75
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Volatility and return spillovers between private equity buyout, venture capital and major financial markets

ORCID Icon &
Received 29 Sep 2023, Accepted 26 Jan 2024, Published online: 11 Mar 2024

References

  • Aigner, P., Beyschlag, G., Friederich, T., Kalepky, M., & Zagst, R. (2012). Modeling and managing portfolios including listed private equity. Computers & Operations Research, 39(4), 753–764. https://doi.org/10.1016/j.cor.2010.12.015
  • Aldatmaz, S., & Brown, G. W. (2020). Private equity in the global economy: Evidence on industry spillovers. Journal of Corporate Finance, 60, 101524. https://doi.org/10.1016/j.jcorpfin.2019.101524
  • Antonakakis, N., & Kizys, R. (2015). Dynamic spillovers between commodity and currency markets. International Review of Financial Analysis, 41, 303–319. https://doi.org/10.1016/j.irfa.2015.01.016
  • Antonakakis, N., Chatziantoniou, I., & Filis, G. (2014). Dynamic spillovers of oil price shocks and economic policy uncertainty. Energy Economics, 44, 433–447. https://doi.org/10.1016/j.eneco.2014.05.007
  • Apostolakis, G., & Papadopoulos, A. P. (2015). Financial stress spillovers across the banking, securities and foreign exchange markets. Journal of Financial Stability, 19, 1–21. https://doi.org/10.1016/j.jfs.2015.05.003
  • Awartani, B., & Maghyereh, A. I. (2013). Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries. Energy Economics, 36, 28–42. https://doi.org/10.1016/j.eneco.2012.11.024
  • Bain & Company. (2022). Global Private Equity Report 2022. Retrieved from https://www.bain.com/globalassets/noindex/2022/bain_report_global-private-equity-report-2022.pdf
  • Baur, D. G., & McDermott, T. K. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance, 34(8), 1886–1898. https://doi.org/10.1016/j.jbankfin.2009.12.008
  • Baur, D. G., & Smales, L. A. (2020). Hedging geopolitical risk with precious metals. Journal of Banking & Finance, 117, 105823. https://doi.org/10.1016/j.jbankfin.2020.105823
  • Beyer, K. M., Demyan, L., & Weiss, M. J. (2022). Private equity and its increasing role in US healthcare. Advances in Surgery, 56(1), 79–87. https://doi.org/10.1016/j.yasu.2022.02.003
  • Block, J., & Sandner, P. (2009). What is the effect of the financial crisis on venture capital financing? Empirical evidence from US Internet start-ups. Venture Capital, 11(4), 295–309. https://doi.org/10.1080/13691060903184803
  • Bossman, A., Owusu, P., Junior., & Tiwari, A. K. (2022). Dynamic connectedness and spillovers between Islamic and conventional stock markets: Time and frequency domain approach in COVID-19 era. Heliyon, 8(4), e09215. https://doi.org/10.1016/j.heliyon.2022.e09215
  • Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters, 20, 192–198. https://doi.org/10.1016/j.frl.2016.09.025
  • Brown, G., Harris, R., Hu, W., Jenkinson, T., Kaplan, S. N., & Robinson, D. T. (2021). Can investors time their exposure to private equity? Journal of Financial Economics, 139(2), 561–577. https://doi.org/10.1016/j.jfineco.2020.08.014
  • Conti, A., Dass, N., Di Lorenzo, F., & Graham, S. J. H. (2019). Venture capital investment strategies under financing constraints: Evidence from the 2008 financial crisis. Research Policy, 48(3), 799–812. https://doi.org/10.1016/j.respol.2018.11.009
  • Cumming, D., Deloof, M., Manigart, S., & Wright, M. (2019). New directions in entrepreneurial finance. Journal of Banking & Finance, 100, 252–260. https://doi.org/10.1016/j.jbankfin.2019.02.008
  • DeYoung, R., & Torna, G. (2013). Non-traditional banking activities and bank failures during the financial crisis. Journal of Financial Intermediation, 22(3), 397–421. https://doi.org/10.1016/j.jfi.2013.01.001
  • Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57–66. https://doi.org/10.1016/j.ijforecast.2011.02.006
  • Döll, L. M., Ulloa, M. I. C., Zammar, A., do Prado, G. F., & Piekarski, C. M. (2022). Corporate venture capital and sustainability. Journal of Open Innovation, 8(3), Article 132. https://doi.org/10.3390/joitmc8030132
  • Ferrer, R., Shahzad, S. J. H., López, R., & Jareño, F. (2018). Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices. Energy Economics, 76, 1–20. https://doi.org/10.1016/j.eneco.2018.09.022
  • Forsberg, L., & Ghysels, E. (2007). Why do absolute returns predict volatility so well? Journal of Financial Econometrics, 5(1), 31–67. https://doi.org/10.1093/jjfinec/nbl010
  • George, A., & Gupta, P. (2022). Venture capital and private equity: Catalysing the solar sector. Social Compass, 3-4, 100030. https://doi.org/10.1016/j.solcom.2022.100030
  • Golitsis, P., Gkasis, P., & Bellos, S. K. (2022). Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA. The North American Journal of Economics and Finance, 63, 101785. https://doi.org/10.1016/j.najef.2022.101785
  • Gompers, P. A., Gornall, W., Kaplan, S. N., & Strebulaev, I. A. (2020). How do venture capitalists make decisions? Journal of Financial Economics, 135(1), 169–190. https://doi.org/10.1016/j.jfineco.2019.06.011
  • Gompers, P. A., Kaplan, S. N., & Mukharlyamov, V. (2022). Private equity and Covid-19. Journal of Financial Intermediation, 51, 100968. https://doi.org/10.1016/j.jfi.2022.100968
  • Gompers, P., Kovner, A., Lerner, J., & Scharfstein, D. (2008). Venture capital investment cycles: The impact of public markets. Journal of Financial Economics, 87(1), 1–23. https://doi.org/10.1016/j.jfineco.2006.12.002
  • 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), e0261835. https://doi.org/10.1371/journal.pone.0261835
  • Hood, M., & Malik, F. (2013). Is gold the best hedge and a safe haven under changing stock market volatility? Review of Financial Economics, 22(2), 47–52. https://doi.org/10.1016/j.rfe.2013.03.001
  • Huang, Y. S., Wu, J., & Guo, F. (2022). Venture capital staging under economic policy uncertainty. International Review of Economics & Finance, 78, 572–596. https://doi.org/10.1016/j.iref.2022.01.006
  • Hung, N. T., & Vo, X. V. (2021). Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak. International Review of Financial Analysis, 76, 101730. https://doi.org/10.1016/j.irfa.2021.101730
  • Jebabli, I., Kouaissah, N., & Arouri, M. (2022). Volatility spillovers between stock and energy markets during crises: A comparative assessment between the 2008 global financial crisis and the Covid-19 pandemic crisis. Finance Research Letters, 46, Part A, 102363. https://doi.org/10.1016/j.frl.2021.10236
  • Jenkinson, T., Morkoetter, S., Schori, T., & Wetzer, T. (2022). Buy low, sell high? Do private equity fund managers have market timing abilities? Journal of Banking & Finance, 138, 106424. https://doi.org/10.1016/j.jbankfin.2022.106424
  • Ji, Q., Bouri, E., Lau, C. K. M., & Roubaud, D. (2019). Dynamic connectedness and integration in cryptocurrency markets. International Review of Financial Analysis, 63, 257–272. https://doi.org/10.1016/j.irfa.2018.12.002
  • Laborda, R., & Olmo, J. (2021). Volatility spillover between economic sectors in financial crisis prediction: Evidence spanning the great financial crisis and Covid-19 pandemic. Research in International Business and Finance, 57, 101402. https://doi.org/10.1016/j.ribaf.2021.101402
