Connectedness and systemic risk between FinTech and traditional financial stocks: Implications for portfolio diversification

Research in International Business and Finance, Год журнала: 2024, Номер 73, С. 102629 - 102629

Опубликована: Окт. 11, 2024

Язык: Английский

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Dynamics of the relationship between stock markets and exchange rates during quantitative easing and tightening

Financial Innovation, Год журнала: 2025, Номер 11(1)

Опубликована: Янв. 6, 2025

Abstract This study utilizes two complementary models, the Time-Varying Parameter Vector Autoregressive Diebold–Yilmaz (TVP-VAR-DY) and Baruník–Křehlík (TVP-VAR-BK), to investigate dynamic volatility transmission between exchange rates stock returns in major commodity-exporting -importing countries. The analysis focuses on periods of quantitative easing (QE) tightening (QT) from March 15, 2020 December 30, 2022. countries examined are Canada Australia (major commodity exporters) UK Germany importers). An essential contribution this paper is new empirical insights into dynamics market these markets during QE QT periods. results reveal that causality primarily flows rates, especially period across all investment horizons. Toronto Stock Exchange (TSX) emerges as principal net driver among under study. Furthermore, Canadian rate (USDCAD) Australian (ASX) most significantly affected indices within network various horizons (excluding long-term). These findings underscore importance for investors policymakers consider interplay returns, particularly context periods, well other economic, political, health-related events. Our relevant stakeholders, including governments, traders, portfolio managers, multinationals.

Язык: Английский

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Marketing tokens and marketing stocks: Tail risk connections with portfolio implications

Research in International Business and Finance, Год журнала: 2025, Номер unknown, С. 102784 - 102784

Опубликована: Янв. 1, 2025

Язык: Английский

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Multiscale tail risk integration between safe-haven assets and Africa’s emerging equity market

The North American Journal of Economics and Finance, Год журнала: 2024, Номер unknown, С. 102294 - 102294

Опубликована: Сен. 1, 2024

Язык: Английский

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