Essays about: "Spillover index"

Showing result 16 - 20 of 22 essays containing the words Spillover index.

  1. 16. Beyond the "Asian Flu". "Asia-vu"? Internal and External Risks for The Economy of Indonesia. Asset Price Bubbles and Contagion

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Nikolay Antonov; Todor Sapunarov; [2014]
    Keywords : Bubbles; Contagion; Indonesia; Kalman filter; Bubbagion Index ;

    Abstract : Asset price bubbles and cross-country contagion, embodying an economy's domestic and foreign risks respectively, are two topical issues in finance. Indonesia, a fast-growing emerging market economy, and one of the world's volatile "Fragile Five", is a prime suspect for a country that is likely to exhibit vulnerabilities to both bubbles and contagion. READ MORE

  3. 17. Measuring systemic risk in the Nordic countries - An application of CoVaR

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Dominika Krygier; [2014]
    Keywords : systemic risk; VaR; spillover effects; CoVaR; quantile regression; Business and Economics;

    Abstract : Spillover effects and systemic risk contribution of institutions, as measured by their CoVaR and delta-CoVaR respectively, is one way of assessing risk both for an institution in isolation, as well as for regulators and the economy as a whole. CoVaR is the q%-VaR of an institution conditional on another institution already being at its q%-VaR level, whereas delta-CoVaR measures each institution’s marginal risk contribution. READ MORE

  4. 18. Major world events impact on stock market prices : -An event study

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Davy Ghanem; David Rosvall; [2014]
    Keywords : Major World Events; Abnormal returns; Stock Markets; Spillover effects and Internationalisation.;

    Abstract : Purpose – The purpose with this study is to, in light of the globally integrated world economy, examine the impact of Major World Events (MWE) on international stock market prices.Design/methodology/approach – The study uses an exploratory approach, in order to obtain a deeper insight in the phenomena, and to capture any price changes within an index, an event study methodology has been conducted. READ MORE

  5. 19. Relationship between Currency Carry Trades and Gold Returns : A quantitative study of G-10 currencies: correlation and spillover effects for the last two decades.

    University essay from Umeå universitet/Företagsekonomi

    Author : Johannes Hornbrinck; Jonas Olausson; [2014]
    Keywords : Gold; Currency Carry Trades; Carry Trades; Portfolio choice; Sweden; Gold Hege; Gold diversifier; Gold safe-haven; UIP; Relationship;

    Abstract : Currency carry trade is an investment strategy that recently started gaining a lot of interest not only among investors and financial institutions but also academically. One of the underlying theoretical assumptions regarding the mechanisms of the foreign exchange market, the Uncovered Interest Parity has frequently been disproved in practice which has led to the conclusion that carry trade is profitable in practice. READ MORE

  6. 20. Empirical Research on Information Transmission in the Hang Seng Index Markets: Evidence from Index Futures, Flagship Index and Finance Index

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Lang Qin; Yang Zhou; [2013]
    Keywords : Hang Seng Index Futures market; Volatility Spillovers; Financial Crisis; BEKK model; Business and Economics;

    Abstract : This paper investigates the price discovery mechanism in the Hang Seng Index markets. The analysis is based on the cross-market volatility spillover effects by using the daily sets of Hang Seng Index (HSI), Hang Seng Finance Index (HSFIN), and Hang Seng Index futures (HSCIS00). READ MORE