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To What Extent are Stock Returns Driven by Mean and Volatility Spillover Effects? – Evidence from Eight European Stock Markets

References BAELE, L. (2005). Volatility Spillover Effects in European Equity Markets , Journal of Financial and Quantitative Analysis 40(2), Pp. 373-401. BEINE, J., CAPORALE, G.M., GHATTAS, M. S., SPAGNOLO, N. (2010). Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis. Emerging Markets Review , 11(2) Pp. 250-260. BEKAERT, G., HARVEY, C.R. (1997). Emerging Equity Market Volatility, Journal of Financial Economics, 43(1), Pp. 29-77. BOLLERSLEV

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Return Dynamics and Volatility Spillovers Between FOREX and Stock Markets in MENA Countries: What to Remember for Portfolio Choice?

References Aggarwal, R. (1981), Exchange rates and stock prices: A study of the US capital markets under floating exchange rates, Akron Business and Economic Review , Vol. 12, pp. 7–12. Agrawal, G., Srivastav, A. K., Srivastava, A. (2010), A study of exchange rates movement and stock market volatility, International Journal of Business and Management , Vol. 5, No. 12, pp. 62–73. Arouri, M., Jouini, J., Nguyen, D. K. (2012b), On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging efficiency

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Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies

Letters , 93, 137-141. 8. Hong, Y. (2001). A test for volatility spillover with application to exchange rates. Journal of Econometrics 103(1-2), 183-224. 9. Jakl, J. (2016). Impact of Quantative Easing on Purchased Asset Yields, its Persistency and Overlap. Journal of Central Banking Theory and Practice , 6(2), 77-99. 10. Krippner, L. (2013). A Tractable Framework for Zero Lower Bound Gaussian Term Structure Models. Discussion Paper, Reserve Bank of New Zealand, 2013/02 . 11. Meinusch, A., and Tillmann, P. (2016). The Macroeconomic Impact of

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Equity Returns and Volatilities Before and After the 2007-08 Financial Crisis

-2626, December. DOI: 10.1111/j.1540-6261.2009.01512.x Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3): 307-327. Christofi , A. & Pericli, A (1999). Correlation in Price Changes and Volatility of Major Latin American Stock Markets. Journal of Multinational Financial Management, 9:79-93. DOI http://dx.doi.org/10.1016/S1042-444X(98)00047-4 Dedi, L. & Yavas, B.F. (2016). Return and Volatility spillovers in equity markets: An investigation using various GARCH

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Global Volatility Spillover in Asian Financial Markets

Abstract

The present paper accommodates the spillover impact of market volatility index of S & P 500 (VIX) and China exchange-traded fund’s volatility (VXFXI) on the emerging equity (KSE-100 index) and foreign exchange markets of Pakistan. In this context, we use a vector autoregressive (VAR) model and impulse response functions (IRF) to explore link among VIX indices and financial markets of Pakistan for the differential time periods. The study concludes that a rise in both VIX and VXFXI results in price falls of KSE-100 index and deteriorates exchange rate market. This implies that VIX act as ‘fear gauge’ on both stock and exchange rate markets in Pakistan. These outcomes provide an imperative implication on the pattern of currency and stock sensitivities against global volatility. This reveals that adverse movements in global volatility in the USA and Chinese financial market have a significant impact and a rise in VIX causes an outflow of investment from financial markets of Pakistan. Moreover, our results may guide local and global investors to anticipate the potential direction of stock and exchange rate markets based on market volatility index.

