Relevant bibliographies by topics / Volatility Linkage

Academic literature on the topic 'Volatility Linkage'

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Published: 10 December 2022
Last updated: 28 January 2023

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Journal articles on the topic "Volatility Linkage"

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Hung, Ngo Thai. "Return and volatility spillover across equity markets between China and Southeast Asian countries." Journal of Economics, Finance and Administrative Science 24, no. 47 (April 29, 2019): 66–81. http://dx.doi.org/10.1108/jefas-10-2018-0106.

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Purpose This paper aims to study the daily returns and volatility spillover effects in common stock prices between China and four countries in Southeast Asia (Vietnam, Thailand, Singapore and Malaysia). Design/methodology/approach The analysis uses a vector autoregression with a bivariate GARCH-BEKK model to capture return linkage and volatility transmission spanning the period including the pre- and post-2008 Global Financial Crisis. Findings The main empirical result is that the volatility of the Chinese market has had a significant impact on the other markets in the data sample. For the stock return, linkage between China and other markets seems to be remarkable during and after the Global Financial Crisis. Notably, the findings also indicate that the stock markets are more substantially integrated into the crisis. Practical implications The results have considerable implications for portfolio managers and institutional investors in the evaluation of investment and asset allocation decisions. The market participants should pay more attention to assess the worth of across linkages among the markets and their volatility transmissions. Additionally, international portfolio managers and hedgers may be better able to understand how the volatility linkage between stock markets interrelated overtime; this situation might provide them benefit in forecasting the behavior of this market by capturing the other market information. Originality/value This paper would complement the emerging body of existing literature by examining how China stock market impacts on their neighboring countries including Vietnam, Thailand, Singapore and Malaysia. Furthermore, this is the first investigation capturing return linkage and volatility spill over between China market and the four Southeast Asian markets by using bivariate VAR-GARCH-BEKK model. The authors believe that the results of this research’s empirical analysis would amplify the systematic understanding of spillover activities between China stock market and other stock markets.
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Zeng, Hongjun. "Volatility Modelling of Chinese Stock Market Monthly Return and Investor Sentiment Using Multivariate GARCH Models." International Journal of Accounting & Finance Review 5, no. 1 (June 22, 2020): 123–33. http://dx.doi.org/10.46281/ijafr.v5i1.635.

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This article examines the linkage and volatility spillover among Chinese Stock Market Monthly Return and Investor Sentiment, investigating the effect dynamic links of various investor sentiment indicators and Chinese stock market return volatility. Employing the DCC and BEKK GARCH, we find investor sentiment is to some extent linked to the yield fluctuations of the Chinese stock market, but the volatility spillover is relatively weak. In the test period (2005-2020), we observe that several indicators do not explain their linkage effects with CSI 300 index of return fluctuations and volatility spillovers well, with no indicators can reflect both of these effects. Most indicators are linkage with the CSI 300 index, especially consumer confidence index (CCI), new investor account openings last month (NIA) and the volume of transactions last month (TURN) have significant linkage effects with the CSI 300 index. We also find that only the CCI index has a one-way volatility spillover on the CSI 300 index, and the CSI 300 index has no volatility spillover on any indicator.
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Zeng, Hongjun. "Volatility Modelling of Chinese Stock Market Monthly Return and Investor Sentiment Using Multivariate GARCH Models." International Journal of Accounting & Finance Review 5, no. 1 (June 27, 2020): 123–33. http://dx.doi.org/10.46281/ijafr.v5i1.643.

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This article examines the linkage and volatility spillover among Chinese Stock Market Monthly Return and Investor Sentiment, investigating the effect dynamic links of various investor sentiment indicators and Chinese stock market return volatility. Employing the DCC and BEKK GARCH, we find investor sentiment is to some extent linked to the yield fluctuations of the Chinese stock market, but the volatility spillover is relatively weak. In the test period (2005-2020), we observe that several indicators do not explain their linkage effects with CSI 300 index of return fluctuations and volatility spillovers well, with no indicators can reflect both of these effects. Most indicators are linkage with the CSI 300 index, especially consumer confidence index (CCI), new investor account openings last month (NIA) and the volume of transactions last month (TURN) have significant linkage effects with the CSI 300 index. We also find that only the CCI index has a one-way volatility spillover on the CSI 300 index, and the CSI 300 index has no volatility spillover on any indicator.
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Ding, Liang, Yirong Huang, and Xiaoling Pu. "Volatility linkage across global equity markets." Global Finance Journal 25, no. 2 (2014): 71–89. http://dx.doi.org/10.1016/j.gfj.2014.06.002.

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Etienne, Xiaoli Liao, Andrés Trujillo-Barrera, and Seth Wiggins. "Price and volatility transmissions between natural gas, fertilizer, and corn markets." Agricultural Finance Review 76, no. 1 (May 3, 2016): 151–71. http://dx.doi.org/10.1108/afr-10-2015-0044.

