Volatility Spillover Effects among Securities Exchanges in East Africa

Volatility Spillover among Industries in the Capital Market in Iran

Measuring the dynamic relationship between banking and industries with systemic importance has attracted much attention after the recent financial crisis. This paper examines the dynamic conditional correlations and volatility spillover using three popular multivariate GARCH models in the twelve-year period (from the beginning of 2005 to the beginning of 2016) among the fourteen systemically im...

Cryptographic Securities Exchanges

While transparency in financial markets should enhance liquidity, its exploitation by unethical and parasitic traders discourages others from fully embracing disclosure of their own information. Traders exploit both the private information in upstairs markets used to trade large orders outside traditional exchanges and the public information present in exchanges’ quoted limit order books. Using...

Cryptographic Combinatorial Securities Exchanges

We present a useful new mechanism that facilitates the atomic exchange of many large baskets of securities in a combinatorial exchange. Cryptography prevents information about the securities in the baskets from being exploited, enhancing trust. Our exchange offers institutions who wish to trade large positions a new alternative to existing methods of block trading: they can reduce transaction c...

price volatility spillover effects in beef market of tehran province

the price volatility spillover effect indicates that price volatility in different markets can be mutually affected. the objective of the study is to analyze volatility price spillover effects on the vertical levels including input, wholesale and retail sale levels in the tehran beef supply chain. the multivariate generalized autoregressive conditional heteroskedastic (mvgarch) model was used b...

The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets