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Oil price uncertainty and sectoral stock returns in China : a time-varying approach

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - 2014

This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on ten sectoral indices over the period January 1997 - Febraury 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests that oil price volatility affects stock returns...

Persistent link: https://www.econbiz.de/10010375190

Macro news and stock returns in the euro Area : a VAR-GARCH-in-means analysis

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 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...

Persistent link: https://www.econbiz.de/10010383808

Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean Analysis

Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016

The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...

Persistent link: https://www.econbiz.de/10011482859

Macro news and bond yield spreads in the Euro area

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year … yield spreads in all PIIGS countries but Italy before September 2008; markets respond more to negative news, and their … reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …

Persistent link: https://www.econbiz.de/10010417491

Cyber-attacks and cryptocurrencies

Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2020

This paper provides some comprehensive evidence on the effects of cyber-attacks on the returns, realized volatility and trading volume of five of the main cryptocurrencies (Bitcoin, Ethereum, Litecoin, XRP and Stellar) in 99 developed and developing countries. More specifically, it investigates...

Persistent link: https://www.econbiz.de/10012171767

Climate physical risk and Asian stock market returns

Albanese, Marina; Caporale, Guglielmo Maria; Colella, Ida; … - 2024

This study provides new evidence on the impact of climate physical risk (as measured by the Global Climate Risk Index (CRI) from Germanwatch) on stock market returns. Specifically, a panel model with fixed effects is estimated using annual data from 2007 to 2021 for a set of 65 countries as well...

Persistent link: https://www.econbiz.de/10014583812