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Purpose – The purpose of this paper is to investigate the price and volatility transmission between natural gas, fertilizer (ammonia), and corn markets, an issue that has been traditionally ignored in the literature despite its significant importance. Design/methodology/approach – The authors jointly estimate a vector error correction model for the conditional mean equation and a multivariate generalized autoregressive heteroskedasticity model for the conditional volatility equation to investigate the interactions between natural gas, ammonia, and corn prices and their volatility. Findings – The authors find significant interplay between fertilizer and corn markets, while only a mild linkage in prices and volatility exist between those markets and natural gas during the period 1994-2014. There is not only a positive relationship between corn and ammonia prices in the short run, but both prices react to deviations from the long-run parity. Furthermore, the lagged conditional volatility of ammonia prices positively affects conditional volatility in the corn market and vice versa. This result is robust to a specification using crude oil price as an alternative to natural gas price to account for the large transportation cost built into ammonia prices. Results for the period of 2006-2014 indicate virtually no linkage between natural gas prices and those of fertilizer and corn during that period, while linkages in price level and volatility between the latter remain strong. Originality/value – This paper is the first in the literature to comprehensively examine the role of fertilizer on corn prices and volatility, and its relation to natural gas prices.
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Alaganar, Vaira T., and Ramaprasad Bhar. "Information and volatility linkage under external shocks." International Review of Financial Analysis 11, no. 1 (January 2002): 59–71. http://dx.doi.org/10.1016/s1057-5219(01)00070-9.

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Nguyen, Linh Xuan Diep, Simona Mateut, and Thanaset Chevapatrakul. "Business-linkage volatility spillovers between US industries." Journal of Banking & Finance 111 (February 2020): 105699. http://dx.doi.org/10.1016/j.jbankfin.2019.105699.

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Lee, Hsiu-Chuan, Chih-Hsiang Hsu, and Cheng-Yi Chien. "Spillovers of international interest rate swap markets and stock market volatility." Managerial Finance 42, no. 10 (October 10, 2016): 943–62. http://dx.doi.org/10.1108/mf-08-2015-0221.

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Purpose The purpose of this paper is to investigate volatility spillovers across the interest rate swap markets of the G7 economies, and then the authors investigate whether spillovers of swap markets contain useful information to explain subsequent stock price movements. Design/methodology/approach This study uses the short- and long-term swap spread volatility of the G7 countries to explore the spillover effects of international swap markets, and then investigates the relationship between swap and stock markets. The authors use the generalized VAR approach suggested by Diebold and Yilmaz (2012) to study spillovers of international swap markets. The Granger-causality tests are employed to examine the linkage of interest rate swap and stock markets. Findings This paper shows that a moderate spillover effect exists for the short- and long-term swap markets. Moreover, the results show that the short- and long-term swap markets of France and Germany have a larger impact on other countries’ swap markets than that of other countries’ swap markets on the French and German swap markets. Finally, the results indicate that the total volatility spillovers for the long-term swap markets have a larger influence on the total volatility spillover index of stock markets and the global stock market volatility than that of the short-term swap markets. Originality/value Prior literature has used impulse response and variance decomposition analyses to investigate international swap markets linkages. However, the results depend on the ordering of variables. This study uses the framework of Diebold and Yilmaz (2012) to overcome the ordering issue, and thus the authors can compute directional spillovers. This paper is the first study to explore the linkage of the total volatility spillover of swap markets and the stock markets.
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Latinovic, Milica, Vesna Bogojevic Arsic, and Milica Bulajic. "Volatility spillover effect in Western Balkans." Acta Oeconomica 68, no. 1 (March 2018): 79–100. http://dx.doi.org/10.1556/032.2018.68.1.4.

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This article examines volatility spillover among Western Balkan’s stock markets and selected developed markets. If there is an evidence of weak linkage between various markets, then there are potential benefits that could arise from international diversification. However, if we analyse the relationship between two markets that are different in terms of their economic development, and if there is a strong connection between them, market shocks from the developed markets can have an impact on the frontier/emerging markets. Market integration can be indicated with returns linkage and transmission of shocks and volatility between markets. Hence, this can have implications for investment strategies. It is found that there is statistically significant regional spillover between countries of the Western Balkan region. Also, there is global spillover between developed markets and this region as well. Furthermore, there is evidence that Western Balkan’s markets are late in response to important market events, and that can be used when formulating investment strategy.
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Saxena, Swami P., and Sonam Bhadauriya. "Inter — Linkage of FII Inflows and Stock Market Volatility." Asia Pacific Business Review 7, no. 3 (July 2011): 18–23. http://dx.doi.org/10.1177/097324701100700302.

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Dissertations / Theses on the topic "Volatility Linkage"

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Zheng, Lingyu. "Estimation of the linkage matrix in O-GARCH model and GO-GARCH model." Diss., Temple University Libraries, 2010. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/102486.

