VOLATILITY AND CONDITIONAL MARKET CORRELATIONS IN PERIODS OF CRISIS

被引：0

作者：

Borges, Wemerson Gomes ^{[1
]}

Carvalho, Luciano Ferreira ^{[2
]}

Lima, Nilton Cesar ^{[3
]}

Reina, Donizete ^{[4
]}

机构：

[1] Univ Fed Uberlandia, Ciencias Contabeis, Uberlandia, MG, Brazil

[2] Univ Fed Uberlandia, Econ, Uberlandia, MG, Brazil

[3] Univ Fed Uberlandia, Univ Sao Paulo, Adm, Uberlandia, MG, Brazil

[4] Univ Fed Uberlandia, Univ Fed Do Santo, Ciencias Contabeis, Uberlandia, MG, Brazil

来源：

REVISTA ELETRONICA DE ESTRATEGIA E NEGOCIOS-REEN | 2023年 / 16卷

关键词：

Volatility; conditional correlation; market movements; contagions; crisis; PORTFOLIO DIVERSIFICATION; TIME-SERIES; UNIT-ROOT; FINANCIAL CRISIS; CONTAGION; INTERDEPENDENCE; TRANSMISSION; INTEGRATION; STABILITY; DYNAMICS;

D O I：

暂无

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

The study analyzed co-movements and contagions in Latin American stock markets, testing the benefits of diversification in times of crisis. The period investigated was from January 2000 to December 2018, testing the correlations through Asymmetric Dynamic Conditional Correlation models. The results indicate that correlations increase in periods of crisis in all markets and sectors, thus reducing the benefits of portfolio diversification. It was also possible to observe that the increase in correlations during an internal crisis is of smaller magnitude than the increase in correlations during external crises, such as Subprime.

引用

页数：33

共 50 条

[41] Market Shocks and Stock Volatility: Evidence from Emerging and Developed Markets [J].

Tabash, Mosab I. ;

Chalissery, Neenu ;

Nishad, T. Mohamed ;

Al-Absy, Mujeeb Saif Mohsen .

INTERNATIONAL JOURNAL OF FINANCIAL STUDIES, 2024, 12 (01)

[42] On bank return and volatility spillovers: Identifying transmitters and receivers during crisis periods [J].

Apostolakis, George N. ;

Floros, Christos ;

Giannellis, Nikolaos .

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2022, 82 :156-176

[43] MENA stock market volatility persistence: Evidence before and after the financial crisis of 2008 [J].

Assaf, Ata .

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2016, 36 :222-240

[44] Return and volatility spillover effects between the Turkey and the Russia stock market [J].

Kutlu, Melih ;

Karakaya, Aykut .

JOURNAL OF ECONOMIC AND ADMINISTRATIVE SCIENCES, 2021, 37 (04) :456-470

[45] Stock markets volatility during crises periods: a bibliometric analysis [J].

Goyal, Priyanka ;

Soni, Pooja .

QUALITATIVE RESEARCH IN FINANCIAL MARKETS, 2025, 17 (01) :41-65

[46] Investors' trading behaviour and stock market volatility during crisis periods: A dual long-memory model for the Korean Stock Exchange [J].

Caporale, Guglielmo Maria ;

Karanasos, Menelaos ;

Yfanti, Stavroula ;

Kartsaklas, Aris .

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2021, 26 (03) :4441-4461

[47] A MULTIVARIATE THRESHOLD VARYING CONDITIONAL CORRELATIONS MODEL [J].

Kwan, W. ;

Li, W. K. ;

Ng, K. W. .

ECONOMETRIC REVIEWS, 2010, 29 (01) :20-38

[48] Forecasting oil tanker shipping market in crisis periods: Exponential smoothing model application [J].

Moiseev, George .

ASIAN JOURNAL OF SHIPPING AND LOGISTICS, 2021, 37 (03) :239-244

[49] Forecasting crude oil market volatility: A Markov switching multifractal volatility approach [J].

Wang, Yudong ;

Wu, Chongfeng ;

Yang, Li .

INTERNATIONAL JOURNAL OF FORECASTING, 2016, 32 (01) :1-9

[50] Volatility spillovers and time-frequency correlations between Chinese and African stock markets [J].

Ngo Thai Hung .

REGIONAL STATISTICS, 2020, 10 (02) :63-82

← 1 2 3 4 5 →