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Dynamic linkages and volatility spillover : effects of oil prices on exchange rates, and stock markets of emerging economies / / Bhaskar Bagchi, Dhrubaranjan Dandapat, Susmita Chatterjee
| Dynamic linkages and volatility spillover : effects of oil prices on exchange rates, and stock markets of emerging economies / / Bhaskar Bagchi, Dhrubaranjan Dandapat, Susmita Chatterjee |
| Autore | Bagchi Bhaskar |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | Bingley, England : , : Emerald, , 2016 |
| Descrizione fisica | 1 online resource (225 pages) : illustrations (some color), graphs |
| Disciplina | 338.23 |
| Soggetto topico |
Petroleum products - Prices - Developing countries
Business & Economics - International - Economics International finance |
| ISBN | 1-78635-553-1 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910798990003321 |
Bagchi Bhaskar
|
||
| Bingley, England : , : Emerald, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Dynamic linkages and volatility spillover : effects of oil prices on exchange rates, and stock markets of emerging economies / / Bhaskar Bagchi, Dhrubaranjan Dandapat, Susmita Chatterjee
| Dynamic linkages and volatility spillover : effects of oil prices on exchange rates, and stock markets of emerging economies / / Bhaskar Bagchi, Dhrubaranjan Dandapat, Susmita Chatterjee |
| Autore | Bagchi Bhaskar |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | Bingley, England : , : Emerald, , 2016 |
| Descrizione fisica | 1 online resource (225 pages) : illustrations (some color), graphs |
| Disciplina | 338.23 |
| Soggetto topico |
Petroleum products - Prices - Developing countries
Business & Economics - International - Economics International finance |
| ISBN |
9781786355539
1786355531 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover -- Dynamic Linkages and Volatility Spillover -- Copyright Page -- Contents -- Foreword -- Abstract -- Chapter 1 Introduction -- 1.1. Background of the Study -- 1.2. Research Questions -- 1.3. Data Set and Methodology -- Chapter 2 Literature Review -- Chapter 3 New Oil Price Shock: Effect on the Emerging Economies -- 3.1. Geopolitical Implications -- 3.2. Theoretical Modeling -- 3.2.1. Static Model -- 3.2.2. Flexible Exchange Model -- 3.3. South Africa -- 3.4. Brazil -- 3.5. Russia -- 3.6. China -- 3.7. Implications of Sustained Low Oil Prices for the Chinese Economy -- 3.8. South Korea -- Appendix: Derivation of the Comparative Static Effects -- Chapter 4 Crude Oil Price, Exchange Rates, and Stock Markets of Emerging Economies -- 4.1. Relationship between Crude Oil Prices and Stock Returns -- 4.2. Stock Markets of Emerging Economies -- 4.2.1. Brazilian Stock Market -- 4.2.2. Russian Stock Market -- 4.2.3. Stock Market of China -- 4.2.4. Indian Stock Market -- 4.2.5. South African Stock Exchange -- 4.2.6. South Korean Stock Market -- Chapter 5 Interdependence and Interrelationship between Crude Oil Prices, Exchange Rates, and Indian Stock Market -- 5.1. Test of Stationarity: Unit Root Test -- 5.2. Johansen Cointegration Test -- 5.3. Vector Error Correction Model (VECM) -- 5.4. Granger Causality Test -- 5.5. Variance Decomposition Analysis -- 5.6. Structural Vector Autoregression (SVAR) Model -- 5.7. Impulse Response Analysis (IRA) -- Chapter 6 Dynamic Linkages between Crude Oil Prices, Exchange Rates, and Stock Markets of Other Emerging Economies -- 6.1. Introduction -- 6.2. Results and Discussion -- 6.2.1. Test of Stationarity: ERS Unit Root Test -- 6.2.2. Johansen Cointegration Test -- 6.2.3. Vector Error Correction Model (VECM) -- 6.2.4. Granger Causality Test -- 6.2.5. Variance Decomposition Analysis.