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Statistics
Ph.D.
We propose new estimation methods for the factor loading matrix in modeling multivariate volatility processes. The key step of the methods is based on the weighted scatter estimators, which does not involve optimizing any objective function and was embedded with robust estimation properties. The method can therefore be easily applied to high-dimensional systems without running into computational problems. The estimation is proved to be consistent and the asymptotic distribution is derived. We compare the performance with other estimation methods and demonstrate its superiority when using both simulated data as well as real-world case studies.
Temple University--Theses
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Ding, Liang. "Information Diffusion across Financial Markets." Kent State University / OhioLINK, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=kent1281058095.

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Zilberman, Roy. "Essays on banking regulation, macroeconomic dynamics and financial volatility." Thesis, University of Manchester, 2013. https://www.research.manchester.ac.uk/portal/en/theses/essays-on-banking-regulation-macroeconomic-dynamics-and-financial-volatility(723b6684-147b-43ac-a618-a4dfab94e00f).html.

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The recent global financial crisis of 2007-2009 and the subsequent recession have prompted renewed interest into how banking regulation and fluctuations in the financial sector impact the business cycle. Using three different model setups, this thesis promotes a further understanding and identification of the various transmission channels through which regulatory changes and volatility in the financial system link to the real economy. Chapter 1 examines the effects of bank capital requirements in a simple macroeconomic model with credit market frictions. A bank capital channel is introduced through a monitoring incentive effect of bank capital buffers on the repayment probability, which affects the loan rate behaviour via the risk premium. We also identify a collateral channel, which mitigates moral hazard behaviour by firms, and therefore raises their repayment probability. Basel I and Basel II regulatory regimes are then defined, with a distinction made between the Standardized and Foundation Internal Ratings Based (IRB) approaches of Basel II. We analyse the role of the bank capital and collateral channels in the transmission of supply shocks, and show that depending on the strength of these channels, the loan rate can either amplify or mitigate the effects of productivity shocks. Finally, the impact of the two channels also determines which of the regulatory regimes is most procyclical. Chapter 2 studies the interactions between bank capital regulation and the real business cycle in a Dynamic Stochastic General Equilibrium (DSGE) framework with financial frictions, along with endogenous risk of default at the firm and bank capital levels. We show that in a model which accounts for bank capital risk and regulatory requirements, the endogenous risk of default produces an accelerator effect and impacts the loan rate and the real economy through multiple channels. Furthermore, the simulations illustrate that a risk sensitive regulatory regime (Basel II) amplifies the response of macroeconomic and financial variables following supply, monetary and financial shocks, with the strength of the key transmission channels depending on the nature of the shock. The impact of higher regulatory requirements (as proposed under Basel III) is also examined and is shown to increase procyclicality in the financial system and real economy. Chapter 3 studies the interactions between loan loss provisions and business cycle fluctuations in a Dynamic Stochastic General Equilibrium (DSGE) model with credit market imperfections. With a backward-looking provisioning system, provisions are triggered by past due payments (or nonperforming loans), which, in turn, depend on current economic conditions and the loan loss reserves-loan ratio. With a forward-looking system, both past due payments and expected losses over the whole business cycle are accounted for, and provisions are smoothed over the cycle. Numerical experiments based on a parameterized version of the model show that holding more provisions can reduce the procyclicality of the financial system. However, a forward-looking provisioning regime can increase or lower procyclicality, depending on whether holding more loan loss reserves translates into a higher or lower fraction of nonperforming loans.
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Al, Mughairi Habiba. "Essays on modelling the volatility dynamics and linkages of emerging and frontier stock markets." Thesis, Brunel University, 2016. http://bura.brunel.ac.uk/handle/2438/13537.

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This thesis consists of three essays and empirically studies the behaviour of emerging and frontier stock markets against instability in the commodity and international financial markets. The first essay considers symmetric and asymmetric dynamic conditional correlation multivariate GARCH models to examine the correlations between the Gulf Cooperation Council (GCC) stock markets and the Brent and OPEC crude oil price indices and to gauge the oil shocks effect on the dynamics of the GCC stock markets. The analysis uses weekly data covering the period December 31st, 2003 to December 27th, 2012. The results show that: (i) two of the GCC stock markets are asymmetrically correlated with both the Brent and OPEC crude oil price indices and only two are symmetrically correlated with Brent oil; (ii) all the GCC stock markets exhibit positive and symmetric conditional correlations overtime and these correlations are more pronounced during periods of high oil price fluctuations. The second essay investigates the contagion effect and volatility spillovers from the U.S. financial, the Dubai and the European debt crises to the GCC stock markets, with particular focus on financial and non-financial sectors. It uses weekly data for the period December 31st, 2003 to January 28th, 2015 and applies GARCH models and indicators of crisis. The empirical results show that: i) contagion effects are present on some of the GCC stock markets and are more pronounced during the U.S. financial and Dubai debt crises, with a larger impact on financial sectors; ii) there is significant evidence of volatility spillovers from the financial sectors of the U.S., European and Dubai stock markets to some of the GCC sectors considered, even though spillovers are rather weak in magnitude. The last essay investigates the extent to which the GCC stock markets are correlated and integrated with those of the Asian countries. The analysis is carried out using the Johansen cointegration approach, the dynamic conditional correlation (DCC) GARCH model, and a standard correlation analysis based on a rolling window estimation scheme. The sample period of the analysis spans from December 31st, 2003 to September 30th, 2015. The empirical analysis offers three main results. First, there is a relatively moderate evidence of cointegration among some of the GCC and Asian stock markets particularly with of those of strong economic linkages among them. Second, evidence of time-varying correlation is found in some cases, while not large in magnitude, and shocks to volatility are highly persistence. Third, stock returns show a common trend exists, only during the global financial crisis.
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Joya, Mohammad Omar. "Trois essais sur la volatilité macroéconomique, la diversification productive, et les liaisons intersectorielles." Thesis, Bordeaux, 2017. http://www.theses.fr/2017BORD0722/document.

