Abstract Macro-finance asset pricing models provide a rationale for connectedness dynamics between equity and Treasury risk-neutral volatilities. In this paper, we study the total directional connectedness, in sense of spillover effects, volatilities from markets. addition, analyze economic monetary drivers dynamics. Most time, but especially during bad times, find significant net spillovers to...

This study investigates the interdependence between crude oil fluctuations and stock return dynamics of major BRICS market returns namely China Russia, over last turbulent period ranging from September 2001 to March 2019. We used a VAR-GARCH model that allows for simultaneous spillover in volatility return, under Student’s t- distribution. In addition prices, foreign exchange rates are so inclu...

This study aims to investigate the dynamic conditional correlation and volatility spillover between conventional Islamic stock markets in developed emerging countries order develop better portfolio asset allocation strategies. We used both multivariate GARCH (MGARCH) multi-scales-based maximal overlap discrete wavelet transform (MODWT) approaches countries. The results show that move together l...

We examine the high-frequency return and volatility of major cryptocurrencies reveal that spillovers among them exist. Our analysis shows clustering structures are distinct different cryptocurrencies, suggesting might have spillover patterns. Further investigation via minimal spanning trees points out BTC, LTC ETH most relevant in general, serving as connection hubs for linking many other crypt...

The asymmetric price volatility transmission issue in agricultural supply chains has been ignored the previous literature. This paper applies an asymmetrical MGARCH-BEKK model to investigate with application Chinese pork market. Additionally, we use Zivot–Andrews unit root test a structural break examine whether piglet, hog, and prices have breaks. results show that pork’s market breakpoint 200...

This is the first comprehensive study to investigate dynamics of international information spillovers, regional linkages and fundamental forces driving return volatility in SAARC (South Asian Association for Regional Cooperation) member nation equity markets. We propose a multi-factor model nested within generalized autoregressive conditional heteroskedasticity framework enlist market data. Whi...