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Applied Economics Volume 47, 2015 - Issue 34-35: Recent Developments in Applied Economics and Finance
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Original Articles

Intraday bidirectional volatility spillover across international stock markets: does the global financial crisis matter?

Fredj JawadiUniversity of Evry, Evry, France
,
Waël LouhichiESSCA School of Management, Angers, FranceCorrespondence[email protected]
&
Abdoulkarim Idi CheffouEDC Paris Business School, Paris, France
Pages 3633-3650 | Published online: 16 Mar 2015

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Read on this site (3)

Xiaoxing Liu & Khurram Shehzad. (2023) Analyzing time-different connectedness among systemic financial markets during the financial crisis and conventional era: New evidence from the VARX-DCC-MEGARCH model. Journal of Applied Economics 26:1.
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José Da Fonseca & Katja Ignatieva. (2018) Volatility spillovers and connectedness among credit default swap sector indexes. Applied Economics 50:36, pages 3923-3936.
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Richard A. Ajayi, Seyed Mehdian & Ovidiu Stoica. (2018) An Empirical Examination of the Dissemination of Equity Price Innovations Between the Emerging Markets of Nordic-Baltic States and Major Advanced Markets. Emerging Markets Finance and Trade 54:3, pages 642-660.
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Articles from other publishers (15)

Serkan Çiçek & Aynur Yıldırım. (2024) The impact of domestic and global factors on individual public, domestic and foreign bank performances in Türkiye. Central Bank Review 24:1, pages 100139.
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Varsha Ingalhalli & Prachi Kolamker. (2023) Modelling volatility effects between stock, oil, gold and forex markets: Evidence from India. Investment Management and Financial Innovations 20:2, pages 53-65.
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Yosuke Kakinuma. (2021) Nexus between Southeast Asian stock markets, bitcoin and gold: spillover effect before and during the COVID-19 pandemic. Journal of Asia Business Studies 16:4, pages 693-711.
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Hachmi Ben Ameur & Waël Louhichi. (2021) The Brexit impact on European market co-movements. Annals of Operations Research 313:2, pages 1387-1403.
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A. Can Inci, Andres Ramirez & Hakan Saraoglu. (2021) Anatomy of intraday volatility at the Chilean stock exchange. Journal of Economics and Finance 46:1, pages 68-98.
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Hasan Fehmi Baklaci, Berna Aydoğan & Tezer Yelkenci. (2020) Impact of stock market trading on currency market volatility spillovers. Research in International Business and Finance 52, pages 101182.
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Saffet Akdag, Ömer İskenderoglu & Andrew Adewale Alola. (2020) The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise. Letters in Spatial and Resource Sciences 13:1, pages 49-65.
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A. Can Inci. (2020) Social responsibility of a stock exchange: Corporate governance at Borsa Istanbul. Journal of Eastern European and Central Asian Research (JEECAR) 7:1, pages 72-82.
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Yang (Greg) Hou & Steven Li. (2020) Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China. International Review of Economics & Finance 66, pages 166-188.
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Abdullahi D. Ahmed & Rui Huo. (2018) China–Africa financial markets linkages: Volatility and interdependence. Journal of Policy Modeling 40:6, pages 1140-1164.
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Hachmi Ben Ameur, Fredj Jawadi, Wael Louhichi & Abdoulkarim Idi Cheffou. (2017) MODELING INTERNATIONAL STOCK PRICE COMOVEMENTS WITH HIGH-FREQUENCY DATA. Macroeconomic Dynamics 22:7, pages 1875-1903.
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A. Can Inci. (2017) Financials sector intraday volatility characteristics in the emerging Turkish economy. Eurasian Economic Review 8:2, pages 215-229.
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A. Can Inci & Deniz Ozenbas. (2017) Intraday volatility and the implementation of a closing call auction at Borsa Istanbul. Emerging Markets Review 33, pages 79-89.
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A. Can Inci. 2016. Risk Management in Emerging Markets. Risk Management in Emerging Markets 505 542 .
Fredj Jawadi, Waël Louhichi & Abdoulkarim Idi Cheffou. (2015) Testing and modeling jump contagion across international stock markets: A nonparametric intraday approach. Journal of Financial Markets 26, pages 64-84.
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