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Dans une série d'essais empiriques, cette thèse analyse les effets de la diversification productive sur la volatilité et la productivité dans les pays riches en ressources naturelles. Dans le premier chapitre, je montre que bien que les ressources naturelles affectent négativement la croissance économique en augmentant la volatilité, les pays riches en ressources peuvent compenser les effets déclencheurs de la volatilité des ressources en diversifiant leurs économies. Les pays dont la structure de production est initialement plus diversifiée, ou qui parviennent à se diversifier au cours de leur développement économique, sont susceptibles de bénéficier de leur dotation en ressources. Dans le deuxième chapitre, j’explique que les pays riches en ressources disposés à diversifier leurs économies pour stimuler leur productivité sont confrontés à deux choix; soit développer des industries axées sur les ressources, soit diversifier leur économie dans son ensemble vers de nouvelles activités qui ne dépendent pas nécessairement des ressources naturelles. L’analyse empirique montre que la diversification par les liens vers l’aval du secteur de l'exploitation minière ne conduit pas à des améliorations de productivité. En revanche, l'élargissement et la diversification de la structure de production dans son ensemble offrent des potentiels de croissance de la productivité à des niveaux de revenus plus élevés. Dans le troisième chapitre, j’analyse la relation entre la diversification et la volatilité du point de vue du réseau de production constitué par l’ensemble des liens d’approvisionnement entre secteurs. Je trouve que l'emplacement d'un secteur au sein du réseau et son influence sur d'autres secteurs ont des effets contradictoires sur le risque que les fluctuations subies par ce secteur génèrent une volatilité agrégée. Les secteurs situés dans des régions denses du réseau ont un effet atténuant sur la volatilité globale via les effets de substitution, tandis que ceux qui sont plus influents et au centre d'un réseau fortement asymétrique génèrent des fluctuations globales via les effets de contagion et les liaisons intersectorielles. Ceux-ci suggèrent que la répartition et la structure des liens interindustriels jouent un rôle important dans la façon dont la diversification conditionne l'impact des chocs idiosyncrasiques sur la volatilité globale
In a series of empirical essays, this thesis looks at the various intertwining aspects of growth volatility and productive diversification in resource-rich countries. In the first chapter, I find that while natural resources adversely affect economic growth by increasing growth volatility, resource-rich countries can offset the volatility-triggering effects of natural resources by diversifying their economies. Countries that start off with more diversified production structure or are able to diversify as they develop are likely to benefit from their resource endowment. In the second chapter, I discuss the fact that resource-rich countries willing to diversify their economies are faced with dual policy options; to either develop resource-based industries, or diversify their economies as a whole into new activities not necessarily dependent on natural resources. The empirical analysis shows that diversification through downstream and forward linkages to mining does not lead to productivity enhancements. However, broadening and diversifying the production structure as a whole offer potentials for productivity growth at higher levels of income. In the third chapter, I look at the relation between diversification and volatility from a production network perspective, composed of input-output linkages across sectors. I find that the location of a sector within the production network and its influence on other sectors have conflicting effects on the risk that sectoral shocks lead to aggregate volatility. Sectors that are located in dense parts of the network have a mitigating effect on aggregate volatility via substitution effects, while those that are more influential and central in a strongly asymmetrical network generate aggregate fluctuations via contagion effects and inter-industry linkages. These suggest that the distribution and the network structure of inter-industry linkages play an important role into how diversification conditions the impact of idiosyncratic shocks on aggregate volatility
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Chinzara, Zivanemoyo. "An empirical analysis of the long-run comovement, dynamic returns linkages and volatility transmission between the world major and the South African stock markets." Thesis, Rhodes University, 2008. http://hdl.handle.net/10962/d1002704.

