During the recent European sovereign debt crisis, returns on EMU government bond portfolios experienced substantial volatility clustering, leptokurtosis and skewed returns, as well as correlation spikes. Asset managers invested in European government bonds had to derive new hedging strategies to deal with the changing return properties and the higher level of uncertainty. In this market environ...

This paper examines the risk spillover mechanism between China's stock market and international commodity markets using selected industry data series on soybean copper, gold, silver, sugar, crude oil. Based results of this analysis, a DCC-GARCH model is used to describe dynamic correlation, build hedging model, calculate efficiency, evaluate effect. According findings, industrial optional consu...

This study compared the impact of Global Financial Crisis (GFC) and COVID-19 pandemic on financial market contagion between developed emerging markets. A DCC-GARCH model was employed to test effects markets using weekly returns for S&P 500 (US), FTSE-100 (UK), ASX 200 (AUS), IBOVESPA (BRA), BSE SENSEX (IND) BVM IPC (MEX). The results showed that there a persuasive case made integration effi...

This research aims to evaluate whether dynamic portfolios consisting of bitcoin and LQ45 stocks outperform composed solely stocks, especially during the Covid-19 pandemic. Accordingly, we use time-series data eight from January 1, 2020, December 31, 2020. We then run DCC-GARCH method analyze better correlation between assets abnormalities stock return distributions. The findings demonstrate tha...

The primary purpose of the study is to identify and measure properties asset bubbles, volatility clustering, financial contagion during three recent market anomalies that originated in U.S. Chinese markets. In particular, we focus on 2000 DotCom Bubble, 2008 Housing Crisis, 2015 Bubble. We employ main empirical methods; LPPL model DCC-GARCH Diebold-Yilmaz spillover index level contagion. provid...

In this article, the co-movement between GCC and US stock market returns was investigated using wavelet coherence method. The Dynamic Conditional Correlation GARCH (DCC-GARCH) modelling is then applied on time-varying components in order to provide a point of comparison with results extracted from analysis. investigation conducted weekly index prices two USA markets, namely Dow Jones S&P 500 si...

Abstract This paper investigates the linkage of returns and volatilities between United States Chinese stock markets from January 2010 to March 2020. We use dynamic conditional correlation (DCC) asymmetric Baba–Engle–Kraft–Kroner (BEKK) GARCH models calculate time-varying correlations these two examine return volatility spillover effects markets. The empirical results show that there are only u...