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Keywords: Volatility spillover
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Journal Articles
Exploring interconnections and risk evaluation of green equities and bonds: fresh perspectives from TVP-VAR model and wavelet-based VaR analysis
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2025) 15 (1): 117–139.
Published: 15 August 2024
...Mohamed Yousfi; Houssam Bouzgarrou Purpose This study attempts to examine the time-varying volatility spillovers between environmentally sustainable assets and quantify the value-at-risk of the portfolios across various frequencies. Design/methodology/approach To accomplish these objectives...
Journal Articles
The performance of China’s stock market price limits: noise mitigator or noise maker?
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2017) 7 (1): 85–97.
Published: 20 February 2017
.... The sample stocks include the 300 component stocks of the CSI300 Index. Findings Both event study and regression analysis suggest that price limits exaggerate market volatilities by causing volatility spillovers. The destabilising effect is much more pronounced for small firm stocks and when the market...