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The international linkages of stock markets have important implications for cost of capital and portfolio diversification. Recent trends in globalization, financial liberalization and financial innovation raises questions with regard to whether African stock markets are being integrated into world equity markets. This study examines the extent to which the South African (SA) equity market is integrated into the world equity markets using daily data for the period 1995-2007. The study is divided into three main parts, each looking at the different ways in which integration can be considered. The first investigates whether there is long run comovement between the SA and the major global equity markets. Both bivariate and multivariate Johansen (1988) and Johansen and Juselius (1990) cointegration approaches were utilised. Vector Error Correction Models (VECMs) are then estimated for portfolios which show evidence of cointegration. The second part analyses returns linkages using the Vector Autoregressive (VAR), block exogeneity, impulse response and variance decomposition. The third part examines the behaviour of volatility and volatility linkages among the stock markets. Firstly volatility is analysed using the GARCH, EGARCH and GJR GARCH. Simultaneously, the hypothesis that investors receive a premium for investing in more risky stock markets is explored using the GARCH-in mean. The long term trend of volatility is also examined. Volatility linkages are then analysed using the VAR, block exogeneity, impulse response and variance decomposition. The first part established that no bivariate cointegration exists between the SA and any of the stock markets being studied, implying that pairwise portfolio diversification is potentially worthwhile for SA portfolio managers. However, multivariate cointegration exists for some portfolios, with the US, UK, Germany and SA showing evidence of error correction for some of these portfolios. Findings on return linkages is that there are significant returns linkages among the markets, with the US and SA being the most exogenous and most endogenous respectively. Findings regarding volatility are that the volatility in all the markets is inherently asymmetric and that except for the US there is no risk premium in any of the markets. The long term trend of volatility in all the stock markets was found to be relatively stable. The final finding was that significant volatility linkages exist among the markets, with the US being the most exogenous and SA and China showing evidence of bidirectional linkages. Overall, except for volatility linkages, the integration of SA into the global equity markets is still quite low. Thus, both SA and international investors can capitalise on this portfolio diversification potential. On the other hand, policy makers should capitalise on this and make policies that will attract the much needed foreign investors.
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Silva, Rodolfo Margato da. "Relações no mercado internacional de soja em grão: Preços, volatilidades e fluxo de informações." Universidade de São Paulo, 2013. http://www.teses.usp.br/teses/disponiveis/11/11132/tde-25032013-151438/.

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Este trabalho examina relações de preço e volatilidades entre os contratos futuros de soja em grão negociados nos Estados Unidos, China, Brasil e Argentina ao longo do período delimitado entre 2002 e 2011. Os principais resultados mostram que os preços norteamericanos ainda possuem um papel dominante para explicar as variações de preço nos mercados internacionais. Outros resultados também indicam conexões mais fortes entre os preços na bolsa chinesa de Dalian e nos demais mercados, especialmente após 2006. Esta constatação sugere que o mercado chinês se tornou mais integrado ao mercado global de soja em grão em anos recentes, o que reflete a crescente participação da China no comércio internacional da commodity e o desenvolvimento de seu contrato futuro. Em termos de transmissão de volatilidade, o contrato futuro norte-americano teve papel de referência ao promover o contágio para os mercados futuros de Brasil e Argentina em praticamente todos os intervalos de tempo definidos na pesquisa; além disso, movimentos de volatility spillover do mercado dos Estados Unidos para a bolsa chinesa de Dalian ocorreram somente entre 2009 e 2011, ratificando a maior conexão do mercado asiático nos últimos anos. Ainda, Brasil e Argentina mostraram fortes relações com o mercado chinês, fruto do estreitamento comercial, e ao mesmo tempo foram nitidamente impactados pela estrutura de preços e por choques ocorridos na bolsa norte-americana. A despeito da caracterização do contrato futuro dos Estados Unidos como líder na precificação da soja em âmbito mundial, o presente trabalho expõe a grande parcela de importância da bolsa chinesa na definição do preço eficiente de longo prazo da soja em grão, e confirma Brasil e Argentina como seguidores no sistema internacional de ajuste de preços. Através da comparação entre modelos com diferenças acerca da utilização de preços de fechamento ou de abertura da China, o conjunto com cotações de fechamento apresentou maior número de relações de preço e processos de transmissão de volatilidade significativos. A grande contribuição deste estudo corresponde ao resultado sintético de que os principais players do mercado internacional de soja em grão são bastante conectados através de movimentos de preços, volatilidades e fluxos de informação, e que as conexões entre eles se tornaram mais fortes com o passar dos últimos anos. Em termos de aplicação prática, o estudo apontou que os agentes do mercado internacional de soja em grão que acompanharem os movimentos do contrato futuro da China diariamente tendem a realizar transações mais eficientes e lucrativas.
This thesis examines price and volatility linkages between soybean futures contracts traded in United States, China, Brazil and Argentina for the period ranging from 2002 to 2011. The main findings show that U.S. prices still appear to have a dominant role to explain price changes in international markets. Results also indicate stronger linkages between prices in China and in other three markets, especially after 2006. This result suggests the Chinese market has become more integrated with soybean international markets in recent years, which might reflect the growing participation of China in international trade and the development of its soybean futures contract. Regarding volatility spillover, U.S. futures contract had reference position by promoting price contagion to the futures markets in Brazil and Argentina in almost all time intervals defined; moreover, volatility spillovers from U.S. market to Dalian futures market have been observed only from 2009 to 2011, confirming a stronger linkage between U.S. and Chinese markets in the last years. Besides, Brazil and Argentina have shown strong linkages with Chinese market, due to the trade relationship, and at the same time these countries have been impacted sharply by price structure and shocks from U.S. market. Despite the role of U.S. futures contract as a global leader in the soybean pricing process, this study presents the great importance of Chinese market to define the soybean efficient price in the long run, and it confirms Brazil and Argentina as followers in the international system of price adjustment. By comparing models with differences on the use of closing prices or opening prices from Chinese futures market, the set of closing prices presented the largest number of significant price linkages and volatility spillovers. According to the main contribution of this study, the major players in the soybean international market are highly linked through price movements, volatilities and information flow. Results also indicate that linkages between the soybean futures markets have become stronger over the last years. Regarding the practical application, the study pointed that the players of the soybean international market have to observe the movements in the Chinese futures contract daily to perform more efficient and profitable transactions.
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Hung, Chih-Hsien, and 洪熾賢. "Dynamic Volatility Linkage between Taiwan MSCI Index and International Stock Markets." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/09954040415724641669.

