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...

The paper examines risk spillover among major European, American and Japanese stock exchanges using daily stock prices from 1998 to 2011 period. More specifically, we focus more on risk spillover among major north-western stock markets (i.e. France, Germany, and United Kingdom) and southern European stock markets (Greece, Italy, Portugal, and Spain). The main motivation of the study is to use t...

Available online 11 July 2013

This study investigates the intraday price and volatility spillover effect between the Japanese market and the Korean market, using a VAR-asymmetric BEKK GARCH model. In particular, the study considers three high-frequency (10-min, 30-min, and 1-hour) intraday datasets of TOPIX and KOSPI200 markets. The empirical results indicate a bi-directional price spillover effect in the 10-min intervals, ...

This paper evaluates the data from the recent financial crisis to examine the risk spillover effects of financial markets value at risk (VaR), which captures the extreme behavior of an asset, is considered a measure of risk in an asset or in a market. We hypothesize that an extreme downside movement of returns in a market measured by a VaR has negative effects on other markets, causing a simila...

We propose the systemic risk beta as a measure for financial companies’ contribution to systemic risk given network interdependence between firms’ tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we define the systemic risk beta as the time-varying marginal effect of a firm’s Value-at-risk (VaR) on the system’s ...

The present study examined the experience of work-family spillover among 586 hotel managers (HMs) working in 50 full-service hotels throughout the U.S. Work-family spillover occurs when behaviors, moods, stresses, and emotions from work spill over into family. We first investigated which hotel managers were more likely to experience spillover and stressful work conditions based on their life ci...

Using the approach of Granger causality in risk, we investigate extreme risk spillover effects among four major world gold markets (London, New York, Tokyo and Shanghai) before and after the recent global financial crisis. We find (i) that there are strong extreme risk spillover effects between London and New York, and London and Shanghai, (ii) that most of the extreme risk spillovers to Tokyo ...

Co-movement analysis has a significant role in recourse allocation, risk management, etc. This study uses the novel approach of wavelet coherence in continuous wavelet transform framework to investigate the correlation dynamic and spillover effect of 10 main sector indices of Tehran Stock Exchange, in time and frequency domains. Analyzing the data indicates that correlation structure among TSE ...

This study examines the link between negative work-family spillover and metabolic risk factors over a 9-year period. Data from two waves of the Midlife in the United States Survey were used to explore relationships between negative work-family spillover and four indicators of metabolic syndrome-blood pressure, triglycerides, body mass index, and glucose levels. In a sample of full-time working ...