Narrow search
Showing 1 - 10 of 771
Cover Image
The impact of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021
daily S&P500, the US Treasury Bond Index (USTB), the S&P Green Bond Index (GREEN) and the Dow Jones (DJ) Islamic World …. The mortality rate, surprisingly, seems to have affected stock and bond prices positively with autocorrelated errors. As …
Persistent link: https://www.econbiz.de/10012584220
Cover Image
Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010515402
Cover Image
Asymmetric connectedness on the US stock market : bad and good volatility spillovers
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks at the disaggregate level. Moreover, the...
Persistent link: https://www.econbiz.de/10010509638
Cover Image
Treasury auctions and secondary market dynamics : an analysis based on the MTS market for Italy
Cafiso, Gianluca - 2015
Auctions of government bonds are the main allotment method used by the Treasury of advanced economies. Previous … cycle and do not signal underpricing when a perfect matching between the auctioned bond and the market quote used is ensured. …
Persistent link: https://www.econbiz.de/10010519950
Cover Image
Modelling persistence and non-linearities in the US treasury 10-year bond yields
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Yaya, … - 2022
This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the …
Persistent link: https://www.econbiz.de/10012813850
Cover Image
Financial system architecture and the patterns of international trade
Amissah, Emmanuel Bentum; Bougheas, Spiros P.; Defever, … - 2016
Countries differ on the extent to which their financial system relies on banks or on the financial market. We offer a model featuring a possible two way relationship between countries' financial system architecture and their comparative advantage. Countries specialising in bank dependent sectors...
Persistent link: https://www.econbiz.de/10011492076
Cover Image
The political economy of financial systems : evidence from suffrage reforms in the last two centuries
Degryse, Hans; Lambert, Thomas; Schwienbacher, Armin - 2013 - This version: August 23, 2013
Initially, voting rights were limited to wealthy elites providing political support for stock markets. The franchise expansion induces the median voter to provide political support for banking development as this new electorate has lower financial holdings and benefits less from the uncertainty...
Persistent link: https://www.econbiz.de/10010223450
Cover Image
US municipal green bonds and financial integration
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2023
This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of … to those events. Significant dynamic linkages (interdependence) between the four municipal bonds under investigation are … green bond returns and volatilities. On the whole, the evidence suggests weaker linkages, and thus a lower degree of …
Persistent link: https://www.econbiz.de/10014234020
Cover Image
What slice of the pie? : the corporate bond market boom in emerging economies
Ayala, Diana; Nedeljkovic, Milan; Saborowski, Christian - 2017
show that the determinants of bond market access in EMs vary with global cyclical conditions and across local and foreign … currency bond markets increasingly substituted for banks in channeling liquidity to EMs. In the case of foreign currency … to global factors appears to vary with the size of its foreign currency bond market rather than local fundamentals. Our …
Persistent link: https://www.econbiz.de/10011615812
Cover Image
Financial integration in the GCC region : market size versus national effects
Arin, Kerim Peren; Caporale, Guglielmo Maria; Kyriacou, … - 2019
This paper examines financial spillovers between the four largest equity markets (by market capitalization) in the GCC region using a VAR-GARCH (1,1) framework that sheds light on interdependence as well as the effects of the 2014 oil crisis. Since the UAE is a federation including two stock...
Persistent link: https://www.econbiz.de/10012026436