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碩士
國立中山大學
財務管理學系研究所
98
This paper uses multivariate DCC-GARCH model to investigate the volatility of dynamic correlation between MSCI Taiwan stock index and the USA, China, Japan , Asia and global stock market. The existence of stock market volatility asymmetry, volatility spread of infection and clustering effects also are analysed, while in case of the U.S. sub-prime mortgage crisis and triggered the global financial tsunami. It discusses the Taiwan stock market fluctuations and structural changes in the international markets and the market dynamics related to change of influence and change. The main findings are (1)The volatility of continuity between the spread of infection and the clustering effect between the Taiwan stock market and international market fluctuations, (2) During the global financial tsunami, the correlation between changes in the international market and the market Correlation of different dynamic fluctuations and structural changes occurring in different time point also show the impact of changes of individual markets (3)The correlation between MSCI Taiwan stock index and the USA, China , Japan, indicates that the impact of change of stock the Japanese stock market on the MSCI Taiwan stock index is low, while China and the MSCI Taiwan stock index-related enhances, (4) market structure changes, the MSCI Taiwan stock index and the global dynamic fluctuations in the market is still a significant, The visible impact of the shock oscillation is wide and return to equilibrium of adjustment is still ongoing.
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Chang, Huajan, and 張華然. "Using Multivariate Stochastic Volatility Model to Investigate the Dynamic Linkage between American Depository Receipts and Underlying Stocks." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/76474331342660824994.

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Ozer, Gorkem Beaumont Paul M. "Volatility linkages in growth and asset pricing." Diss., 2005. http://etd.lib.fsu.edu/theses/available/etd-06202005-181852.

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Thesis (Ph. D.)--Florida State University, 2005.
Advisor: Dr. Paul M. Beaumont, Florida State University, College of Social sciences, Dept. of Economics. Title and description from dissertation home page (viewed Sept. 15, 2005). Document formatted into pages; contains xiii, 164 pages. Includes bibliographical references.
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Books on the topic "Volatility Linkage"

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W, Hertel Thomas. Commodity price volatility in the biofuel era: An examination of the linkage between energy and agricultural markets. Cambridge, MA: National Bureau of Economic Research, 2011.

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Canarella, Giorgio. NAFTA stock markets: Dynamic return and volatility linkages. Hauppauge, N.Y: Nova Science Publishers, 2009.

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1945-, Miller Stephen M., and Pollard Stephen K, eds. NAFTA stock markets: Dynamic return and volatility linkages. Hauppauge, N.Y: Nova Science Publishers, 2009.

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Fazal, Husain, and Pakistan Institute of Development Economics, eds. Capital inflows, inflation and exchange rate volatility: An investigation for linear and nonlinear causal linkages. Islamabad: Pakistan Institute of Development Economics, 2010.

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5

Mehling, Michael. Legal Frameworks for Linking National Emissions Trading Systems. Edited by Kevin R. Gray, Richard Tarasofsky, and Cinnamon Carlarne. Oxford University Press, 2016. http://dx.doi.org/10.1093/law/9780199684601.003.0013.

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This chapter discusses the linking of emissions trading regimes for climate change governance. It also assesses the legal frameworks for linking as the process assumes varying degrees of formality, with implications for the legal nature and the procedural requirements of adoption. Linkage results in an enlarged market, promising greater diversity of abatement costs and thus more efficient achievement of climate change mitigation objectives. Linkage is also credited with promoting liquidity and reduced price volatility in the carbon market, helping reduce the likelihood of manipulation and abuse. These results lead to operation in a multilayered framework of established rules, principles, and procedures constituting the legal order. Carbon markets are highly regulated, and this relevance of norms also extends to a linkage between such markets. The chapter analyses past and current trading schemes as a case study, such as the European Union Emission Trading Scheme, the biggest greenhouse gas emissions trading scheme.
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Karakoç, Ekrem. Introduction. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780198826927.003.0001.

