Log in

Relevant bibliographies by topics / Market Risk Transmission / Journal articles

To see the other types of publications on this topic, follow the link: Market Risk Transmission.

Journal articles on the topic 'Market Risk Transmission'

Author: Grafiati

Published: 2 June 2025

Last updated: 31 July 2025

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the top 50 journal articles for your research on the topic 'Market Risk Transmission.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Browse journal articles on a wide variety of disciplines and organise your bibliography correctly.

1

Hu, Xuesong, and Bishr Muhamed Muwafak. "Mathematical modelling of enterprise financial risk assessment based on risk conduction model." Applied Mathematics and Nonlinear Sciences 7, no. 1 (2021): 591–600. http://dx.doi.org/10.2478/amns.2021.1.00082.

Full text

Abstract:

Abstract Risk transmission has three elements: risk source, risk flow and risk carrier. The paper quotes the asymmetric model and the joint asymmetric model to analyse the conduction effects of financial risks. At the same time, the article uses the elasticity coefficient to quantitatively calculate the risk transmission effect of the two supply chain financial financing modes. The research results prove that the risk transmission ability of each financial market has individual differences, and the foreign exchange market does not have significant risk transmission ability to other markets dur

APA, Harvard, Vancouver, ISO, and other styles

2

Zhu, Sha. "The Spillover and Transmission of Chinese Financial Markets Risk." International Business Research 11, no. 8 (2018): 66. http://dx.doi.org/10.5539/ibr.v11n8p66.

Full text

Abstract:

After the 2008 financial crisis, the whole world financial markets became more fluctuates, the same to China also. It is necessary to pay great attention to high volatility problem in Chinese market, and also the uncertainty problem, risk accumulation and spillover effect come along with it. This paper calculates stock market return and builds financial stress index to explore the risk spillover effect. Empirical results show that the Chinese financial market have higher volatility than other countries. The Chinese stock market had higher dynamic market co-movement with international financial

APA, Harvard, Vancouver, ISO, and other styles

3

Dias, Rui Manuel, Nuno Teixeira, Pedro Pardal, and Teresa Godinho. "Volatility Transmission Between ASEAN-5 Stock Exchanges." International Journal of Corporate Finance and Accounting 10, no. 1 (2023): 1–17. http://dx.doi.org/10.4018/ijcfa.319711.

Full text

Abstract:

This article aims to analyse risk transmission among the financial markets of China and ASEAN-5 in the context of the 2015 Chinese stock market crash. For this purpose, the authors test if (1) the volatility resulting from the 2015 stock market crash has positively influenced risk transmission among ASEAN-5 and China markets and (2) increased risk perception has led to a negative reaction from investors, both in ASEAN-5 as in China markets. The results imply an enhancement of the asymmetric effect, suggesting that during the crash, market volatility responded more significantly to bad news tha

APA, Harvard, Vancouver, ISO, and other styles

4

Han, Sijie. "Behavioral Finance Analysis of the Spillover Effect of Major Health Emergencies on Shipping and China's Investment Market." Advances in Economics, Management and Political Sciences 49, no. 1 (2023): 144–49. http://dx.doi.org/10.54254/2754-1169/49/20230506.

Full text

Abstract:

Cross-market risk conduction is an important risk source in the global investment market. In recent years, the global market risk linkage cause-d by major public health emergencies has attracted much attention. This paper selects the COVID-19 epidemic as an example, and uses the shipping market as a representative indicator of the global economy to try to analyze the complete path of the epidemic impact from the global economy to the Chinese stock market. From the perspective of behavioral finance, it analyzes the role of investor sentiment in this risk linkage. The empirical results show that

APA, Harvard, Vancouver, ISO, and other styles

5

Shen, Yifan. "International risk transmission of stock market movements." Economic Modelling 69 (January 2018): 220–36. http://dx.doi.org/10.1016/j.econmod.2017.09.022.

Full text

APA, Harvard, Vancouver, ISO, and other styles

6

Guo, Lei. "Research on the Spillover Effects of Systemic Risk in China's Financial Market on The Securities Industry." Frontiers in Business, Economics and Management 9, no. 2 (2023): 112–18. http://dx.doi.org/10.54097/fbem.v9i2.9137.

Full text

Abstract:

In recent years, with the increasing openness of China's financial market, continuous deepening of financial reforms, and growing financial innovation, the Chinese securities market has become increasingly complex, leading to a gradual increase in the probability of systemic risk. This study focuses on the daily closing prices of stocks from eight large-scale listed bond companies, including CITIC Securities and GF Securities, and incorporates the stock, currency, bond, foreign exchange, and real estate markets into the CoVaR model to analyze the spillover effects and transmission channels of

APA, Harvard, Vancouver, ISO, and other styles

7

Wang, Xing, Jiahui Zhang, Xiaolong Chen, Hongfeng Zhang, Cora Un In Wong, and Thomas Chan. "Heterogeneous Spillover Networks and Spatial–Temporal Dynamics of Systemic Risk Transmission: Evidence from G20 Financial Risk Stress Index." Mathematics 13, no. 8 (2025): 1353. https://doi.org/10.3390/math13081353.

