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Quoted spreads and trade imbalance dynamics in the European Treasury bond market

Caporale, Guglielmo Maria; Girardi, Alessandro; … - In: The Quarterly Review of Economics and Finance 52 (2012) 2, pp. 173-182

Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise (fall) and liquidity falls (increases) buy (sell)...

Persistent link: https://www.econbiz.de/10010571836

On detection of volatility spillovers in overlapping stock markets

Kohonen, Anssi - In: Journal of Empirical Finance 22 (2013) C, pp. 140-158

This paper applies a recently proposed structural vector autoregressive model identification method to an established, previously unidentified theoretical model of stock market volatility spillovers. The structural model is identified and can be estimated with the method of maximum likelihood....

Persistent link: https://www.econbiz.de/10010665732

Dynamics of the co-movement between stock and maritime markets

Erdogan, Oral; Tata, Kenan; Karahasan, B. Can; Sengoz, … - In: International Review of Economics & Finance 25 (2013) C, pp. 282-290

This study demonstrates the existence of economically significant information spillovers between stock markets and markets for shipping freight by sea. Using multivariate correlation models on the returns of the Dow Jones Industrial Average (DJIA) and the Baltic Dry Index (BDI), we find mutual...

Persistent link: https://www.econbiz.de/10010588172

A unified approach to investigate pure and wake-up-call contagion: Evidence from the Eurozone's first financial crisis

Ludwig, Alexander - In: Journal of International Money and Finance 48 (2014) PA, pp. 125-146

This paper simultaneously analyzes wake-up-call and pure contagion of sovereign risk in the Eurozone during its recent … financial crisis. Pure contagion of sovereign risk means the transmission of negative effects after a shock to a country which …-up-call contagion is defined as the change of sovereign risk pricing by market participants after negative events in a single country or …

Persistent link: https://www.econbiz.de/10010939662

On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree

Charlot, Philippe; Marimoutou, Vêlayoudom - In: Energy Economics 44 (2014) C, pp. 456-467

This study examines the volatility and correlation and their relationships among the euro/US dollar exchange rates, the S&P500 equity indices, and the prices of WTI crude oil and the precious metals (gold, silver, and platinum) over the period 2005 to 2012. Our model links the univariate...

Persistent link: https://www.econbiz.de/10011100124

Better the devil you know: The influence of political incumbency on Australian financial market uncertainty

Smales, Lee A. - In: Research in International Business and Finance 33 (2015) C, pp. 59-74

The Australian federal election cycle, which occurs approximately every 3 years, causes much media attention and invokes indecision regarding investment decisions in both the real economy and financial markets. This paper constructs measures of political uncertainty and formally explores their...

Persistent link: https://www.econbiz.de/10011116362

Political uncertainty and financial market uncertainty in an Australian context

Smales, Lee A. - In: Journal of International Financial Markets, … 32 (2014) C, pp. 415-435

This paper seeks to investigate the influence of political uncertainty, surrounding the Australian federal election cycle, on financial market uncertainty. Measures of political uncertainty are constructed and their relationship with market uncertainty, as measured by implied volatility,...

Persistent link: https://www.econbiz.de/10010906355

Returns and volatility spillover in the European banking industry during global financial crisis: Flight to perceived quality or contagion?

Choudhry, Taufiq; Jayasekera, Ranadeva - In: International Review of Financial Analysis 36 (2014) C, pp. 36-45

Europe and the US. We apply a multivariate GARCH–GJR framework to investigate the effects of the financial crisis with …

Persistent link: https://www.econbiz.de/10011117770

Volatility returns with vengeance: Financial markets vs. commodities

Aboura, Sofiane; Chevallier, Julien - In: Research in International Business and Finance 33 (2015) C, pp. 334-354

To assess how financial markets and commodities are inter-related, this paper introduces a ‘volatility surprise’ component into the asymmetric DCC with one exogenous variable (ADCCX) framework. We develop an econometric model in which returns and volatility allow to influence pairs of...

Persistent link: https://www.econbiz.de/10011116367

The Dynamic Relationship between the Investment Behavior and the Morgan Stanley Taiwan Index: Foreign Institutional Investors' Decision Process

Chen, Mei-Ling; Wang, Kai-Li; Sung, Ya-Ching; Lin, Fu-Lai; … - In: Review of Pacific Basin Financial Markets and Policies … 10 (2007) 03, pp. 389-413

This research employs VAR models, impulse response function, forecast error variance decomposition and bivariate GJR GARCH models, to explore the dynamic relationship between foreign investment and the MSCI Taiwan Index (MSCI–TWI). The estimations of the VAR, impulse-response functions and...

Persistent link: https://www.econbiz.de/10005080757

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