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This chapter opens by providing empirical evidence that income inequality persists or increases in many new democracies after their transition. Then it gives a brief overview of studies that expect reduced inequality because of democratization and questions their three assumptions regarding median voters, party system stability, and the authoritarian legacy on citizen–party linkage. It offers a revision to the median voter theory, emphasizes high electoral volatility in new democracies, and reexamines the legacy of previous nondemocratic regimes on citizen–party linkage. Having offered its argument in a nutshell, it turns to research methodology and case selection. It offers the rationale behind employing a multimethod approach to test its arguments. It tests its argument through large-N analysis in new and longstanding democracies in Europe as well as two paired case studies: Poland and the Czech Republic in postcommunist Europe and Turkey and Spain in Southern Europe.
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Chatterjee, Susmita, Dhrubaranjan Dandapat, and Bhaskar Bagchi. Dynamic Linkages and Volatility Spillover: Effects of Oil Prices on Exchange Rates and Stock Markets of Emerging Economies. Emerald Publishing Limited, 2016.

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Chatterjee, Susmita, Dhrubaranjan Dandapat, and Bhaskar Bagchi. Dynamic Linkages and Volatility Spillover: Effects of Oil Prices on Exchange Rates, and Stock Markets of Emerging Economies. Emerald Publishing Limited, 2016.

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Hepburn, Erecia, and Allison Karpyn. From Soil to Stomach. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780190626686.003.0012.

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One important and growing strategy to help local communities reinvest in local food is agritourism. Although advances have been made over the past half-century to promote and ensure food security globally, volatility in food prices and an increasing reliance on processed foods have created a global deterioration of nutrition needs. Although the majority of countries consider agritourism a venture to assist smaller farms looking to diversify, the approach is also a promising mechanism to encourage participation in sustainable agriculture and health promotion. In this chapter, we define agritourism, explore examples in the Caribbean and Europe, and examine how forward and backward linkages support its growth.
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Book chapters on the topic "Volatility Linkage"

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Kanamura, Takashi. "Dynamic Price Linkage and Volatility Structure Model Between Carbon Markets." In Springer Proceedings in Mathematics & Statistics, 301–8. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-13881-7_33.

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Rasouli, Zahra, Mohammad Ghahremanzadeh, and Masoomeh Rashidghalam. "Oil Price Volatility and Food Price Linkage: Evidence of Dutch Disease in Iran’s Agricultural Sector." In The Economics of Agriculture and Natural Resources, 171–81. Singapore: Springer Singapore, 2020. http://dx.doi.org/10.1007/978-981-15-5250-2_11.

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Rasoulinezhad, Ehsan, Farhad Taghizadeh-Hesary, and Naoyuki Yoshino. "Volatility Linkages Between Energy and Food Prices." In The Handbook of Energy Policy, 1–24. Singapore: Springer Nature Singapore, 2022. http://dx.doi.org/10.1007/978-981-16-9680-0_30-1.

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Dreassi, Alberto, Stefano Miani, Andrea Paltrinieri, and Alex Sclip. "Volatility Linkages and Co-movements Between International Stocks and the Sukuk Market." In Bank Funding, Financial Instruments and Decision-Making in the Banking Industry, 31–61. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-30701-5_3.

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Kiatmanaroch, Teera, Ornanong Puarattanaarunkorn, Kittawit Autchariyapanitkul, and Songsak Sriboonchitta. "Volatility Linkages Between Price Returns of Crude Oil and Crude Palm Oil in the ASEAN Region: A Copula Based GARCH Approach." In Lecture Notes in Computer Science, 428–39. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-25135-6_39.

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Shahsavari, Masoumeh. "Dynamic correlation and volatility linkage between stocks and sukuk." In The Growth of Islamic Finance and Banking, 136–51. Routledge, 2019. http://dx.doi.org/10.4324/9780429262432-10.

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Doi, Hirofumi, and Takeshi Shinoda. "Conceptual Modeling for Vital Power Scale for Corporate Management by Theory of Constraint." In Advances in Transdisciplinary Engineering. IOS Press, 2019. http://dx.doi.org/10.3233/atde190120.

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According with the exponential growth of Information Technology and current volatility world, the company has to drive uncertainty much rather than before. This is the time that keeping still shall result in termination of company. Therefore it is important to clarify the priority evaluation measure for continuing company operation, which we will define the vital power scale in this paper. Focusing working capital (Cash enable company to do legal payment to any stakeholders), which is essential to maintain company operation, evaluation measure for vital power of company (major measurable factor to evaluate working capital or practical measurable index for corporate management, corporate management is to enable to keep company alive) has been studied with TOC (Theory of constraints). Investigation has been done by using dice simulation having assumption of linkage and fluctuation in system, which is introduced by TOC, under the variable market price and varying company productivity.
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"Introduction." In Dynamic Linkages and Volatility Spillover, 1–13. Emerald Group Publishing Limited, 2016. http://dx.doi.org/10.1108/978-1-78635-554-620161001.