Full text

Abstract:

With the continuous integration of globalization and financial markets, the linkage of global financial risks has increased significantly. This study examines the risk spillover effects and transmission dynamics among the financial markets in G20 countries, which together represent over 80% of global GDP. With increasing globalization and the interconnectedness of financial markets, understanding risk transmission mechanisms has become critical for effective risk management. Previous research has primarily focused on price volatility to measure financial risks, often overlooking other critical

APA, Harvard, Vancouver, ISO, and other styles

8

Emenike, Kalu O. "Volatility transmission between money and stock markets: Evidence from a developing financial market." Journal of Economic and Financial Sciences 9, no. 1 (2017): 244–55. http://dx.doi.org/10.4102/jef.v9i1.40.

Full text

Abstract:

The direction and intensity of volatility transmission between the money and stock markets are important for portfolio selection and diversification, optimal hedging strategy, financial market regulation, and risk management. The purpose of this paper therefore is to examine the nature of volatility transmission between money and stock markets in a developing economy using Nigeria data. The results of the bivariate BEKK-GARCH (1,1) model show strong evidence of ARCH and GARCH effects for both the money and stock markets returns. The results also suggest unidirectional shock transmission from t

APA, Harvard, Vancouver, ISO, and other styles

9

Khan, Muhammad Niaz, and Rahim Ullah Khan. "Exploring Volatility Spillover Dynamics between Emerging South Asian Stock Markets and the U.S. Market: Empirical Insights from the M-GARCH-BEKK Framework." Journal of Applied Economics and Business Studies 7, no. 4 (2023): 19–44. http://dx.doi.org/10.34260/jaebs.742.

Full text

Abstract:

Abstract: This study investigates the volatility spillover between emerging South Asian equity markets and developed U.S. market. Specifically, the study examines the entire sample period and three sub-periods: pre-crisis, crisis, and post-Global Financial Crisis (GFC) periods in the emerging markets of Pakistan, India, and Sri Lanka, as well as the U.S. as developed stock market. The study analyses both unidirectional and bidirectional shock and volatility spillover among the markets to determine the direction of risk transmissions. The analysis utilizes a multivariate GARCH-BEKK model. The r

APA, Harvard, Vancouver, ISO, and other styles

10

Kim, Hong Bae, and Sang Hoon Kang. "Price Discovery and Transmission Mechanism between CDS and FX markets." Journal of Derivatives and Quantitative Studies 19, no. 1 (2011): 37–58. http://dx.doi.org/10.1108/jdqs-01-2011-b0002.

Full text

Abstract:

This study investigated the relationship between the CDS (credit default swap) market with the FX spot (FX swap) market, including the period of recent global financial crisis. A measure for market efficiency is the condition that the derivative markets dominate the asset market in price discovery. In our case, however, FX market should be leading the CDS market. We found FX (spot and Derivatives) market has co-integration relationship with CDS market. Looking at Gonzalo Granger (GG) and Hasbrouck's price discovery measure, we found the FX spot and derivatives market dominated CDS market in pr

APA, Harvard, Vancouver, ISO, and other styles

11

Li, Zhinan, and Xiaoyuan Liu. "How does risk information dissemination affect risk contagion in the interbank market?" PLOS ONE 17, no. 7 (2022): e0270482. http://dx.doi.org/10.1371/journal.pone.0270482.

Full text

Abstract:

This paper distinguishes between local and global risk information and disaggregates risk information dissemination in the interbank market based on specified behavioural mechanisms: information disclosure and transmission, information acquisition and decision-making. It then explores the mechanisms whereby such dissemination affects risk contagion in the interbank market and verifies through computational simulations how risk information dissemination, banks’ information acquisition capability, and information disclosure strategies affect risk contagion in the interbank market. The study show

APA, Harvard, Vancouver, ISO, and other styles

12

Arouri, Mohamed El Hédi, Amine Lahiani, and Duc Khuong Nguyen. "Cross-market dynamics and optimal portfolio strategies in Latin American equity markets." European Business Review 27, no. 2 (2015): 161–81. http://dx.doi.org/10.1108/ebr-04-2013-0069.

Full text

Abstract:

Purpose – This paper aims to investigate the return links and volatility transmission between five major equity markets of the Latin American region and the USA over the period 1993-2012. Design/methodology/approach – The authors employ a multivariate vector autoregressive moving average – generalized autoregressive conditional heteroskedasticity (VAR-GARCH) methodology which allows for cross-market transmissions in both return and volatility. Moreover, we show how the obtained results can be used to design internationally diversified portfolios involving the Latin American assets and to analy

APA, Harvard, Vancouver, ISO, and other styles

13

Lakshmi, P., S. Visalakshmi, and Kavitha Shanmugam. "Intensity of shock transmission amid US-BRICS markets." International Journal of Emerging Markets 10, no. 3 (2015): 311–28. http://dx.doi.org/10.1108/ijoem-04-2013-0063.

