...Antonio Fabio Forgione; Carlo Migliardo; Edoardo Otranto; Luca Scaffidi Domianello Purpose This study quantifies volatility spillovers between WTI and INE, assessing their time-varying nature and INE’s sensitivity to external shocks. It evaluates INE’s integration with global markets and its role...

... November 2019 to September 2022. Findings The study confirms the existence of contagion effects among member countries. Volatility spillover between exchange and stock markets is low within the country but substantial across borders. Russian contribution increased significantly during the conflict...

...Berna Kirkulak Uludag; Muzammil Khurshid Purpose The purpose of this paper is to examine volatility spillover from the Chinese stock market to E7 and G7 stock markets. Using the estimated results, the authors also analyze the optimal weights and optimal hedge ratios for the portfolios including...

... on the conditional variance and correlation. Findings – The empirical results show that the Middle East and North African (MENA) markets are interconnected by their volatilities and not by their returns. Volatility persists in each market and significant volatility spillovers from small to relatively larger...