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"Literature Review." In Dynamic Linkages and Volatility Spillover, 15–20. Emerald Group Publishing Limited, 2016. http://dx.doi.org/10.1108/978-1-78635-554-620161002.

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"New Oil Price Shock: Effect on the Emerging Economies." In Dynamic Linkages and Volatility Spillover, 21–45. Emerald Group Publishing Limited, 2016. http://dx.doi.org/10.1108/978-1-78635-554-620161003.

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Conference papers on the topic "Volatility Linkage"

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"Political Friction, Global Value Chains Linkages and Stock Price Volatility." In 2019 2nd International Conference on Contemporary Education and Economic Development. Clausius Scientific Press, 2019. http://dx.doi.org/10.23977/ceed.2019.037.

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Chen, Zhaoxu, and Jun Xu. "Dynamic Linkages between Stock Market Volatility and Macroeconomic Variables: Empirical Evidence Based on China." In 2009 International Conference on Business Intelligence and Financial Engineering (BIFE). IEEE, 2009. http://dx.doi.org/10.1109/bife.2009.191.

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Ahmed, Rahil Irfan, and Guohao Zhao. "Dynamic Linkages of Return and Asymmetric Volatility Spillovers Among Asian Emerging Stock Markets: Evidence from Post-Global Financial Crisis Period." In 3rd International Conference on Advances in Management Science and Engineering (IC-AMSE 2020). Paris, France: Atlantis Press, 2020. http://dx.doi.org/10.2991/aebmr.k.200402.005.

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Pribyl, Barbara, Satinder Purewal, and Harikrishnan Tulsidas. "Development of the Petroleum Resource Specifications and Guidelines PRSG – A Petroleum Classification System for the Energy Transition." In SPE Annual Technical Conference and Exhibition. SPE, 2021. http://dx.doi.org/10.2118/205847-ms.

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Abstract The Petroleum Working Group (PWG) of the United Nations Economic Commission for Europe (UNECE) has developed the Petroleum Resource Specifications and Guidelines (PRSG) to facilitate the application of the United Nations Framework Classification for Resources (UNFC) for evaluating and classifying petroleum projects. The UNFC was developed by the Expert Group on Resource Management (EGRM) and covers all resource sectors such as minerals, petroleum, renewable energy, nuclear resources, injection projects, anthropogenic resources and groundwater. It has a unique three- dimensional structure to describe environmental, social and economic viability (E-axis), technical feasibility and maturity (F-axis) and degree of confidence in the resource estimates (G-axis). The UNFC is fully aligned to holistic and sustainable resource management called for by the 2030 Agenda for Sustainable Development (2030 Agenda). UNFC can be used by governments for integrated energy planning, companies for developing business models and the investors in decision making. Internationally, all classification systems and their application continue to evolve to incorporate the latest technical understanding and usage and societal, government and regulatory expectations. The PRSG incorporates key elements from current global petroleum classification systems. Furthermore, it provides a forward-thinking approach to including aspects of integrity and ethics. It expands on the unique differentiator of the UNFC to integrate social and environmental issues in the project evaluation. Several case studies have been carried out (in China, Kuwait, Mexico, Russia, and Uganda) using UNFC. Specifically, PRSG assists in identifying critical social and environmental issues to support their resolution and development sustainably. These issues may be unique to the country, location and projects and mapped using a risk matrix. This may support the development of a road map to resolve potential impediments to project sanction. The release of the PRSG comes at a time of global economic volatility on a national and international level due to the ongoing impact and management of COVID-19, petroleum supply and demand uncertainty and competing national and international interests. Sustainable energy is not only required for industries but for all other social development. It is essential for private sector development, productive capacity building and expansion of trade. It has strong linkages to climate action, health, education, water, food security and woman empowerment. Moreover, enduring complex system considerations in balancing the energy trilemma of reliable supply, affordability, equity, and social and environmental responsibility remain. These overarching conditions make it even more essential to ensure projects are evaluated in a competent, ethical and transparent manner. While considering all the risks, it is also critical to reinforce the positive contribution a natural resource utilization project provides to society. Such an inquiry can focus on how the project contributes to the quality of life, environment, and the economy – the people, planet, and prosperity triad. Such an approach allows consistent, robust and sustainable investment decision making and energy policy development.
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Reports on the topic "Volatility Linkage"

1

Hertel, Thomas, and Jayson Beckman. Commodity Price Volatility in the Biofuel Era: An Examination of the Linkage Between Energy and Agricultural Markets. Cambridge, MA: National Bureau of Economic Research, February 2011. http://dx.doi.org/10.3386/w16824.

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