Full text

Abstract:

Purpose – The purpose of this paper is to analyze the intensity of transmission of shocks from USA to BRICS countries in the long-run and short-run deviations and swiftness of recovery during US subprime mortgage crisis. This analysis enables the authors to explore the evolving patterns of relationships between these markets and examine whether their co-movements altered either in response to international shocks that originated in advanced markets like USA or due to their domestic fluctuations. Design/methodology/approach – Employing data of daily stock market indices (open and close) of BRIC

APA, Harvard, Vancouver, ISO, and other styles

14

Xie, Fusheng, Jingbo Wang, and Chunzi Wang. "Dynamic Spillover Effects Among China’s Energy, Real Estate, and Stock Markets: Evidence from Extreme Events." International Journal of Financial Studies 13, no. 2 (2025): 97. https://doi.org/10.3390/ijfs13020097.

Full text

Abstract:

This paper employs a Time-Varying Parameter Vector Autoregression Directional–Spillover (TVP-VAR-DY) model to investigate the dynamic spillover effects among China’s energy, real estate, and stock markets from 2013 to 2023, with a focus on the impact of extreme events. The findings show that the total conditional spillover index (TCI) typically remains below 40% in the absence of extreme events, but significantly increases during such events, reaching 51.09% during the 2015 stock market crisis and nearing 60% during the COVID-19 pandemic in 2020. Specifically, the oil and gas market exhibited

APA, Harvard, Vancouver, ISO, and other styles

15

Yousaf, Imran, Shoaib Ali, Muhammad Naveed, and Ifraz Adeel. "Risk and Return Transmissions From Crude Oil to Latin American Stock Markets During the Crisis: Portfolio Implications." SAGE Open 11, no. 2 (2021): 215824402110138. http://dx.doi.org/10.1177/21582440211013800.

Full text

Abstract:

Using the DCC-GARCH model, this study examines the return and volatility spillovers between crude oil and emerging Latin American stock markets during the entire studying period and two subsamples, including the global financial crisis and the Chinese Stock market crash. The findings reveal a positive causal effect from Brazil and Mexico’s stock price changes to the oil market during the global financial crisis. During the Chinese stock market crash, the return spillover is unidirectional from the oil to Brazil and Mexico equity markets. The findings show no significant volatility transmission

APA, Harvard, Vancouver, ISO, and other styles

16

Xu, Jingwen. "Stock Prediction Analysis and Risk Conduction Path Research Based on EMD-LSTM Model." BCP Business & Management 30 (October 24, 2022): 778–96. http://dx.doi.org/10.54691/bcpbm.v30i.2529.

Full text

Abstract:

Stock market, government bond market and corporate bond market are important components of my country's financial market. It is of great significance to study stock market price fluctuations and their forecasting methods, and to reveal the risk transmission path between them. The first part of this paper mainly studies the construction of the index price prediction model, and makes a comprehensive comparison of the high-frequency fluctuation characteristics, long-term trend characteristics and average trend characteristics of the EMD decomposition results of the Shanghai Composite Index, the S

APA, Harvard, Vancouver, ISO, and other styles

17

Yu, Wangke, Shuhua Liu, Ruoqi Pan, Ke Huang, and Linyun Deng. "The Stock Market Volatility Between China and Asean Countries Association Studies Based on Complex Networks." International Journal of Data Mining & Knowledge Management Process 13, no. 1/2 (2023): 1–16. http://dx.doi.org/10.5121/ijdkp.2023.13201.

Full text

Abstract:

By constructing the volatility network of stock market indexes in China and ASEAN, the mechanism of transnational market risk transmission and the characteristics of key nodes are analysed. Finding the volatility network is a good description of the linkage and tightness of the various share index volatility. The COVID-2019 led to a significant increase in convergence of behaviour patterns of major country share indexes, and significant differences in node changes and topological features of the volatility network. A few share indexes in Singapore and Thailand are key nodes and the source of m

APA, Harvard, Vancouver, ISO, and other styles

18

Hwang, Qianrui, Min Yao, Shugang Li, et al. "Risk Spillovers between China’s Carbon and Energy Markets." Energies 16, no. 19 (2023): 6820. http://dx.doi.org/10.3390/en16196820.

Full text

Abstract:

In recent years, with the intensification of global warming and the greenhouse effect, the global consensus has focused on efficient, clean, low-carbon, and green development as a means of achieving new economic growth. China, as a major carbon emitter, has been at the forefront of efforts to reduce carbon emissions. The establishment of the carbon emissions trading market, commonly known as the “carbon market”, provides an economic solution for reducing carbon emissions in both the carbon and energy markets. As China’s carbon market continues to grow rapidly, fluctuations in the energy or car

APA, Harvard, Vancouver, ISO, and other styles

19

Yuan, Yichuan, Tu Yan, Lixin Cui, and Wang Xi. "The Risk Spillover Effect of China's Financial Market and Real Economy——Based on Network Correlation Analysis." Risk and Financial Management 6, no. 1 (2025): p40. https://doi.org/10.30560/rfm.v6n1p40.

