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| Srl | Item |
| 1 |
ID:
086583
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| Publication |
2009.
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| Summary/Abstract |
After more than 15 years of Chinese equity markets, we study how variance, covariance, and correlations have developed in these markets relative to world markets, based on the dynamic conditional correlation (DCC) model of Engle [Engle, R., 2002. A dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics 20(3), 339-350.]. Chinese markets offer A-shares to domestic investors and otherwise identical B-shares to foreign investors. We find that the volatility of A-shares has declined over the past decade. We find no asymmetric volatility relative to world markets in China. Contrary to the global trend of increasing cross-country correlations, we find stationary correlations for China. A-share indices have never been correlated with world markets, and B-share indices exhibit a low degree of correlation with Western markets (0-5%) and a slightly higher degree of correlation with other Asian markets (10-20%). We interpret these findings using Gordon's growth model.
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| 2 |
ID:
171440
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| Summary/Abstract |
We analyze for the first time how various levels of oil returns and oil volatility changes affect sovereign risk in static and time-varying settings. Empirical analyses involve daily data from February 14, 2011 to November 23, 2018 covering a sample of MENA oil-exporters and importers. The results from a quantile-based approach show that the sovereign risk of MENA oil-exporters and importers is directionally predicted by shocks in oil prices and oil volatility, especially during the oil crash of 2014–2016. Overall, the impact of oil returns and volatility changes occur in a very short time span, that is within one day lag, and the quantile specific reactions of sovereign risk spreads are time varying. The impact of oil returns is asymmetric across quantiles. The results hold when we control for stock market returns. The findings have implications for investors in terms of portfolio and risk management. Importantly, the findings are useful to policymakers for sovereign risk management decisions, the cost of sovereign borrowing, and the market timing of debt issuance. Finally, the findings matter to bankers given that central and domestic banks hold large amounts of sovereign debt, which makes banking systems particularly exposed to their own sovereign stress.
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