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Modelling spillover effects between the UK and the US stock markets over the period 1935–2020
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Olalekan Aladesanmi --- , United KingdomThis study investigates the spillovers of shocks and volatilities between the UK and the US stock markets over the period 1935–2020. The empirical analysis is carried out for the full sample and four subsample periods by applying the asymmetric GARCH-BEKK... -
Quantile dependencies across BRICS currency markets in time of crisis: Analysis of the Russia–Ukraine war
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Oluwatomisin J. Oyewole --- Federal University of Agriculture, Nigeria Ismail O. Fasanya --- University of the Witwatersrand, South Africa Mamdouh Abdulaziz Saleh Al-Faryan --- School of Accounting, Economics and Finance, Faculty of Business and Law, University of Portsmouth, UK & Consultant in Economics and Finance, Saudi ArabiaThis paper examines the spillovers across BRICS currency markets during the Russia–Ukraine war. We observe that the connectedness across the BRICS currency markets is stronger during than before the war and the average-based connectedness framework shows a moderate level of... -
The impact of conventional energy markets on connectedness dynamics among eco-friendly assets
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Oktay Özkan --- Tokat Gaziosmanpasa University, Turkiye Asil Azimli --- Cyprus International University, Turkiye Tomiwa Sunday Adebayo --- Cyprus International University, TurkiyeThis study examines the connectedness among eco-friendly assets and how volatility in fossil energy markets affects this connectedness. Using a broad coverage for eco-friendly assets such as a clean energy index, a clean cryptocurrency (Cardano), a green bond index, and... -
Volatility and return spillovers between private equity buyout, venture capital and major financial markets
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Korhan K. Gokmenoglu --- Ankara HBV University, Turkey Efe Altingunes --- Department of Banking and Finance, Eastern Mediterranean University, CyprusThis study investigates the volatility and return spillovers between Private Equity Buyouts (PE) and Venture Capital (VC), the equity market, precious metals, real estate, and the Dollar index, which has been widely ignored in the literature. We analysed daily data... -
A multiscale analysis of returns and volatility spillovers in cryptocurrency markets: A post-COVID perspective
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Andrew Phiri --- Nelson Mandela University, South Africa Izunna Anyikwa --- Nelson Mandela University, South AfricaSince the onset of the COVID-19 pandemic, leading cryptocurrencies have undergone significant price fluctuations, prompting widespread interest in the interdependence and spillover effects among cryptocurrency markets, as well as in identifying the key cryptocurrencies that drive market movements. This study... -
Risk spillovers among global oil & gas firms
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Oluwasegun B. Adekoya --- University of Maine, USA Johnson A. Oliyide --- University of Maine, USA Ademola B. Akinseye --- Tai Solarin University of Education, Nigeria Mamdouh Abdulaziz Saleh Al-Faryan --- University of Portsmouth, UKThis study examines the risk spillovers among the world’s top oil & gas firms, accounting for the role of environmental fiscal policies, economic policy uncertainty (EPU), and regulatory quality. We find evidence of high risk spillovers among the oil &... -
Spillovers, correlations and hedging among green bonds, clean energy stocks and fossil fuels: The effects of four turmoils
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Foday Joof --- Eastern Mediterranean University, Turkey Cahit Adaoglu --- Eastern Mediterranean University, Turkey Nigar Taspinar --- Eastern Mediterranean University, TurkeyThis study investigates the volatility spillovers and the hedging among green bonds, clean energy stocks, and fossil fuels markets. During the ten-year sample period between 2012 and 2022, four major turmoils are observed chronologically: The oil price plunge of 2014–2016,...