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Global Volatility Spillover, Transaction Cost and CNY Exchange Rate Parities

Abstract

The present study examines the intertemporal association between CBOE market volatility indices (VIX), foreign exchange rates and respective bid-ask spread for four CNY exchange rate parities. For this purpose, the study utilizes the stylized EGARCH (1, 1) model for the period of 2011 to 2016. Results report that negative slopes of EUVIX, BPVIX, and JYVIX imply a higher level of volatility, hence improves the underlying exchange rate through appreciation, while positive slopes of VXFXI deteriorates exchange rates during the sample period. Similarly, high volatility widens bid-ask spread which, in turn, deteriorates respective exchange rate and vice versa. The market-oriented policies of China increased the forecasting capability of options volatility indexes to anticipate exchange rate dynamics from 2% to 5%. This indicates that flexible exchange rate regimes lead to increase the predicting power of micro structural components. Assessments of Post-reforms in CNY exchange rate evidence the rise in volatility in financial markets of China, which may discourage investor confidence and seeks for ‘flight to safety’ effect. While, low volatility reduces bid-ask spread which improves underlying exchange rate. The level and variance estimates of exchange rates and spreads reveal that there exists a significant relationship with VIX indices which implies that GARCH forecasts outperform in anticipating future volatility. The volatility estimates of variances show the persistence of volatility and absence of leverage effect. Overall, this article suggests that VIX index can act as ‘fear gauge’ indicator and its potential direction may guide investors in anticipating the movements of CNY exchange rate parities. Moreover, outcomes provide imperative implications to monetary and financial institutions for policy framing.

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The Impact of Exchange Rates and Interest Rates on Bank Stock Returns: Evidence from U.S. Banks

the Level and Volatility of Interest Rates. Managerial Finance , 21, 58-77. Nelson, D. (1991). Conditional heteroscedasticity in asset returns: A new approach. Econometrica, 59, 347-370. Ng, A. (2000). Volatility spillover effects from Japan and the US to the Pacific-basin. Journal of International Money and Finance, 19, 207-233. Neuberger, J. A. (1993). Interest rate risk at US commercial banks. Federal Reserve Bank of San Francisco, Weekly Letters. Saunders, A. and P. Yourougou. (1990). Are Banks Special? The Separation of Banking form

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Stock Market Linkages: Evidence From The US, China And India During The Subprime Crisis

References Abas, M. (2009). Analysis of Stock Market Linkages: Chinese, Indian and Major Markets . University of Malaya Report, pp: 1-94. Angkinand, A. P., Barth, J. R., & Kim, H. (2009). Spillover Effects from the U.S. Financial Crisis: Some Time-Series Evidence from National Stock Returns. In The Financial and Economic Crises: An International Perspective , ed. Benton, E. G., 24-52. Cheltenham: Edward Elgar Publishing. Beirne, J., Caporale, G. M., Schulze-Ghattas, M., & Spagnolo, N. (2009). Volatility Spillovers and Contagion from Mature to

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Econometric Tests of the CAPM Model for a Portfolio Composed of Companies Listed on Nasdaq and Dow Jones Components

Abstract

We tested empirically through econometric methods the classic CAPM model for 15 shares listed on the NASDAQ market in United States of America. The results showed that, for the majority of shares, there is a linear relation between expected return and market return. The shares of the largest companies from sample (AAPL, MSFT, GOOGL, etc. INTC) had a subunitary beta and the shares of smaller companies (ADBE, YHOO, BIDU etc.) had a beta greater than one. Compared with Security Market Line (SML) the shares were found to be overestimated and overstated and using GARCH-VECH model we identified the presence of high correlation between shares and the volatility spillover phenomenon.

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Oil-Price Volatility and Macroeconomic Spillovers in Central and Eastern Europe: Evidence from a Multivariate GARCH Model

? Quarterly Journal of Economics , 125(3), 1145-1194. Choi, K. & Hammoudeh, S. (2010). Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment. Energy Policy , 38(8), 4388-4399. Dahl, C.M., & Iglesias, E.M. (2009). Volatility spillovers in commodity spot prices: New empirical results. Economic Modelling , 26(3), 601-607. Deaton, A. (1999). Commodity prices and growth in Africa. Journal of Economic Perspectives , 13(3) 23-40. Ding, L. & Vo, M. (2012). Exchange rates and oil prices: A multivariate

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