Purpose The purpose of this paper is to investigate the volatility spillover from crude oil and gold to the BRICS stock markets, after removing the effect of co-movement of prices of crude oil and gold. Design/methodology/approach Three multivariate GARCH models (dynamic conditional correlation, constant conditional correlation, and Baba, Engle, Kraft and Kroner) are used to capture the dynamic relationship between the crude oil and gold returns. The innovations from gold and oil are orthogonalized, and the EGARCH model is employed for the spillover analysis. The influences of oil price shocks and gold price shocks are tested on the returns of each of the BRICS equity markets. Findings There is evidence of volatility spillover from both the crude oil and gold to the BRICS stock markets. A sub-sample analysis suggests that the volatility spillover from gold was not significant before the financial crisis of 2008, but became significant post-crisis. The volatility asymmetry, which was not significant before the crisis, also became significant after it. Originality/value This study examines the volatility spillover to the BRICS stock markets from crude oil and gold, after accounting for the co-movement in their prices. It can help equity investors to judge whether gold can provide incremental diversification benefit, if used in conjunction with crude oil. The study also provides insights into the changes caused by the 2008 financial crisis on this volatility spillover mechanism.
PurposeThe purpose of this study is to investigate the adaptive market hypothesis (AMH) for 21 major global market indices for the period 1998–2018. These market indices cover the 16 largest global financial markets.Design/methodology/approachQuantile-regression methodology is employed to examine the market efficiency of a large number of financial markets from America, Europe and the Asia–Pacific region.FindingsThe results show that the returns in higher quantiles are negatively autocorrelated, and those in lower quantiles are positively autocorrelated. This evidence is stronger for the tails of return distribution. The positive autocorrelation (momentum effect) suggests market underreaction, and the negative autocorrelation (reversal effect) suggests overreaction. Overall, market efficiency appears to be time-varying and conditioned to the state of the market.Originality/valueThis study offers considerable evidence in favor of the AMH, for a large number of financial markets. These markets are substantially different from each other in terms of geography, nature of operation and size of the economy. The results from this study would be helpful to the academics, regulators and practitioners interested in financial markets.
This research is focused upon the work, education and life of international students and the challenges faced by them. We generally have seen the craze of settling abroad and a special importance given to NRI students. In this research we aim to understand the challenges faced by them. How they hold up on themselves in the new country alone. This research is done through a questionnaire which consist some open ended and close ended questions related to the physical, mental and emotional struggle faced by the students abroad. Few interviews of the parents of students in India were also done and we observe them keenly how they feel living apart from their children. The result of the research was up to the mark of the reality. Students facing financial crisis, homesickness, cultural barrier. Having accommodation issues. Trouble in learning new laws and adapting the new governing system. Struggling between study and part time jobs with drain them mentally and physically resulting in the loss of studies and knowledge. Mental pressure and depression and medication facilities. All these challenges mentioned above are the outcomes of the research.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.
hi@scite.ai
10624 S. Eastern Ave., Ste. A-614
Henderson, NV 89052, USA
Copyright © 2024 scite LLC. All rights reserved.
Made with 💙 for researchers
Part of the Research Solutions Family.