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Stocks, bonds, T-bills and inflation hedging: From great moderation to great recession
Spierdijk, Laura; Umar, Zaghum - In: Journal of Economics and Business 79 (2015) C, pp. 1-37
inflation. This study analyzes the inflation-hedging properties of US stocks, bonds, and T-bills at the subindex level during …, the returns of cyclical stocks exhibit a more positive long-run relation with inflation than the returns of non …-cyclical stocks. Stocks in both cyclical and non-cyclical industries have virtually no hedging ability until the fall of Lehman …
Persistent link: https://www.econbiz.de/10011264712
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Transparent bookbuilding, certification and initial public offerings
Khurshed, Arif; Paleari, Stefano; Pande, Alok; Vismara, … - In: Journal of Financial Markets 19 (2014) C, pp. 154-169
India has the unique distinction of being the only country that releases information on the IPO bookbuilding process live to investors. Against this backdrop, we investigate the role this mechanism plays in generating investor interest during the bookbuilding process and the subsequent...
Persistent link: https://www.econbiz.de/10010785109
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A Model of Financial Market Liquidity Based on Intermediary Capital
Gromb, Denis; Vayanos, Dimitri - In: Journal of the European Economic Association 8 (2010) 2-3, pp. 456-466
We present a model of financial market liquidity provided by financially constrained intermediaries. We show that market liquidity increases with the level of intermediary capital. We also characterize conditions under which intermediaries play a stabilizing or destabilizing role in markets....
Persistent link: https://www.econbiz.de/10008557146
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The dynamic interactions among the stock, bond and insurance markets
Lee, Chien-Chiang; Huang, Wei-Ling; Yin, Chun-Hao - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 28-52
This paper explores the lead–lag relationships and the dynamic linkages among stock, insurance and bond markets in the developed countries. This is the first empirical study which sheds light on the extent and magnitude of the association among these financial markets used by the Granger...
Persistent link: https://www.econbiz.de/10010730251
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Crude oil and BRICS stock markets under extreme shocks : new evidence
Wang, Lu; Ma, Feng; Niu, Tianjiao; He, Chengting - In: Economic modelling 86 (2020), pp. 54-68
Persistent link: https://www.econbiz.de/10012415223
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New evidence of extreme risk transmission between financial stress and international crude oil markets
Hong, Yanran; Li, Pan; Wang, Lu; Zhang, Yaojie - In: Research in international business and finance 64 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014276961
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Do sovereign credit ratings influence regional stock and bond market interdependencies in emerging countries?
Christopher, Rachel; Kim, Suk-Joong; Wu, Eliza - In: Journal of International Financial Markets, … 22 (2012) 4, pp. 1070-1089
We investigate the permanent and transitory effects of sovereign credit ratings on time-varying stock and bond market correlations with their respective regional markets for a sample of up to nineteen emerging countries over the period from 1 January 1994 to 1 July 2007. We find that stock and...
Persistent link: https://www.econbiz.de/10010702729
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Corporate governance, agency problems and international cross-listings: A defense of the bonding hypothesis
Karolyi, G. Andrew - In: Emerging Markets Review 13 (2012) 4, pp. 516-547
Why firms from around the world seek to cross-list their shares on overseas exchanges has intrigued scholars during the past two decades. A general dissatisfaction with the conventional wisdom about investment barriers segmenting global investors and how cross-listings overcome those barriers...
Persistent link: https://www.econbiz.de/10011056996
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Measuring investor sentiment with mutual fund flows
Ben-Rephael, Azi; Kandel, Shmuel; Wohl, Avi - In: Journal of Financial Economics 104 (2012) 2, pp. 363-382
stronger in smaller stocks and in growth stocks. These findings support the notion of “noise” in aggregate market prices …
Persistent link: https://www.econbiz.de/10011039240
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Impact of COVID-19 on volatility spillovers across international markets : evidence from VAR asymmetric BEKK GARCH model
Arfaoui, Nadia; Yousaf, Imran - In: Annals of financial economics 17 (2022) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10013189123