Full text

Abstract:

Financial security is crucial for the development of the Chinese economy owing to the complex interconnections between the financial market and the real economy. This study employs the generalized variance decomposition method to construct a two-way risk spillover model between China’s financial market and the real economy. It investigates the two-way risk spillover trans- 4 mission and risk hedging in different markets when facing external shocks over the past four years. Firstly, following external shocks, both the overall market’s total risk spillover and individual markets’ risk spillover

APA, Harvard, Vancouver, ISO, and other styles

20

Yu, Wangke, Shuhua Liu, Ruoqi Pan, Ke Huang, and Linyun Deng. "The Stock Market Volatility Research between China and ASEAN based on Complex Networks." International Journal on Cybernetics & Informatics 12, no. 2 (2023): 15–29. http://dx.doi.org/10.5121/ijci.2023.120202.

Full text

Abstract:

By constructing the volatility network of stock market indexes in China and ASEAN, the mechanism of transnational market risk transmission and the characteristics of key nodes are analysed. Finding the volatility network is a good description of the linkage and tightness of the various share index volatility. The COVID-19 led to a significant increase in convergence of behaviour patterns of major country share indexes, and significant differences in node changes and topological features of the volatility network. Dynamic analysis shows that the evolution of share index volatility network refle

APA, Harvard, Vancouver, ISO, and other styles

21

Rizan, Mohamad, Muhammad Zulkifli Salim, Saparuddin Mukhtar, and Kevin Daly. "Macroeconomics of Systemic Risk: Transmission Channels and Technical Integration." Risks 10, no. 9 (2022): 174. http://dx.doi.org/10.3390/risks10090174.

Full text

Abstract:

The avenue to find a balanced assessment of systemic financial institutions needs the integration of macro and micro granular datasets. This paper investigates how macroeconomic shocks affect systemic risk through several transmission channels. Employing Indonesia datasets over 2008–2019, we regressed three market models: CoVaR, MES, and SRISK using fixed effect, random effect, GARCH(1,1), and finite mixture models. The findings show that stock beta, market index, and exchange rate volatility amplify the systemic risk while the liquidity spread outcome varies due to different of model variable

APA, Harvard, Vancouver, ISO, and other styles

22

Bal, Gnyana Ranjan, Amit Manglani, and Malabika Deo. "Asymmetric Volatility Spillover between Stock Market and Foreign Exchange Market: Instances from Indian Market from Pre-, during and Post- Subprime Crisis Periods." Global Business Review 19, no. 6 (2018): 1567–79. http://dx.doi.org/10.1177/0972150918789986.

Full text

Abstract:

Modern businesses are so inter-twined that a cause in one market affects other markets throughout the Globe. The 2008 subprime crisis is one of such evidences of inter-linkage of global markets. Such type of event motivates many studies to analyse the transmission of volatility from one market to another market. The study aims to analyse the volatility spillover effect between CNX Nifty and exchange rates covering for three different currencies, that is, USD, GBP and yen. GARCH (1,1) and EGARCH (1,1) have been used to identify the spillover effect and asymmetries or leverage effect in the vola

APA, Harvard, Vancouver, ISO, and other styles

23

Santillan Pashma, Antonio Ruben. "Analysis of transmission of conditional volatility from market risk factors." ConcienciaDigital 4, no. 2 (2021): 345–59. http://dx.doi.org/10.33262/concienciadigital.v4i2.1700.

Full text

Abstract:

This article aims to understand the transmission of volatility from the main market indicators of the European financial system, towards market interest rates, focusing on the prices of the swap with maturity of one year and payments of three months as endogen variable and the three main indexes of the European market as CAD, DAX3, and IBEX35, as an exogenous variable. The exogenous will absorb all the necessary information from the market agents as companies, banks, investments funds, or from externals disturbances as European Central Banks and will affect the levels and the slope of the swap

APA, Harvard, Vancouver, ISO, and other styles

24

Bai, XueRong, Yan Chen, and Fan Yang. "Research on the risk spillover effect between China’s national carbon emissions trading market and crude oil futures market." PLOS ONE 20, no. 1 (2025): e0316353. https://doi.org/10.1371/journal.pone.0316353.

Full text

Abstract:

The development of China’s National Carbon Market has strengthened the inherent link between the carbon market and the broader energy market, providing a potential for cross-market risk transmission resonance. Studying the risk spillover effects between China’s National Carbon Market and the crude oil futures market is of significant practical importance, both in terms of carbon market development and carbon risk management. Based on the Maximal Overlap Discrete Wavelet Transform (MODWT), the price series are decomposed across multiple scales, and the risk spillover effects between the carbon

APA, Harvard, Vancouver, ISO, and other styles

25

Yi, Dan, Sheng Lin, and Jianlan Yang. "Global Climate Risk Perception and Its Dynamic Impact on the Clean Energy Market: New Evidence from Contemporaneous and Lagged R2 Decomposition Connectivity Approaches." Sustainability 17, no. 8 (2025): 3596. https://doi.org/10.3390/su17083596.

Full text

Abstract:

The acceleration of global climate change presents unprecedented challenges to market stability and sustainable social development. Understanding how market dynamics are impacted by perceptions of climate risk is essential to creating risk management plans that work. Current research frequently concentrates on static evaluations of how climate risk is perceived, ignoring its dynamic influence on clean energy markets and the intricate channels via which these risks spread. To examine the dynamic influence of climate risk perceptions on clean energy markets, this study builds a spillover network

APA, Harvard, Vancouver, ISO, and other styles

26

Li, Ying Zhi, and Wen Xia Liu. "Transmission Network Planning Model Considering Risk Constraint." Applied Mechanics and Materials 347-350 (August 2013): 1415–18. http://dx.doi.org/10.4028/www.scientific.net/amm.347-350.1415.

