  
Peter Dietsch
Keyword(s):  
Monetary Policy ◽  
Financial Crisis ◽  
Financial Markets ◽  
Central Banking ◽  
Democratic Legitimacy ◽  
Policy Agenda ◽  
Theory Of Justice ◽  
Introductory Section ◽  
The Impact

Monetary policy, and the response it elicits from financial markets, raises normative questions. This chapter, building on an introductory section on the objectives and instruments of monetary policy, analyzes two such questions. First, it assesses the impact of monetary policy on inequality and argues that the unconventional policies adopted in the wake of the financial crisis exacerbate inequalities in income and wealth. Depending on the theory of justice one holds, this impact is problematic. Should monetary policy be sensitive to inequalities and, if so, how? Second, the chapter argues that the leverage that financial markets have today over the monetary policy agenda undermines democratic legitimacy.

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