6.2.6. Structural Vector Autoregression (SVAR) Model -- 6.2.7. Impulse Response Analysis (IRA) -- Chapter 7 Volatility Spillovers between Crude Oil Price, Exchange Rate, and Stock Market of India -- 7.1. Volatility Modeling -- 7.2. APARCH Analysis -- 7.3. Multivariate GARCH Model -- 7.4. Constant Conditional Correlation Model -- Chapter 8 Volatility Spillovers between Crude Oil Price, Exchange Rate, and Stock Market of Other Emerging Economies -- 8.1. Data Set and Preliminary Analysis -- 8.2. APARCH Model -- 8.3. APARCH Estimates -- 8.4. Multivariate CCC-GARCH Model -- 8.5. BEKK-GARCH Model -- 8.6. Conclusion -- Chapter 9 Conclusions -- 9.1. Limitations of the Study -- 9.2. Scope for Further Research -- Acknowledgments -- References -- Index. |
| Record Nr. | UNINA-9911100308503321 |
|
Bagchi Bhaskar
|
||
| Bingley, England : , : Emerald, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Dynamic linkages and volatility spillover : effects of oil prices on exchange rates, and stock markets of emerging economies / / Bhaskar Bagchi, Dhrubaranjan Dandapat, Susmita Chatterjee
| Dynamic linkages and volatility spillover : effects of oil prices on exchange rates, and stock markets of emerging economies / / Bhaskar Bagchi, Dhrubaranjan Dandapat, Susmita Chatterjee |
| Autore | Bagchi Bhaskar |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | Bingley, England : , : Emerald, , 2016 |
| Descrizione fisica | 1 online resource (225 pages) : illustrations (some color), graphs |
| Disciplina | 338.23 |
| Soggetto topico |
Petroleum products - Prices - Developing countries
Business & Economics - International - Economics International finance |
| ISBN |
9781786355539
1786355531 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover -- Dynamic Linkages and Volatility Spillover -- Copyright Page -- Contents -- Foreword -- Abstract -- Chapter 1 Introduction -- 1.1. Background of the Study -- 1.2. Research Questions -- 1.3. Data Set and Methodology -- Chapter 2 Literature Review -- Chapter 3 New Oil Price Shock: Effect on the Emerging Economies -- 3.1. Geopolitical Implications -- 3.2. Theoretical Modeling -- 3.2.1. Static Model -- 3.2.2. Flexible Exchange Model -- 3.3. South Africa -- 3.4. Brazil -- 3.5. Russia -- 3.6. China -- 3.7. Implications of Sustained Low Oil Prices for the Chinese Economy -- 3.8. South Korea -- Appendix: Derivation of the Comparative Static Effects -- Chapter 4 Crude Oil Price, Exchange Rates, and Stock Markets of Emerging Economies -- 4.1. Relationship between Crude Oil Prices and Stock Returns -- 4.2. Stock Markets of Emerging Economies -- 4.2.1. Brazilian Stock Market -- 4.2.2. Russian Stock Market -- 4.2.3. Stock Market of China -- 4.2.4. Indian Stock Market -- 4.2.5. South African Stock Exchange -- 4.2.6. South Korean Stock Market -- Chapter 5 Interdependence and Interrelationship between Crude Oil Prices, Exchange Rates, and Indian Stock Market -- 5.1. Test of Stationarity: Unit Root Test -- 5.2. Johansen Cointegration Test -- 5.3. Vector Error Correction Model (VECM) -- 5.4. Granger Causality Test -- 5.5. Variance Decomposition Analysis -- 5.6. Structural Vector Autoregression (SVAR) Model -- 5.7. Impulse Response Analysis (IRA) -- Chapter 6 Dynamic Linkages between Crude Oil Prices, Exchange Rates, and Stock Markets of Other Emerging Economies -- 6.1. Introduction -- 6.2. Results and Discussion -- 6.2.1. Test of Stationarity: ERS Unit Root Test -- 6.2.2. Johansen Cointegration Test -- 6.2.3. Vector Error Correction Model (VECM) -- 6.2.4. Granger Causality Test -- 6.2.5. Variance Decomposition Analysis.
6.2.6. Structural Vector Autoregression (SVAR) Model -- 6.2.7. Impulse Response Analysis (IRA) -- Chapter 7 Volatility Spillovers between Crude Oil Price, Exchange Rate, and Stock Market of India -- 7.1. Volatility Modeling -- 7.2. APARCH Analysis -- 7.3. Multivariate GARCH Model -- 7.4. Constant Conditional Correlation Model -- Chapter 8 Volatility Spillovers between Crude Oil Price, Exchange Rate, and Stock Market of Other Emerging Economies -- 8.1. Data Set and Preliminary Analysis -- 8.2. APARCH Model -- 8.3. APARCH Estimates -- 8.4. Multivariate CCC-GARCH Model -- 8.5. BEKK-GARCH Model -- 8.6. Conclusion -- Chapter 9 Conclusions -- 9.1. Limitations of the Study -- 9.2. Scope for Further Research -- Acknowledgments -- References -- Index. |
| Record Nr. | UNINA-9911138151003321 |
|
Bagchi Bhaskar
|
||
| Bingley, England : , : Emerald, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
