Journal Articles
Permanent URI for this collectionhttp://10.0.100.92:4000/handle/123456789/21
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Item Analyzing time-varying tail dependence between leveraged loan and debt markets in the U.S. economy(International Review of Finance, 2024-06) Tiwari, Aviral Kumar; Trabelsi, Nader; Abakah, Emmanuel Joel Aikins; Lee, Chi-ChuanThis study analyzes the time-varying dependence between U.S. leveraged loan and debt markets within a highly linked financial system using a quantile-based time-varying connectedness framework to determine the hedging benefits of leveraged loans for financial investors at various quantiles. Based on daily closing price data from November 28, 2008 to October 3, 2023, the evidence demonstrates considerable (moderate) spillovers across the leveraged loan and debt markets for severe (normal) occurrences, with additional results indicating symmetric interaction. In terms of risk spillover, we also affirm the dominance of short-term fixed-income instruments over leveraged loans and long-term bonds. These findings indicate that no hedging or diversification occurred among the investigated markets.Item Markov-switching multifractal volatility spillovers among European stock markets during crisis periods(Applied Economics, 2025) Tiwari, Aviral Kumar; Abakah, Emmanuel Joel Aikins; Dwumfour, Richard Adjei; Lee, Chi-ChuanThis research investigates time-varying volatility spillovers and connectedness among European stock markets during the COVID-19 pandemic and the Russia – Ukraine war, two events that destabilized global markets. With data from 20 European stock markets spanning 17 December 2019, to 17 March 2022, we employ the TVP-VAR model and estimate volatility using the Markov-switching multifractal volatility technique. Findings from log-volatility estimates suggest that markets are highly connected, with price movement driven mainly by spillover effects from other markets in the same region. Most emerging markets are net receivers of volatility, with most of Europe’s major markets being net transmitters of shocks. The COVID-19 pandemic appears to have impacted European stock markets more than the Russia – Ukraine war. Shifting to the results obtained based on MSM volatility estimates, we find that markets strongly correlate for both high and low volatility. In the case of a high volatility regime, we document the dominance of Finland, Denmark, and Iceland over major European markets. In contrast, under a low volatility regime, we note the dominance of major markets, including the UK and France, over emerging markets in Europe. The findings reveal the diversification potential of emerging European stock markets.