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How Does European Integration Affect the European Stock Markets?

Erdogan, Burcu - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009

This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over the January 1973- August 2008 period at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health...

Persistent link: https://www.econbiz.de/10010896117

How Does European Integration Affect the European Stock Markets?

Erdogan, Burcu - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009

This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and...

Persistent link: https://www.econbiz.de/10004963687

How Does European Integration Affect the European Stock Markets?

Erdogan, Burcu - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009

Persistent link: https://www.econbiz.de/10005069150

Drivers of Structural Change in Cross-Border Banking since the Global Financial Crisis

Bremus, Franziska; Fratzscher, Marcel - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

The paper analyzes the effects of changes to regulatory policy and to monetary policy on cross-border bank lending since the global financial crisis. Cross-border bank lending has decreased, and the home bias in the credit portfolio of banks has risen sharply, especially among banks in the euro...

Persistent link: https://www.econbiz.de/10011185763

Testing for Convergence in Stock Markets: A Non-linear Factor Approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...

Persistent link: https://www.econbiz.de/10008461820

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

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

integration of global financial markets, mega-terrorist events also have a high contagion potential with their shock waves being … exchanges: Frankfurt and Paris. To this effect, high frequency data are used and multivariate GARCH models are employed …

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

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

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

tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in …, Italy and Spain became more interdependent after the OMT announcement, providing our only evidence of contagion. While this …

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

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Beirne, John; Caporale, Guglielmo Maria; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 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/10004963766

Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-Mean Analysis

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

. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin …, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results …-market GARCH-in-mean effects. The relative importance of regional and global spillovers varies too, with global spillovers …

Persistent link: https://www.econbiz.de/10008461819