Volatility transmission and volatility impulse response functions among the Greater China stock markets

Dynamic spillovers between Nigerian, South African and international equity markets

“…We will employ the measures of return and volatility spillovers of Diebold and Yilmaz (2009, 2015, referred to as spillover indexes. The index facilitates an assessment of the net contribution of one market in the information transmission mechanism of another market.…”

Study on Globalization of Shipping Stocks Pricing Based on a DC-MSV Model

“…In order to study the globalization of A-share pricing, it is necessary to analyze the linkage relationship between stocks at home and abroad, and the predecessors have done a lot of research on this. The study measures the linkage level of stock markets at home and abroad from the initial static correlation and risk spillover effects [1], turning to dynamic correlation to evaluate the evolution of linkage relationship [2], then analyzes the impact of major investment open policy on the sudden change of linkage structure [3], especially the evolution of the linkage between Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect [4], to assess the effectiveness of the policies. But the evolution of the linkage is also affected by multiple factors, for example, global economic crisis [5], A-share stock disaster [6], changes of interest rates and exchange rates [7] etc.…”

“…In addition, in order to better fit the linkage relationship, the study shifts from linear to nonlinear [3]; risk spillover effect research shifts from symmetric spillover to asymmetric spillover [8]. In the research object, the main focus is on the linkage between international stock markets [5], the linkage between domestic and overseas stock markets [1], especially the linkage between A-shares and Hong Kong stocks. [7] [9] [10]; the research target shifts from the general index to the industry [9].…”

Macroeconomic Effects of Exogenous Oil Price Shock in Nigeria: Persistent or Transitory

“…This is extremely important, especially in determining the quantity of fiscal or countercyclical buffers to build in good time (economic boom) which will serve as buffer in bad times (economic burst). Economist considers variability of oil prices as the major source of macroeconomic fluctuations (see An, Jin, & Ren, 2014;Jin, 2015;Ibrahim & Ahmed, 2014;and Allegret, Mignon, & Sallenave, 2015). Most of these studies are from oil importing and developed economies perspective, which model increasing oil prices as bad news or negative shocks while decreasing oil prices as goods or positive oil shocks, because of the adverse effects of increasing oil prices on such economies.…”