  • Le, T. N. L., Abakah, E. J. A., & Tiwari, A. K. (2021). Time and frequency domain connectedness and spillover among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution. Technological Forecasting and Social Change, 162, 120382. https://doi.org/10.1016/j.techfore.2020.120382
  • Li, J., Li, J., Zhu, X., Yao, Y., & Casu, B. (2020). Risk spillovers between FinTech and traditional financial institutions: Evidence from the U.S. International Review of Financial Analysis, 71, 101544. https://doi.org/10.1016/j.irfa.2020.101544
  • Maghyereh, A. I., Awartani, B., & Bouri, E. (2016). The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes. Energy Economics, 57, 78–93. https://doi.org/10.1016/j.eneco.2016.04.010
  • Mensi, W., Aslan, A., Vo, X. V., & Kang, S. H. (2023). Time-frequency spillovers and connectedness between precious metals, oil futures and financial markets: Hedge and safe haven implications. International Review of Economics & Finance, 83, 219–232. https://doi.org/10.1016/j.iref.2022.08.015
  • Mensi, W., Hammoudeh, S., Al-Jarrah, I. M. W., Sensoy, A., & Kang, S. H. (2017). Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications. Energy Economics, 67, 454–475. https://doi.org/10.1016/j.eneco.2017.08.031
  • Naeem, M. A., Chatziantoniou, I., Gabauer, D., & Karim, S. (2024). Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach. International Review of Financial Analysis, 91, 102986. https://doi.org/10.1016/j.irfa.2023.102986
  • Parra, Á., & Winter, R. A. (2022). Early-stage venture financing. Journal of Corporate Finance, 77, 102291. https://doi.org/10.1016/j.jcorpfin.2022.102291
  • Polat, O. (2022). On systemic risk contagion in the euro area: Evidence from frequency connectedness and the DY approaches. Borsa Istanbul Review, 22(3), 441–451. https://doi.org/10.1016/j.bir.2021.06.011
  • Pradhan, R. P., Arvin, M. B., Nair, M., Bennett, S. E., & Bahmani, S. (2019). Short-term and long-term dynamics of venture capital and economic growth in a digital economy: A study of European countries. Technology in Society, 57, 125–134. https://doi.org/10.1016/j.techsoc.2018.11.002
  • Salisu, A. A., Raheem, I. D., & Ndako, U. B. (2020). The inflation hedging properties of gold, stocks and real estate: A comparative analysis. Resources Policy, 66, 101605. https://doi.org/10.1016/j.resourpol.2020.101605
  • Shahzad, S. J. H., Ferrer, R., Ballester, L., & Umar, Z. (2017). Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis. International Review of Financial Analysis, 52, 9–26. https://doi.org/10.1016/j.irfa.2017.04.005
  • Wang, B., & Xiao, Y. (2023). Risk Spillovers from China’s and the US Stock Markets during High-Volatility Periods: Evidence from East Asian Stock Markets. International Review of Financial Analysis, 86, 102538. https://doi.org/10.1016/j.irfa.2023.102538
  • Wang, Y. S., & Chueh, Y. L. (2013). Dynamic transmission effects between the interest rate, the US dollar, and gold and crude oil prices. Economic Modelling, 30, 792–798. https://doi.org/10.1016/j.econmod.2012.09.052
  • Wang, Y., & Guo, Z. (2018). The dynamic spillover between carbon and energy markets: New evidence. Energy, 149, 24–33. https://doi.org/10.1016/j.energy.2018.01.145
  • Yang, S. (2022). Are private equity and venture capital helping small and medium-sized enterprises during the COVID-19 pandemic? Evidence from China. Economic Analysis and Policy, 76, 1–14. https://doi.org/10.1016/j.eap.2022.07.007
  • Zhang, D. (2017). Oil shocks and stock markets revisited: Measuring connectedness from a global perspective. Energy Economics, 62, 323–333. https://doi.org/10.1016/j.eneco.2017.01.009

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.