Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets

By Stelios D. Bekiros. 2014

181 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e3880f3e48382642a670f92c06bf48088f99a610

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Citations in the corpus

COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020, unknown): “…(GFC) of 2008, which has been widely researched in interconnectedness, contagion and spillover effect literature (e.g. Kenourgios, Samitas, & Paltalidis, 2011; Dimitriou, Kenourgios, & Simos, 2013; Bekiros, 2014; Luchtenberg & Vu, 2015; Yarovaya, Brzeszczyński, & Lau, 2016, to name but a few).”
Global financial crisis and spillover effects among the U.S. and BRICS stock markets (2016, background): “Bekiros (2014) examines the responsiveness of the BRIC markets to the international return and volatility shocks after the recent U.”
Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis (2019, unknown): “The conditional covariance matrix of the BEKK model, Ht, is expressed as: Ht = W ′W +A′εt−1ε ′ t−1A+B ′Ht−1B (3) where W, A and B are matrices of parameters with appropriate dimensions, with W being an upper triangular matrix, and the diagonal elements of the three parameter matrices being restricte”
Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2020, unknown): “…International Financial Markets, Institutions & Money 79 (2022) 101589 Japanese stock markets (Golosnoy et al., 2015; Karanasos et al., 2014), between the US, the EU and the BRIC markets (Bekiros, 2014; Kenourgios et al., 2011; Syriopoulos et al., 2015; Dimitriou et al., 2013), to name but a few.”
Do global factors impact BRICS stock markets? A quantile regression approach (2014, background): “Bekiros (2013) uses linear and nonlinear causal linkages to analyze the volatility spillovers among the U.”
Volatility co-movement between Bitcoin and Ether (2019, unknown): “…1995), the covariance matrix of which is given as 茎痛噺激旺激髪広旺綱痛貸怠綱旺痛貸怠畦髪庚旺抗痛貸怠稽, (3) where 激, 広 and 稽 are matrices of parameters with appropriate dimensions, with 激 being an upper triangular matrix, while the diagonal elements of 激, 畦, and 稽 are restricted to be positive (Bekiros, 2014).”
Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis (2018, background): “…on stock market integration predominantly exploring financial crises or European Union-related issues (e.g., Rughoo & You, 2015; Ogrokhina, 2015; Bekiros, 2014; Christiansen, 2014; among others), this research initially clarifies the impacts of the S.A.R.S. outbreak on cross-country stock…”