scholarly journals Time-varying economic dominance in financial markets: A bistable dynamics approach

2018 ◽  
Vol 28 (5) ◽  
pp. 055903 ◽  
Author(s):  
Xue-Zhong He ◽  
Kai Li ◽  
Chuncheng Wang
Keyword(s):  
Financial Markets ◽  
Time Varying ◽  
Bistable Dynamics

scholarly journals HETEROGENEOUS EXPECTATIONS AND ASSET PRICE DYNAMICS

2020 ◽  
pp. 1-31 ◽  
Author(s):  
Noemi Schmitt
Keyword(s):  
Financial Markets ◽  
Asset Price ◽  
Realistic Model ◽  
Fixed Number ◽  
Time Varying ◽  
Pricing Model ◽  
Rational Agents ◽  
Asset Pricing Model ◽  
Method Of Simulated Moments ◽  
Agents Heterogeneity

Within the seminal asset-pricing model by Brock and Hommes (Journal of Economic Dynamics Control 22, 1235–1274, 1998), heterogeneous boundedly rational agents choose between a fixed number of expectation rules to forecast asset prices. However, agents’ heterogeneity is limited in the sense that they typically switch between a representative technical and a representative fundamental expectation rule. Here, we generalize their framework by considering that all agents follow their own time-varying technical and fundamental expectation rules. Estimating our model using the method of simulated moments reveals that it is able to explain the statistical properties of the daily and monthly behavior of the S&P500 quite well. Moreover, our analysis reveals that heterogeneity is not only a realistic model property but clearly helps to explain the intricate dynamics of financial markets.

Measuring Dependence Between the USA and the Asian Economies: A Time-varying Copula Approach

2019 ◽  
Vol 20 (4) ◽  
pp. 962-980 ◽  
Author(s):  
Shegorika Rajwani ◽  
Dilip Kumar
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Markets ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Tail Dependence ◽  
Time Varying ◽  
The Us ◽  
Asian Economies ◽  
Copula Approach

During the past few years, many of the financial markets have gone through devastating effects due to the crisis in one or the other economy of the world. The recent global financial crisis has triggered dramatic movements in various stock markets which may arise from interdependence or contagion between the markets. This article attempts to measure the contagion between the equity markets of Asia and the US stock market. The countries considered in the Asian group are China, India, Indonesia, South Korea, Taiwan, Hong Kong, Malaysia and Japan. Most of the Asian economies have experienced drastic higher volatility and uncertainty in the financial markets. If the markets are contagious, then the investors will be unable to reap benefits through international diversification of the portfolio. In such a case, the policymakers will further frame policies so that they can insulate themselves from inflicting heavy damage from various crises. To achieve our goal, we make use of the time-varying copula approach which helps us to study the joint behaviour of the series based on their marginal distribution. Time-varying copula approach can also capture the non-linear dependence in the series and exhibits a rich pattern of tail behaviour. Our findings support the contagion between the Asian stock markets and the US stock market during the global financial crisis. This article also highlights that the increased tail dependence is an important factor for the contagion between the Asian stock markets and the US market.

scholarly journals Measuring Dynamic Return and Volatility Connectedness among Nigerian Financial Markets

2020 ◽  
pp. 169-191
Author(s):  
Elias A. Udeaja
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Financial Markets ◽  
Oil Prices ◽  
Money Market ◽  
Time Varying ◽  
External Shocks ◽  
Treasury Bill ◽  
Official Exchange Rate

This study employs the connectedness measure of Diebold and Yilmaz (2012, 2014) to examine the intensity of connectedness among the Nigerian financial markets for the period January 2000 to December 2018. The study used all shares index, Treasury bill rate and Naira/USD official exchange rate to measure stock market, money market and exchange rate market, respectively. The study found connectedness among the Nigerian financial markets to be highly time-varying and appear to be higher during the period of high depreciation of the naira which coincides with the period of falling oil prices and domestic economic meltdown of 2014 and 2016, respectively. This shows that, relative to external shocks, connectedness among financial markets is likely to get amplified during the time of domestic turbulence. The paper, therefore recommends that policymakers should look inward whenever policy discuss revolves around the increasing integration of financial markets to save the economy from aggravation of contagion.

scholarly journals African financial markets in a storm: Cryptocurrency safe havens during the COVID-19 pandemic

2021 ◽  
Vol 3 (2) ◽  
pp. 60-70
Author(s):  
Seyram Pearl Kumah ◽  
David Adjei Abbam ◽  
Ransford Armah ◽  
Evelyn Appiah-Kubi
Keyword(s):  
Financial Markets ◽  
Frequency Domain ◽  
Significant Risk ◽  
Spillover Effects ◽  
Commodity Markets ◽  
Time Varying ◽  
Medium Term ◽  
Bear Market ◽  
Daily Frequency ◽  
Contagion Risk

The COVID-19 pandemic provides the first widespread bear market conditions since the inception of cryptocurrencies. We test the haven properties of cryptocurrencies for African stocks and commodity markets in a pandemic implementing the frequency domain spillover index. Data spans 11th August 2015 to 28th August 2020 at a daily frequency. Findings show weak interconnectedness across markets suggesting non-contagion risk and that cryptocurrency are safe havens for African stocks and commodity indices from the medium-term. We find the major transmitters of spillover effects across markets to be time-varying and heterogeneous. This study provides significant risk diversification benefits for policymakers and investors in the African financial markets.

scholarly journals 125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets

2020 ◽  
Author(s):  
Hardik Marfatia ◽  
Rangan Gupta ◽  
Stephen M. Miller
Keyword(s):  
Fiscal Policy ◽  
Financial Markets ◽  
Time Varying

scholarly journals INTER-MARKETS VOLATILITY SPILLOVER IN U.S. BITCOIN AND FINANCIAL MARKETS

2019 ◽  
Vol 20 (4) ◽  
pp. 694-714 ◽  
Author(s):  
Muhammad Owais Qarni ◽  
Saqib Gulzar ◽  
Syeda Tamkeen Fatima ◽  
Majid Jamal Khan ◽  
Khurram Shafi
Keyword(s):  
Financial Markets ◽  
High Frequency ◽  
Significant Risk ◽  
Time Varying ◽  
Volatility Spillover ◽  
Foreign Investors ◽  
Risk Hedging ◽  
Insignificant Effect ◽  
Asymmetry Measure ◽  
The U.S

This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 to December 29, 2017. Diebold and Yilmaz (2012) volatility spillover index, Barunik, Kocenda, and Vacha (2017) Spillover Asymmetry Measure, and Barunik and Krehlik (2018) frequency connectedness methodologies are applied to investigate the time varying dynamics of volatility spillover among U.S. Bitcoin and financial markets. The findings of the study indicate the presence of low level of integration and contagion between U.S. Bitcoin and financial markets. Asymmetric nature of volatility spillover is also detected. The connectedness among the U.S. Bitcoin and financial markets is found to be concentrated at high frequency, suggesting that markets process information rapidly. Moreover, the turbulence in Bitcoin market will have insignificant effect on U.S. financial markets. This non-contagion nature of Bitcoin markets provides significant risk hedging and diversification benefits for domestic and foreign investors in the U.S.

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