Full text

Abstract:

This paper has discussed the treatment of uncertainty in the market environment, using chance-constrained programming to describe the risk and Monte Carlo simulation method to calculate the risk factor, the risk factor is bound to establish transmission network flexible planning model, the result is a transmission planning of minimum comprehensive cost under uncertain environment for the future program.

APA, Harvard, Vancouver, ISO, and other styles

27

Naeem, Muhammad Abubakr, Saqib Farid, Safwan Mohd Nor, and Syed Jawad Hussain Shahzad. "Spillover and Drivers of Uncertainty among Oil and Commodity Markets." Mathematics 9, no. 4 (2021): 441. http://dx.doi.org/10.3390/math9040441.

Full text

Abstract:

The paper aims to examine the spillover of uncertainty among commodity markets using Diebold–Yilmaz approach based on forecast error variance decomposition. Next, causal impact of global factors as drivers of uncertainty transmission between oil and other commodity markets is analyzed. Our analysis suggests that oil is a net transmitter to other commodity uncertainties, and this transmission significantly increased during the global financial crisis of 2008–2009. The use of linear and nonlinear causality tests indicates that the global factors have a causal effect on the overall connectedness,

APA, Harvard, Vancouver, ISO, and other styles

28

Lin, Ling, Zhongbao Zhou, Qing Liu, and Yong Jiang. "Risk transmission between natural gas market and stock markets: portfolio and hedging strategy analysis." Finance Research Letters 29 (June 2019): 245–54. http://dx.doi.org/10.1016/j.frl.2018.08.011.

Full text

APA, Harvard, Vancouver, ISO, and other styles

29

Zhou, Li, Sijia Liu, Xue Xia, et al. "Forward Design of Financial Transmission Right Market in China." E3S Web of Conferences 194 (2020): 03002. http://dx.doi.org/10.1051/e3sconf/202019403002.

Full text

Abstract:

Financial transmission right (FTR) is a kind of financial instrument to avoid congestion cost risk caused by transimission congestion. Based on the development experience of foreign transmission right market, the paper designs the financial transmission right market in line with the operation characteristics of China’s power system, including the design of transmission right product, transaction rules and settlement. Finally, the rationality and operability of the transmission right market design scheme are verified by an example calculation. The paper aims to provide theoretical reference for

APA, Harvard, Vancouver, ISO, and other styles

30

Ji, Guseon, Daniel Sungyeon Kim, and Kwangwon Ahn. "Financial Structure and Systemic Risk of Banks: Evidence from Chinese Reform." Sustainability 11, no. 13 (2019): 3721. http://dx.doi.org/10.3390/su11133721.

Full text

Abstract:

Using Chinese data from 2006 to 2014, we find that a shift in the financial structure towards a more market-based structure can reduce the systemic risk of the banking sector. One transmission channel through which this occurs is the improvement in an individual firm’s debt repaying capacity, which is positively influenced by the development of stock markets. Another channel is the enhanced credit monitoring of borrowers by banks, owing to their slower credit growth. Our results imply that the shift toward market-based financial structure could lead to the development of financial market as we

APA, Harvard, Vancouver, ISO, and other styles

31

Gržanić, Mirna, Marko Delimar, and Tomislav Capuder. "Financial transmission and storage rights." Journal of Energy - Energija 66, no. 1-4 (2022): 195–225. http://dx.doi.org/10.37798/2017661-4105.

Full text

Abstract:

The paper presents concepts of Financial Transmission Rights (FTRs) and Financial Storage Rights (FSRs) as key market concepts for alleviating congestion issues in transmission networks. These instruments are in place in markets where prices differ depending on the location/node due to congestions. They serve as a tool for transmission system operators TSO (or independent system operators; ISOs) for eliminating congestions by remunerating entities who make it possible. The paper further discusses different aspects of FTRs, which are traditional financial instruments used to hedge the risk of h

APA, Harvard, Vancouver, ISO, and other styles

32

Yao, Yanyun, Zifeng Tang, Guiqian Niu, and Shangzhen Cai. "Nonlinear Risk Spillover Path Between China’s Carbon Market, China’s New Energy Market, and the International Crude Oil Futures Market." Journal of Advanced Computational Intelligence and Intelligent Informatics 28, no. 4 (2024): 854–64. http://dx.doi.org/10.20965/jaciii.2024.p0854.

Full text

Abstract:

The carbon market was established to reduce carbon dioxide emissions. The traditional fossil energy market, new energy market, and carbon market have interrelated effects such as substitution, demand, and production inhibition, which can potentially lead to risk transmission. This study examines the nonlinear volatility correlation between China’s carbon market, China’s new energy market, and the international crude oil futures market. Seven submarkets within these three markets are selected for analysis. By measuring volatility risk through the conditional heteroscedasticity of returns, the a

APA, Harvard, Vancouver, ISO, and other styles

33

Demidova, O. A., A. A. Myasnikov, S. F. Seregina, and A. A. Shchankina. "Impact of Monetary Policy on Mortgage Rates in Russia’s Regions." Economic Policy 19, no. 6 (2024): 26–53. https://doi.org/10.18288/1994-5124-2024-6-6-25.

