Correlations and volatility spillover from China to Asian and Latin American Countries: Identifying diversification and hedging opportunities

Yadav, Miklesh Prasad; Sharma, Sudhi; Aggarwal, Vaibhav; Bhardwaj, Indira

doi:10.1080/23322039.2022.2132634

Cited by 7 publications

(2 citation statements)

References 32 publications

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“…Volatility created in one financial market can be transmitted to other markets, and this ripple effect is termed volatility spillover (Yadav et al , 2022). The academic research examining the spillover among different financial markets within the same asset classes and across various asset classes has grown rapidly over the past few decades due to increased globalization and financial liberalization.…”

Section: Introductionmentioning

confidence: 99%

“…The academic research examining the spillover among different financial markets within the same asset classes and across various asset classes has grown rapidly over the past few decades due to increased globalization and financial liberalization. Yadav et al (2022) investigated the spillover effect from the Chinese stock JM2 19,3 exchange to Asia and the Latin stock market, specifically Mexico and Brazil, Indonesia and India, Mexico and Brazil. Engle et al (1990) pioneering study examined spillover in different exchange rate markets by deploying the GARCH technique.…”

Section: Introductionmentioning

confidence: 99%

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Stock market volatility: a systematic review

Dhingra,

Batra,

Aggarwal

et al. 2023

JM2

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Purpose The increasing globalization and technological advancements have increased the information spillover on stock markets from various variables. However, there is a dearth of a comprehensive review of how stock market volatility is influenced by macro and firm-level factors. Therefore, this study aims to fill this gap by systematically reviewing the major factors impacting stock market volatility. Design/methodology/approach This study uses a combination of bibliometric and systematic literature review techniques. A data set of 54 articles published in quality journals from the Australian Business Deans Council (ABDC) list is gathered from the Scopus database. This data set is used to determine the leading contributors and contributions. The content analysis of these articles sheds light on the factors influencing market volatility and the potential research directions in this subject area. Findings The findings show that researchers in this sector are becoming more interested in studying the association of stock markets with “cryptocurrencies” and “bitcoin” during “COVID-19.” The outcomes of this study indicate that most studies found oil prices, policy uncertainty and investor sentiments have a significant impact on market volatility. However, there were mixed results on the impact of institutional flows and algorithmic trading on stock volatility, and a consensus cannot be established. This study also identifies the gaps and paves the way for future research in this subject area. Originality/value This paper fills the gap in the existing literature by comprehensively reviewing the articles on major factors impacting stock market volatility highlighting the theoretical relationship and empirical results.

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Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Stock market volatility: a systematic review

Dhingra,

Batra,

Aggarwal

et al. 2023

JM2

Self Cite

View full text Add to dashboard Cite

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Uncovering dynamic connectedness of Artificial intelligence stocks with agri-commodity market in wake of COVID-19 and Russia-Ukraine Invasion

Yadav,

Abedin,

Sinha

et al. 2024

Research in International Business and Finance

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Demystifying the time varying linkage among ESG compliant, fintech and artificial intelligence stocks

Tabassum,

Dhillon,

Yadav

et al. 2024

JAOC

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Purpose This paper aims to analyze the time-varying dynamic connectedness among environmental, social and governance (ESG)-compliant firms, Fintech-based firms and artificial intelligence (AI) firm’s stocks. Design/methodology/approach To examine the spillover from globally leading companies that systematically follow ESG reporting and standards into their financial books to top AI-based and Fintech-based companies, we use the daily observation extending from December 31, 2019 to October 9, 2023. For the empirical investigation, Diebold and Yilmaz (2012) model and Baruník and Křehlík (2018) model are employed. Findings An intriguing observation is found for both recipient and transmission as Northrop Grumman remains the least shock transmitter and receiver among all constituent markets irrespective of two different used models. On this note, Northrop Grumman can be classified among the safest stock comparatively which has to be held in short, medium and long run to mitigate the risk. Originality/value After extensive existing literature review and to the best of the authors knowledge, it is a novel study that examines the dynamic connectedness among ESG, Fintech and AI stocks covering two unprecedented events like the COVID-19 outbreak and the Russia–Ukraine invasion.

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Correlations and volatility spillover from China to Asian and Latin American Countries: Identifying diversification and hedging opportunities

Cited by 7 publications

References 32 publications

Stock market volatility: a systematic review

Stock market volatility: a systematic review

Uncovering dynamic connectedness of Artificial intelligence stocks with agri-commodity market in wake of COVID-19 and Russia-Ukraine Invasion

Demystifying the time varying linkage among ESG compliant, fintech and artificial intelligence stocks

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