Volatility and contagion: evidence from the Istanbul stock exchange

Alper, C. Emre; Mody, Ashoka

doi:10.1016/j.ecosys.2004.08.003

Cited by 40 publications

(20 citation statements)

References 9 publications

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“…However, large-scale capital inflows contain certain risks in the recipient country, especially when their financial systems are not sufficiently advanced, and domestic macroeconomic and financial policies are weak or inconsistent (Alper and Yilmaz 2004). Furthermore, Bekaert and Harvey (1995) and Phylaktis and Ravazzolo (2002) argue that financial liberalization makes financial markets to be more integrated to the global international financial movements so that is more sensitive to external shocks.…”

Section: Introductionmentioning

confidence: 99%

Assessing the contagion effect on herding behaviour under segmented and integrated stock markets circumstances in the USA, China, and ASEAN-5

Wahyudi¹,

Najmudin²,

Laksana³

et al. 2018

EA-XXI

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Section: Introductionmentioning

confidence: 99%

Assessing the contagion effect on herding behaviour under segmented and integrated stock markets circumstances in the USA, China, and ASEAN-5

Wahyudi¹,

Najmudin²,

Laksana³

et al. 2018

EA-XXI

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“…Although these countries are less financially integrated because of capital controls, or due to a poor access to international financing, 2 they may be contaminated by contagion caused by the cognitive convergence of domestic investors during the global financial turmoil as suggested by Lagoarde-Segot and Lucey (2009). Indeed, domestic investors in a mid-sized market could become jittery and opt for the minimum cost strategy, selling their stocks when they observe high volatility in the US stock market (Alper and Yilmaz, 2004). Our objective, in this paper, is to investigate a possible financial "contagion" of the financial crisis originated in the US on the emerging markets of the MENA region.…”

Section: Introductionmentioning

confidence: 99%

Testing for “Contagion” of the Subprime Crisis on the Middle East and North African Stock Markets: A Markov Switching EGARCH Approach

Khallouli

Sandretto²

2012

JEI

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In this paper, we investigate whether the recent financial turmoil which arose in the United States has contaminated the Middle East and North African countries (MENA). In contrast to Lagoard-Segot and Lucey (2009), we try to identify the existence of pure contagion (Masson, 1999) rather than shift-contagion (Rigobon, 2003). Then, we explicitly define financial "contagion" in accordance with Eichengreen et al. (1996) and we extend the Cerra and Saxena (2002) methodology by using a Markov-Switching EGARCH model introduced by Henry (2009) in order to identify contaminated MENA stock markets. Our results provide evidence of a persistence of recession characterised by low mean/high variance regimes which coincides with the third phase of the subprime crisis. In addition, there is evidence of mean and volatility contagion in MENA stock markets caused by the US stock market.• JEL Classification: C32, F31, G01, G15

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“…This assumption is known as homoscedasticity or homogeneity and this assumption is the focus of ARCH/GARCH models. How instability in economy due to inflow of The impact of different financial disaster during the last three decades on stock exchange marker had also been evaluated by different researchers [2]. Some of the research measured impact among different stock exchange markets as contagion in the wake of Asian financial disaster 1997-1998.…”

Section: Literature Reviewmentioning

confidence: 99%

Reasons of Stock Exchanges Collapse in Asia: A Study from China and Pakistan

Najaf¹

2017

Bus Eco J

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In current time, a worst economic disaster continues from developed countries like United States of America, United Kingdom and Denmark etc., penetrate to other the countries and leave a negative impact on financial intuitions of developing countries. This economic disaster is the first biggest disaster in the history since the recession of 1928s in Japan. The major objective of this research to portray the picture of the effect of current situation of world financial disaster on stock exchanges of Pakistan (PSE) and China (SSE). For this purpose, facts and figures are collected from July 2004 to 30 June 2017 KSE-100 and SSE-100 index, it shows stock markets' indicators of Pakistan and China respectively, are used to locate inconsistency, EGARCH model is used. This study unveils the negative shocks that have more prominent effect on the instability of Pakistan and China economy. These stock markets also faced persistent volatility clustering. In the current area, this financial disaster ended at adverse value of share and its payback and disturbs the Pakistani and China stock exchanges but this effect did not influence much to Shanghai stock exchange and other stock exchanges in China but there is no doubt these were shake by this market crutch.

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Volatility and contagion: evidence from the Istanbul stock exchange

Cited by 40 publications

References 9 publications

Assessing the contagion effect on herding behaviour under segmented and integrated stock markets circumstances in the USA, China, and ASEAN-5

Assessing the contagion effect on herding behaviour under segmented and integrated stock markets circumstances in the USA, China, and ASEAN-5

Testing for “Contagion” of the Subprime Crisis on the Middle East and North African Stock Markets: A Markov Switching EGARCH Approach

Reasons of Stock Exchanges Collapse in Asia: A Study from China and Pakistan

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