Open Access

The Contagion of International Crises: Implications of Inflation and Investor Sentiment on Stock and Treasury bond Returns


Cite

Afzal, F., Haiying, P., Afzal, F., Mahmood, A., Ikram, A. (2021). Value-at-Risk Analysis for Measuring Stochastic Volatility of Stock Returns: Using GARCH-Based Dynamic Conditional Correlation Model. Search in Google Scholar

Ahmad, W., Sanjay, S., Bhanumurthy, N.H. (2013). Eurozone crisis and B.R.I.I.C.K.S. stock markets: Contagion or market interdependence?. Economic Modelling, 33: 209–25. Search in Google Scholar

Alzoubi, M. (2022). Stock market performance: Reaction to interest rates and inflation rates. Banks and Bank Systems, 17(2), 189-198. Search in Google Scholar

Antonakakis, N., Gupta, R., Tiwari, A.K. (2017). Has the correlation of inflation and stock prices changed in the United States over the last two centuries?. Research in International Business and Finance, 42, 1-8. Search in Google Scholar

Benlagha, N. (2014). Dependence structure between nominal and index-linked bond returns: a bivariate copula and DCC-GARCH approach. Applied Economics, 46(31), 3849-3860 Search in Google Scholar

Brooks, C. (2014). Introductory Econometrics for Finance. 3rd Edition, Cambridge University Press, Cambridge. Search in Google Scholar

Box, G. E. P., Pierce, D. A. (1970). Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models. Journal of the American Statistical Association, 65 (332), 1509–1526. Search in Google Scholar

Cieslak, A., Pflueger, C. (2023). INFLATION AND ASSET RETURNS. National Bureau of Economic Research, Working Paper 30982. Search in Google Scholar

Durbin, J., Watson, G. S. (1950). Testing for Serial Correlation in Least Squares Regression, I. Biometrika, 37(3-4), 409-428. Search in Google Scholar

Eldomiaty, T., Saeed, Y., Hammam, R., Aboulsoud, S. (2020). The associations between stock prices, inflation rates, interest rates are still persistent. Empirical evidence from stock duration model. Journal of Economics, Finance and Administrative Science, 25 (49), 149-162. Search in Google Scholar

Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models. Journal of Business & Economic Statistics, 20, 339-350. Search in Google Scholar

Gunay, S., Can, G. (2022). The source of financial contagion and spillovers: An evaluation of the covid-19 pandemic and the global financial crisis. PLoS ONE, 17(1). Search in Google Scholar

Hausman, D.M., Woodward, J. (1999). Independence, Invariance, and the Causal Markov Condition. British Journal for the Philosophy of Science, 50(4), 521-583. Search in Google Scholar

Jarque, C.M., Bera, A.K. (1980). Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Economics Letter, 6(3), 255-259. Search in Google Scholar

Liu, F., Umair, M., Gao, J. (2023). Assessing oil price volatility co-movement with stock market volatility through quantile regression approach. Resources Policy, 81, 103375. Search in Google Scholar

Muzindutsi P.-F., Sheodin, A., Moodley, J., Moodley, K., Naidoo, M., Ramjiyavan, P., Moonsamy, R., Pillay, T. A., Dube, F. (2022). Contagion risk in Equity Markets during Financial Crises and COVID-19: A comparison of developed and emerging markets. Scientific Annals of Economics and Business, 69(4), 615-629. Search in Google Scholar

Sathyanarayana, S., Gargesa, S. (2022). An Analytical Study of the Effect of Inflation on Stock Market Returns. IRA-International Journal of Management & Social Sciences, 13(2):48. Search in Google Scholar

Siddiqui, T.A, Khan, M.F., Naushad, M., Syed, A.M. (2022). Cross-Market Correlations and Financial Contagion from Developed to Emerging Economies: A Case of COVID-19 Pandemic. Economies, 10(6), 147. Search in Google Scholar

Spierdijk, L., Umar, Z. (2015). Stocks, bonds, T-bills and inflation hedging: From great moderation to great recession. Journal of Economics and Business, 79, 1-37. Search in Google Scholar

Sukmadilaga, C., Suciati, N. R. H., Handayani, T., Alraudha, A. S., Ghani, E. K. (2023). Can investors’ sentiment and inflation influence share market return volatility? An ASEAN perspective. International Journal of Applied Economics, Finance and Accounting, 15(2), 115-125. Search in Google Scholar

Titman, S., Warga, A. (1989). Stock Returns as Predictors of Interest Rates and Inflation. Journal of Financial and Quantitative Analysis, 24(1), 47-58. Search in Google Scholar

Tsay, R.S. (2005). Analysis of Financial Time Series 3rd Edition. John Wiley & Sons Search in Google Scholar

Zinecker, M., Balcerzak, A.P., Faldzinski, M., Pietrzak, M.B, Meluzin, T. (2016). Application of DCC-GARCH Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany. Institute of Economic Research Working Papers, No. 4/2016. Search in Google Scholar

eISSN:
2558-9652
Language:
English