ЕФЕКТИ ПРОСИРИВАЊА ВОЛУМИНОЗНОСТИ И КОНТАГОВАЊА ИЗМЕЂУ ТРЖИШТА ЕУРОДОЛЛАР ФУТУРЕ-А И ЗЕРО ЦОУПОН-А: ДОКАЗИ ИЗ ИТАЛИЈЕ
Ključne reči:
ДЦЦ-ГАРЦХ модел, будуће тржиште ЕУРОДОЛЛАР, нула купона, финансијска зараза, динамичке условне корелације
Sažetak
Овај рад испитује временски различите условне корелације између терминског тржишта Еуродоллар и нула купона Банца Фидеурам. Примјењујемо ГАРЦХ модел биваријантне динамичке условне корелације (ДЦЦ) како бисмо забиљежили потенцијалне ефекте заразе између тржишта за период 2005-2017. Емпиријски резултати откривају заразу током истражног периода у вези са двадесет и једним биваријантним моделом, показујући да тржиште футура Еуродоллар има велики утицај на нулте купоне Банца Фидеурам. Налази имају пресудне импликације за креаторе политика који пружају прописе за горе наведена тржишта деривата.
Reference
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Tsiaras, K., & Simos, T. (2020). FOREX and equity markets spillover effects among USA, Brazil, Italy, Germany and Canada in the aftermath of the Global Financial Crisis. Journal of Finance and Accounting Research 2(1). DOI: 10.32350/JFAR/0201/03.
Tsiaras, K. (2020). Dynamic relationship between future FOREX markets in the post Global Financial Crisis. Journal of Quantitative Methods 4(1), 30-52. DOI: 10.29145/2020/jqm/040102.
Tsiaras, K. (2020). Contagion in crude oil future market and 3Y, 4Y and 5Y CDS markets for the post-Global Financial Crisis: A multivariate GARCH-cDCC approach. Ekonomická revue. Accepted Paper for publication in the upcoming issue.
Antonakakis, N., Floros, C., & Kizys, R. (2016). Dynamic spillover effects in futures markets: UK and US evidence. International Review of Financial Analysis 48, 406–418. DOI: 10.1016/j.irfa.2015.03.008.
Bhargava V., & Malhotra D.K. (2007). The relationship between futures trading activity and exchange rate volatility, revisited, Journal of Multinational Financial Management 17, 95-111. DOI: 10.1016/j.mulfin.2006.05.001.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31(3), 307-327. DOI: 10.1016/0304-4076(86)90063-1.
Dickey, D. A., & Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association 74, 427-431. DOI: 10.2307/2286348.
Dimitriou, D. and Kenourgios, D. (2015). Contagion of the global financial crisis and the real economy: A regional analysis. Economic Modelling 44, 283-293. DOI: 10.1016/j.econmod.2014.10.048.
Dimitriou, D, Kenourgios, D., & Simos, T. (2013). Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH-DCC approach. International Review of Financial Analysis 30, 46-56. DOI: 10.1016/j.irfa.2013.05.008.
Grammatikos, T., & Saunders, A. (1986). Futures price variability: A test of maturity and volume effects. Journal of Business 59(2), 319-330. DOI: 10.1086/296330.
Glen, J., & Jorion, P. (1993). Currency Hedging for International Portfolios. Journal of Finance 48, 1865-1886. DOI: 10.2307/2329070.
Engle, R. F. (2002). Dynamic conditional correlation-a simple class of multivariate GARCH models. Journal of Business & Economic Statistics 20, 339-350. DOI: 10.1198/073500102288618487.
Forbes, K., & Rigobon, R. (2002). No contagion, Only Interdependence: Measuring Stock Market CoMovements. Journal of Finance, 57, 2223-2261. DOI: 10.1111/0022-1082.00494.
Hosking, J. R. M. (1980). The Multivariate Portmanteau Statistic. Journal of the American Statistical Association 75(371), 602-608. DOI: 10.2307/2287656.
Huang, B.N., Yang, C.W., & Hwang, M.J. (2009). The dynamics of a nonlinear relationship between crude oil spot and futures prices: a multivariate threshold regression approach. Energy Economics, 31, 91–98. DOI: 10.1016/j.eneco.2008.08.002.
Baur, D.G., & McDermott, T.K. (2010). Is gold a safe haven? International evidence. J. Bank. Finance, 34, 1886–1898. DOI: 10.1016/j.jbankfin.2009.12.008.
Corsetti, G., Pericoli, M., & Sbacia, M. (2005). Some contagion, some interdependence’: More pitfalls in tests of financial contagion. Journal of International Money and Finance 25(8), 1177-1199. DOI: 10.1016/j.jimonfin.2005.08.012.
Li, Y., & Giles, D. E. (2015). Modelling volatility spillover effects between developed stock markets and Asian emerging stock markets. International Journal of Finance and Economics 20, 155-177. DOI: 10.1002/ijfe.1506.
McLeod, A. I., & Li, W. K. (1983). Diagnostic checking ARMA time series models using squared-residuals autocorrelations. Journal of Time Series Analysis 4(4), 269-273. DOI: 10.1111/j.1467-9892.1983.tb00373.x.
Mensi, W., Beljid, M., Boubaker, A., & Managi, S. (2013). Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold. Economic Modelling 32, 15-22. DOI: 10.1016/j.econmod.2013.01.023.
Sehgal, S., Ahmad W., & Deisting, F. (2015). An investigation of price discovery and volatility spillovers in India’s foreign exchange market. Journal of Economic Studies 42(2), 261-284. ISSN: 0144-3585.
Sensoy, A., Hacihasanoglu, E., & Nguyen, D.K., 2015. Dynamic convergence of commodity futures: Not all types of commodities are alike. Resources Policy 44(3). DOI: 10.1016/j.resourpol.2015.03.001.
Singhal S., & Ghosh, S. (2016). Returns and volatility linkages between international crude oil price, metal and other stock indices in India: Evidence from VAR-DCC-GARCH models. Resources Policy. Vol. 50(3), 276-288 (2016) DOI: 10.1016/j.resourpol.2016.10.001.
Tolgahan, Y. (2010). Improving Portfolio Optimization by DCC And DECO GARCH: Evidence from Istanbul Stock Exchange. Munich University Library Paper. URI: https://mpra.ub.uni-muenchen.de/id/eprint/27314.
Tsiaras, K., & Simos, T. (2020). FOREX and equity markets spillover effects among USA, Brazil, Italy, Germany and Canada in the aftermath of the Global Financial Crisis. Journal of Finance and Accounting Research 2(1). DOI: 10.32350/JFAR/0201/03.
Tsiaras, K. (2020). Dynamic relationship between future FOREX markets in the post Global Financial Crisis. Journal of Quantitative Methods 4(1), 30-52. DOI: 10.29145/2020/jqm/040102.
Tsiaras, K. (2020). Contagion in crude oil future market and 3Y, 4Y and 5Y CDS markets for the post-Global Financial Crisis: A multivariate GARCH-cDCC approach. Ekonomická revue. Accepted Paper for publication in the upcoming issue.
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2020/10/14
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