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Persistence in ESG and conventional stock market indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021
This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...
Persistent link: https://www.econbiz.de/10012520863
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The Covid-19 pandemic, policy responses and stock markets in the G20
Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2021
This paper analyses the impact of the Covid-19 pandemic on stock market returns and their volatility in the case of the G20 countries. In contrast to the existing empirical literature, which typically focuses only on either Covid-19 deaths or lockdown policies, our analysis is based on a...
Persistent link: https://www.econbiz.de/10012622463
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Hybrid historical simulation VaR and ES : performance in developed and emerging markets
Zikovic, Sasa; Filer, Randall Keith - 2009
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...
Persistent link: https://www.econbiz.de/10003891679
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The KOF Globalisation Index : revisited
Gygli, Savina; Haelg, Florian; Potrafke, Niklas; Sturm, … - 2018
We introduce the revised version of the KOF Globalisation Index, a composite index measuring globalization for every … country in the world along the economic, social and political dimension. The original index was introduced by Dreher (2006 … along the different dimensions of globalization. We also disentangle trade and financial globalization within the economic …
Persistent link: https://www.econbiz.de/10011954444
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Economic analysis and forecasting in the global economy and in emerging and developing regions including Africa : how informative is the Ifo World Economic Survey (WES)?
Garnitz, Johanna; Leibfritz, Willi - 2016
Economists around the world rely in addition to official statistics on business (and consumer) surveys, which are more … partly, be filled by the Ifo World Economic Survey (WES). In this paper we first describe this survey and also examine how …
Persistent link: https://www.econbiz.de/10011547810
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Measuring global real economic activity : do recent critiques hold up to scrutiny?
Kilian, Lutz - 2019
Hamilton (2018) suggests that the Kilian (2009) index of global real economic activity is misleading and calls for alternative measures. The problem documented by Hamilton is a consequence of a coding mistake. Specifically, the index of nominal freight rates underlying the Kilian index was...
Persistent link: https://www.econbiz.de/10011958840
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Domestic and global output gaps as inflation drivers : what does the Phillips curve tell?
Jašová, Martina; Moessner, Richhild; Takáts, Előd - 2018
We study how domestic and global output gaps affect CPI inflation. We use a New-Keynesian Phillips curve framework which controls for nonlinear exchange rate movements for a panel of 26 advanced and 22 emerging economies covering the 1994Q1-2017Q4 period. We find broadly that both global and...
Persistent link: https://www.econbiz.de/10011929651
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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. Hashem - 2010
Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...
Persistent link: https://www.econbiz.de/10003965868
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A neglected semi-stylized fact of daily stock returns
Davies, Patrick Laurie; Krämer, Walter - 2016
We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this produces a typical spoon-shaped pattern which indicates a special type of asymmetry which has not been discussed before. This pattern disappears when individual returns are averaged; it...
Persistent link: https://www.econbiz.de/10011444114
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Financial, institutional, and macroeconomic determinants of cross-country portfolio equity flows
Afonso, António; Alves, José; Beck, Krzysztof; … - 2022
We consider a new dataset that provides a description of the population of financial equity flows between developed countries from 2001 to 2018. We follow the standard practice of controlling for pull and push factors as well as gravity-style variables, while also accounting for the business...
Persistent link: https://www.econbiz.de/10013332123