Full text

Abstract:

Based on panel data analysis of weighted average interest rates in Russia’s regions, this paper documents differences in the responses of regional mortgage markets to changes in money market rates (in this instance, MIACR), which are influenced primarily by changes in the key rate of the Central Bank of Russia. The efficiency of monetary transmission is significantly affected by the degree of competition in regional mortgage markets. The authors propose that this may be explained by the different roles that money market instruments play as a source of liabilities for particular banks and, ther

APA, Harvard, Vancouver, ISO, and other styles

34

Demidova, O. A., A. A. Myasnikov, S. F. Seregina, and A. A. Shchankina. "Impact of Monetary Policy on Mortgage Rates in Russia’s Regions." Economic Policy 19, no. 6 (2024): 26–53. https://doi.org/10.18288/1994-5124-2024-6-26-53.

Full text

Abstract:

Based on panel data analysis of weighted average interest rates in Russia’s regions, this paper documents differences in the responses of regional mortgage markets to changes in money market rates (in this instance, MIACR), which are influenced primarily by changes in the key rate of the Central Bank of Russia. The efficiency of monetary transmission is significantly affected by the degree of competition in regional mortgage markets. The authors propose that this may be explained by the different roles that money market instruments play as a source of liabilities for particular banks and, ther

APA, Harvard, Vancouver, ISO, and other styles

35

Wang, Qi. "The influence of global Risk Index on Chinese Stock Market." BCP Business & Management 20 (June 28, 2022): 768–74. http://dx.doi.org/10.54691/bcpbm.v20i.1061.

Full text

Abstract:

The development of stock market in China is immature compared to other stocks markets and vulnerable to the impact of international environment. This paper analyzes how the global financial risk affect the development of Chinese stock market in terms of global risk transmission. The goal is to offer policy suggestions about how to avert external risks and stock price fluctuations. Given the VIX index, an ordinary least squares model is created to examine which degree of variation the increase in VIX index brings to SSE Composite Index. The result of regression analysis indicates that one perce

APA, Harvard, Vancouver, ISO, and other styles

36

Balcı, Nehir. "DYNAMIC LINKAGES BETWEEN TURKISH ISLAMIC STOCK MARKET AND GLOBAL MACROECONOMIC RISK FACTORS: EVIDENCE FROM DCC-GARCH MODEL." Akademik Hassasiyetler 12, no. 27 (2025): 399–428. https://doi.org/10.58884/akademik-hassasiyetler.1590078.

Full text

Abstract:

Over the past two decades, Islamic finance has gained increasing prominence, with Islamic equities emerging as particularly attractive to investors. This study aims to investigate the volatility transmission between the Turkish Islamic stock market and selected global macroeconomic risk factors, specifically the US Dollar Index, the CBOE Gold Volatility Index, the CBOE Crude Oil Volatility Index, and the CBOE Volatility Index. We use the DCC-GARCH model with the daily data set from April 11, 2013, to April 25, 2024 to examine the dynamic connectiveness between the indexes. The results of the s

APA, Harvard, Vancouver, ISO, and other styles

37

Abid, Ilyes, Khaled Guesmi, Christian Urom, Saad Alshammari, and Leila Dagher. "Strategic Commodities' Price Risk and Financial Contagion in Oil and Gas Exporting Countries." Energy Journal 45, no. 1_suppl (2024): 89–114. https://doi.org/10.5547/01956574.45.si1.iabi.

Full text

Abstract:

This study investigates the occurrence of stock market contagion effects stemming from strategic commodities and the United States (U.S.) equity markets to major oil and gas exporting nations amid the COVID-19 and Russian-Ukraine crises. Employing a multi-factor asset pricing model and risks spillover technique, we scrutinize the sensitivities of market returns to these risk factors and the dynamics of shocks transmission among market sensitivities over time. Our findings reveal that these equity markets generally demonstrate positive and variable sensitivities to the three factors, with Canad

APA, Harvard, Vancouver, ISO, and other styles

38

Bauer, Michael D., Ben S. Bernanke, and Eric Milstein. "Risk Appetite and the Risk-Taking Channel of Monetary Policy." Journal of Economic Perspectives 37, no. 1 (2023): 77–100. http://dx.doi.org/10.1257/jep.37.1.77.

Full text

Abstract:

Monetary policy affects financial markets and the broader economy in part by changing the risk appetite of investors. This article provides new evidence for this so-called risk-taking channel of monetary policy by revisiting and extending event-study analysis of Federal Open Market Committee announcements. We document significant effects of unexpected monetary policy changes on risk indicators drawn from equity, fixed-income, credit, and foreign exchange markets. We develop a new index of risk appetite based on the common component of these indicators. Surprise monetary easing leads to strong

APA, Harvard, Vancouver, ISO, and other styles

39

Li, Xian, Cun Bin Li, and Gong Shu Lu. "Analysis of Risk Transmission from Generation Right Trading to Generation Company Profit." Advanced Materials Research 403-408 (November 2011): 2856–60. http://dx.doi.org/10.4028/www.scientific.net/amr.403-408.2856.

