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Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis
Beirne, John; Caporale, Guglielmo Maria; … - CESifo - 2009
. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin … America, spillovers in variance appear to play a key role in emerging Europe. There is also some evidence of cross …
Persistent link: https://www.econbiz.de/10008596577
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Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
Beirne, John; Caporale, Guglielmo Maria; … - CESifo - 2009
transmission mechanism—contagion—during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature …
Persistent link: https://www.econbiz.de/10005765747
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Stock Market Integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - CESifo - 2010
Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion). …
Persistent link: https://www.econbiz.de/10008583722
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Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - CESifo - 2014
This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to the euro area (Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain) using daily data for the period 1994-2013. The econometric analysis is based on the estimation...
Persistent link: https://www.econbiz.de/10010877764
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Macro News and Bond Yield Spreads in the Euro Area
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - CESifo - 2014
This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for...
Persistent link: https://www.econbiz.de/10010948819
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Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market
Caporale, Guglielmo Maria; Girardi, Alessandro; … - CESifo - 2010
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/10008833903
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Equity Risk Premium and Regional Integration
Arouri, Mohamed El Hedi; Teulon, Frédéric; Rault, … - CESifo - 2013
This article contributes to the literature on stock market integration by developing and estimating a capital asset pricing model with segmentation effects in order to assess stock market segmentation and its effects on risk premia at the regional level. We show that the estimated degrees of...
Persistent link: https://www.econbiz.de/10010877634
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Market Structure and the Cost of Capital
Arouri, Mohamed El Hedi; Rault, Christophe; Sova, Robert; … - CESifo - 2013
We contribute to the finance literature in two main ways. First, we present a theoretical capital asset pricing model (CAPM) to price assets in different market structures. Second, we use our model to analyze whether when markets are partially segmented using the local or the global CAPM yields...
Persistent link: https://www.econbiz.de/10010877642
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Spillovers between Food and Energy Prices and Structural Breaks
Al-Maadid, Alanoud; Caporale, Guglielmo Maria; … - CESifo - 2015
This paper estimates a bivariate VAR-GARCH(1,1) model to examine linkages between food and energy prices. The adopted framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting from four recent events, namely: 1) the 2006 food...
Persistent link: https://www.econbiz.de/10011212078
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On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - CESifo - 2013
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...
Persistent link: https://www.econbiz.de/10010636593