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The Global Crisis and Equity Market Contagion

Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

We analyze the transmission of the financial crisis of 2007 to 2009 to 415 country-industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find evidence of...

Persistent link: https://www.econbiz.de/10011266597

Evaluating Greek Equity Funds Using Data Envelopment Analysis

Babalos, Vassilios; Caporale, Guglielmo Maria; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009

This study assesses the relative performance of Greek equity funds employing a non-parametric method, specifically Data Envelopment Analysis (DEA). Using an original sample of cost and operational attributes we explore the effect of each variable on funds' operational efficiency for an...

Persistent link: https://www.econbiz.de/10004963857

Cross-Country Stock Market Reactions to Major Terror Events: The Role of Risk Perception

Drakos, Konstantinos - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009

The extant literature has established that the occurrence of major terrorist events leads to negative abnormal returns not only to the location of the event, but also to third countries. However, the literature has neither investigated which are the diffusion mechanisms of terrorist shocks, nor...

Persistent link: https://www.econbiz.de/10008519458

Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market

Caporale, Guglielmo Maria; Girardi, Alessandro; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010

documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise … (fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory … characteristics, stock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities. …

Persistent link: https://www.econbiz.de/10008742946

Institutional Determinants of Financial Development in MENA Countries

Cherif, Mondher; Dreger, Christian - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

Developed and well regulated financial markets are usually seen as a precondition for an efficient allocation of resources and can foster long term economic growth. This paper explores the institutional determinants for financial development in the countries of the Middle East and North African...

Persistent link: https://www.econbiz.de/10010942859

Macro News and Bond Yield Spreads in the Euro Area

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 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/10010929814

Spillovers between Food and Energy Prices and Structural Breaks

Al-Maadid, Alanoud; Caporale, Guglielma Maria; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 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/10011213875

Internationale Verflechtung der Finanzmärkte: ein Versuch zur Quantifizierung des Dominoeffekts in Anlehnung an die Input-Output-Analyse

Schumacher, Dieter - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015

Die internationale Verflechtung der Finanzmärkte führt dazu, dass der Ausfall von Krediten in einem Land auch von Geldgebern in anderen Ländern getragen werden muss. Bei einer konsequenten Anwendung des Prinzips der Gläubigerhaftung würde der Vermögensverlust von dem unmittelbar...

Persistent link: https://www.econbiz.de/10011273258

Euro Area Government Bonds: Integration and Fragmentation during the Sovereign Debt Crisis

Ehrmann, Michael; Fratzscher, Marcel - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015

The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting...

Persistent link: https://www.econbiz.de/10011273259

Terrorism Induced Cross-Market Transmission of Shocks: A Case Study Using Intraday Data

Kollias, Christos; Papadamou, Stephanos; Siriopoulos, Costas - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012

Terrorist incidents exert a negative, albeit generally short-lived, impact on markets and equity returns. Given the integration of global financial markets, mega-terrorist events also have a high contagion potential with their shock waves being transmitted across countries and markets. This...

Persistent link: https://www.econbiz.de/10010553342