Full text

Abstract:

With the booming of generation right trade(GRT) market, the GRT risk will exert an increasingly important impact on profit of power plants. Hence, Two conditional value at risk (CVaR) models are built for generation rights sellers and buyers respectively. Then, different proportion constraints are set to discuss the influence of GRT. A conclusion can be drawn that the variances of the ratio of generation right power amount may lead to different amount of distribution in different markets as well as the changes of the efficient frontier curves.

APA, Harvard, Vancouver, ISO, and other styles

40

Fang, Zhongzheng. "A study of systemic risk spillovers in Asian emerging markets and Chinese stock market." PLOS One 20, no. 5 (2025): e0322381. https://doi.org/10.1371/journal.pone.0322381.

Full text

Abstract:

This study examines systemic risk spillover effects between China’s Shanghai Stock Exchange (SSE) and seven Asian emerging markets within the context of increasing global financial integration. Utilizing Quantile Regression and Conditional Value-at-Risk (CoVaR) methodologies, this study provides a new perspective on understanding the asymmetry of systemic risk transmission between China and Asian emerging markets. Based on data from 2000 to 2024, the findings reveal significant spillover patterns, with Korea (KOSPI) showing high sensitivity to SSE risks, Malaysia (KLCI) exerting strong influen

APA, Harvard, Vancouver, ISO, and other styles

41

WANG, Yi-Hsien, Wan-Rung LIN, Shu-Shian LIN, and Jui-Cheng HUNG. "HOW DOES PATENT LITIGATION INFLUENCE DYNAMIC RISK FOR MARKET COMPETITORS?" Technological and Economic Development of Economy 23, no. 5 (2015): 780–93. http://dx.doi.org/10.3846/20294913.2015.1074949.

Full text

Abstract:

Many recent studies have discussed the appropriateness of various patent measurement indicators, as well as the differences in the positioning of patented technologies, while there is little discussion on the risk transmission of enterprises when faced with infringement litigation. This study used the bivariate EGARCH (Exponential Generalized Autoregressive Conditional Heteroskedasticity) model with DCC (Dynamic Conditional Correlations) to investigate the dynamic risk transmission of patent litigation between market competitors in the smartphone industry. Empirical results revealed that when

APA, Harvard, Vancouver, ISO, and other styles

42

He, Xinying. "Short-Term Spillover Effects in High-order Moments of Stocks, Foreign Currency Exchange and Bitcoin with Intraday Data." Proceedings of Business and Economic Studies 8, no. 3 (2025): 172–81. https://doi.org/10.26689/pbes.v8i3.11167.

Full text

Abstract:

This paper employs Granger causality analysis and the generalized impulse response function (GIRF) to study the higher-order moment spillover effects among Bitcoin, stock markets, and foreign exchange markets in the U.S. Using intraday high-frequency data, the research focuses on the interactions across higher-order moments, including volatility, jumps, skewness, and kurtosis. The results reveal significant bidirectional spillover effects between Bitcoin and traditional financial assets, particularly in terms of volatility and jump behavior, indicating that the cryptocurrency market has become

APA, Harvard, Vancouver, ISO, and other styles

43

Zeng, Hongjun, Ran Lu, and Abdullahi D. Ahmed. "Dynamic dependencies and return connectedness among stock, gold and Bitcoin markets: Evidence from South Asia and China." Equilibrium 18, no. 1 (2023): 49–87. http://dx.doi.org/10.24136/eq.2023.002.

Full text

Abstract:

Research background: In order to examine market uncertainty, the paper depicts broad patterns of risk and systematic exposure to global equity market shocks for the major South Asian and Chinese equity markets, as well as for specific assets (gold and Bitcoin). Purpose of the article: The purpose of this paper is to investigate the dynamic correlation among the major South Asian equity markets (India and Pakistan), the Chinese equity markets, the MSCI developed markets, Bitcoin, and gold markets. Methods: While applying the GARCH-Vine-Copula model and the TVP-VAR Connectedness approach, major

APA, Harvard, Vancouver, ISO, and other styles

44

Li, Ailing, and Bingmao Zhong. "Asymmetric spillover connectedness between clean energy markets and industrial stock markets: How uncertainties affect it." PLOS ONE 20, no. 3 (2025): e0316171. https://doi.org/10.1371/journal.pone.0316171.

Full text

Abstract:

As the global climate crisis intensifies, clean energy is becoming increasingly important, and the intrinsic link between industry and energy highlights the connectedness between the industrial stock market and the clean energy market, and examining this connectedness can reveal risk spillovers between these markets. We categorise the clean energy market into hydro, wind and solar markets, and the industrial stock market into low-carbon portfolios, high-carbon portfolios and ordinary portfolios, and use the network connectedness methodology to investigate the connectedness of returns between t

APA, Harvard, Vancouver, ISO, and other styles

45

Chu, Fang-Ni, and I.-Chun Tsai. "DO HIGHER HOUSE PRICES INDICATE HIGHER SAFETY? PRICE VOLATILITY RISK IN MAJOR CITIES IN TAIWAN." International Journal of Strategic Property Management 24, no. 3 (2020): 165–81. http://dx.doi.org/10.3846/ijspm.2020.12159.

