This study investigates return and asymmetric volatility spillovers dynamic correlations between the main small medium-sized enterprise (SME) stock markets in Saudi Arabia Egypt for periods before during COVID-19 pandemic. Return are modelled using a VAR-asymmetric BEKK–GARCH (1,1) model, while DCC–GARCH model is employed to conditional these markets, which then used determine explore portfolio...

This paper examines and confirms the varying volatility of relationship between cryptocurrency currency markets at different time periods, such as when market encountered multiple risk events including US–China trade war, COVID-19, Russian–Ukraine war. We employ Diagonal BEKK model find that co-volatility spillover effects returns cryptocurrencies currencies, with exception Tether U.S. dollar i...

بورس های اوراق بهادار به عنوان نبض اقتصاد جامعه مطرح هستند. داشتن بورس پویا و رو به رشد به توسعه اقتصادی کشور کمک شایانی می نماید. بورس های اوراق بهادار از دو بعد داخلی و بین المللی قابل بررسی می باشند. اثرات اخبار خوب و بد داخلی و شوک ها و نوسانات جهانی ازجمله عوامل مؤثر بر نرخ بازدهی شاخص قیمت بورس اوراق بهادار می باشد. در این مطالعه با استفاده از اطلاعات شاخص بورس های تهران، استانبول و دوبی ...

Abstract This paper documents evidence of changes in the co-movement stock returns and risk transmission among four South Asian markets over periods regional market reform global instability. The sample period (1993–2015) is disaggregated into three sub-periods: before after establishment Federation Exchanges (SAFE) 2008 Global Financial Crisis. principal components investigation cointegration ...

The volatility of meat prices affects the accessibility and even food security some consumers in Turkey. This study analyses selected livestock a major feed component, wheat, as well exchange rate domestic currency Turkey because imports augmented live calf sheep supply. analysis applies 470 price observations from January 2005 to October 2019 for each following series: calf, sheep, Turkish lir...