GRR - Global Regional Review

TESTING OF VOLATILITY SPILLOVERS DYNAMICS AND NETWORK CONNECTEDNESS BETWEEN ISLAMIC INDICES OF REGIONAL STOCK MARKETS

http://dx.doi.org/10.31703/grr.2019(IV-I).15 10.31703/grr.2019(IV-I).15
Authored by : KashifHamid , Rana ShahidImdadAkash , MuhammadMudassarGhafoor

15 Pages : 128-137

References

Adams, M., Andersson, J., Andersson, L.F. & Lindmark, M. (2009). Commercial banking, insurance and economic growth in Sweden between 1830 and 1998. Accounting, Business & Financial History, 19, 21-38.
Ahmad, W., Sehgal, S., & Bhanumurthy, N. R. (2013). Eurozone crisis and BRIICS stock markets: contagion or market interdependence?Economic Modelling,33, 209-225.
Diebold, F. X. and K. Yilmaz (2009). Measuring financial asset return and volatility spillovers.
Diebold, F. X., & Yilmaz, K. (2012). Better togive than to receive: Predictive directional measurement of volatility spillovers.International Journal of Forecasting,28(1), 57-66
Diebold, F. X., & Yilmaz, K. (2016). Trans-Atlantic equity volatility connectedness: US and European financial institutions, 2004-2014.Journal of Financial Econometrics,14(1), 81-127.
Diebold, F.X. and Yilmaz, K. (2014). On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.Journal of Econometrics, 182, 119-134
FernÃƒÂ¡ndez-RodrÃƒÂguez, F., GÃƒÂ³mez-Puig, M., & Sosvilla-Rivero, S. (2015). Volatility spillovers in EMU sovereign bond markets.International Review of Economics & Finance,39, 337-352.
MacDonald, R., Sogiakas, V., & Tsopanakis, A. (2018). Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index.Journal of International Financial Markets, Institutions and Money,52, 17-36
Manopimoke, P., Prukumpai, S., & Sethapramote, Y. (2018). Dynamic Connectedness in Emerging Asian Equity Markets. InBanking and Finance Issues in Emerging Markets(pp. 51-84). Emerald Publishing Limited
Mensi, W., Boubaker, F. Z., Al-Yahyaee, K. H., & Kang, S. H. (2018). Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets.Finance Research Letters,25, 230-238
Mensi, W., Hammoudeh, S., Al-Jarrah, I. M. W., Sensoy, A., & Kang, S. H. (2017). Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications.Energy Economics,67, 454-475
Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach.Econometrica: Journal of the Econometric Society, 347-370.
Wang. L., 2016. Causal Relationship and Volatility Spillover between Chinese CSI 300 Index and Index Futures. Economics Department, University of North Carolina at Chapel Hill.
Yang, J. Y., Lee, S. H., & Yeo, I. S. (2017). Long and Short-term Volatility Co-movements in the East Asian Stock.Applied Economics and Finance,4(3), 14-29.

References

Adams, M., Andersson, J., Andersson, L.F. & Lindmark, M. (2009). Commercial banking, insurance and economic growth in Sweden between 1830 and 1998. Accounting, Business & Financial History, 19, 21-38.
Ahmad, W., Sehgal, S., & Bhanumurthy, N. R. (2013). Eurozone crisis and BRIICS stock markets: contagion or market interdependence?Economic Modelling,33, 209-225.
Diebold, F. X. and K. Yilmaz (2009). Measuring financial asset return and volatility spillovers.
Diebold, F. X., & Yilmaz, K. (2012). Better togive than to receive: Predictive directional measurement of volatility spillovers.International Journal of Forecasting,28(1), 57-66
Diebold, F. X., & Yilmaz, K. (2016). Trans-Atlantic equity volatility connectedness: US and European financial institutions, 2004-2014.Journal of Financial Econometrics,14(1), 81-127.
Diebold, F.X. and Yilmaz, K. (2014). On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.Journal of Econometrics, 182, 119-134
FernÃƒÂ¡ndez-RodrÃƒÂguez, F., GÃƒÂ³mez-Puig, M., & Sosvilla-Rivero, S. (2015). Volatility spillovers in EMU sovereign bond markets.International Review of Economics & Finance,39, 337-352.
MacDonald, R., Sogiakas, V., & Tsopanakis, A. (2018). Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index.Journal of International Financial Markets, Institutions and Money,52, 17-36
Manopimoke, P., Prukumpai, S., & Sethapramote, Y. (2018). Dynamic Connectedness in Emerging Asian Equity Markets. InBanking and Finance Issues in Emerging Markets(pp. 51-84). Emerald Publishing Limited
Mensi, W., Boubaker, F. Z., Al-Yahyaee, K. H., & Kang, S. H. (2018). Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets.Finance Research Letters,25, 230-238
Mensi, W., Hammoudeh, S., Al-Jarrah, I. M. W., Sensoy, A., & Kang, S. H. (2017). Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications.Energy Economics,67, 454-475
Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach.Econometrica: Journal of the Econometric Society, 347-370.
Wang. L., 2016. Causal Relationship and Volatility Spillover between Chinese CSI 300 Index and Index Futures. Economics Department, University of North Carolina at Chapel Hill.
Yang, J. Y., Lee, S. H., & Yeo, I. S. (2017). Long and Short-term Volatility Co-movements in the East Asian Stock.Applied Economics and Finance,4(3), 14-29.