Full text

Abstract:

This study investigates the housing market in Taiwan, an emerging market with relatively severe housing price inflation. Using data from the first quarter of 1991 to the second quarter of 2017 for four cities in Taiwan, this study compares the risk transmission and sources of their housing prices. The results reveal that Taipei−Taiwan’s main financial hub−has the highest house prices among the four cities but maintains the lowest risk. Thus, in terms of price volatility risk, Taipei has the safest housing market among the studied cities. Other studies have discussed the potential housing price

APA, Harvard, Vancouver, ISO, and other styles

46

Peng, Jiulong, Yuxin Pang, Jun Chen, and Shitao Guan. "Study on the Fluctuation Spillover Effect between China's Carbon Market and New Energy Market." Frontiers in Business, Economics and Management 12, no. 2 (2023): 251–53. http://dx.doi.org/10.54097/fbem.v12i2.14891.

Full text

Abstract:

This project analyzes the volatility spillover effect of China's carbon market and new energy market, which is crucial to effectively prevent Systematic risk, promote low-carbon transformation of the energy market and ensure stable economic growth. Firstly, based on the spillover index model, we examine the dynamic interdependence between China's carbon market and the new energy market; Secondly, in order to capture market asymmetry, this project decomposes the total volatility into good volatility and bad volatility based on the GJR-GARCH model, and further explores the asymmetric spillover e

APA, Harvard, Vancouver, ISO, and other styles

47

Zeng, Zhinan. "The Impact of the Regional Military Conflict in Global Stock and Commodity Market." SHS Web of Conferences 181 (2024): 02017. http://dx.doi.org/10.1051/shsconf/202418102017.

Full text

Abstract:

As the crisis between Russia and Ukraine erupted, a certain degree of geopolitical risk has been triggered, which caused a significant impact on the global economy. The transmission mechanism of geopolitical risks is complex, and factors that may cause market volatility risks include trade factors, investor sentiment, relevant policies and so forth. This article will combine previous research findings and existing market data to explore the impact of the Russia-Ukraine conflict on the stock and commodity markets. Besides, it will also interpret the possible risk transmission mechanisms and con

APA, Harvard, Vancouver, ISO, and other styles

48

Tria Astika Endah Permatasari, Novita Ridha Amelia, and Dewi Purnamawati. "OVERVIEW OF COMPLIANCE WITH THE HEALTH PROTOCOL IN TRADITIONAL MARKET TRADERS AND MODERN MARKETS." Muhammadiyah International Public Health and Medicine Proceeding 2, no. 1 (2022): 298–302. http://dx.doi.org/10.61811/miphmp.v1i2.326.

Full text

Abstract:

The Covid-19 infection impacts the high risk of death of the sufferer. The market is the most vulnerable place for the risk of Covid-19 transmission because it is a gathering place that has the potential to become a cluster for the spread of Covid-19. Bogor Regency was ranked fourth in West Java Province, with 203 confirmed cases of Covid-19 and 15 deaths (7.38%). This study aimed to see an overview of market traders' compliance with health protocols to prevent the spread of Covid-19 in traditional and modern markets in Babakan Madang District, Bogor Regency. The research method was carried ou

APA, Harvard, Vancouver, ISO, and other styles

49

Wu, Xianbo, and Xiaofeng Hui. "Risk Transmission of the Regions in the Yangtze River Economic Belt." Discrete Dynamics in Nature and Society 2020 (November 10, 2020): 1–10. http://dx.doi.org/10.1155/2020/8876883.

Full text

Abstract:

This study mainly uses the method of effective transfer entropy (ETE) to study the risk transmission in each year among the 11 provinces and municipalities in the Yangtze River Economic Belt during the last five years. From the results of the risk transmission network, centralities of the regions, and maximum spanning trees, it can be seen that, in the years of 2015 and 2016, the risk transmission in the Yangtze River Economic Belt is relatively large, and in 2015, Shanghai is the main risk exporter. This may be mainly due to the violent turbulence in the Chinese stock market, and in 2016, alt

APA, Harvard, Vancouver, ISO, and other styles

50

Zhang, Kongsheng, Xiaorui Xu, and Mingtao Zhao. "Risk Spillover Effect from Oil to Chinese New-Energy-Related Stock Markets: An R-vine Copula-Based CoVaR Approach." Mathematics 13, no. 12 (2025): 1934. https://doi.org/10.3390/math13121934.

Full text

Abstract:

In this article, an R-vine copula model is proposed to detect the nonlinear interrelationships between the oil market and five Chinese new-energy-related stock markets from 2017 to 2022, i.e., photovoltaic, new energy vehicles, energy storage, wind power, and nuclear power industries. Firstly, the transmission of downward and upward risk spillover effects (RSEs) is measured from the oil market to the five Chinese new-energy-related stock markets. Subsequently, a CoVaR backtesting methodology is developed to demonstrate the availability of the R-vine copula-CoVaR model. The empirical studies st

APA, Harvard, Vancouver, ISO, and other styles

We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!