Browsing College of Business & Economics by Author "Robbani, Mohammad"
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Information Transmission and Dynamics of Stock Price Movements: An Empirical Analysis of BRICS and US Stock Markets
(2016)This paper investigates the information transmission and spillover effects between the US stock market and the emerging stock markets of Brazil, Russia, India, China, and South Africa (BRICS) for the period 1999 to 2012. ... -
On the Dynamics of Volatility Transmission: An Empirical Investigation on G-8 Countries
(2013)This paper investigates the volatility transmission in the financial markets of G-8 countries by using the VAREGARCH techniques. From the empirical analyses, it shows that volatility transmissions are present between the ...