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Linkages between the US and European stock markets : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015
fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …
Persistent link: https://www.econbiz.de/10011343058
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Stock markets, banks and long run economics growth : a panel cointegration-based analysis
Cavenaile, Laurent; Gengenbach, Christian; Palm, Franz C. - 2013
and economic growth. We make use of a Johansen-based panel cointegration methodology allowing for cross-country dependence …
Persistent link: https://www.econbiz.de/10010223077
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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
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International financial integration and real exchange rate long-run dynamics in emerging countries : some panel evidence
Caporale, Guglielmo Maria; Hadj Amor, Thouraya; Rault, … - 2009
America, Asia and MENA). It covers the period 1979-2004, and carries out second-generationʺ tests for non-stationary panels … integration ; misalignment ; second-generation panel unit-root and cointegration tests …
Persistent link: https://www.econbiz.de/10003891665
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The globalisation-welfare state nexus : evidence from Asia
Potrafke, Niklas - 2018
expenditures in Asia. Neither do the results suggest that the nexus between globalisation and social expenditures varied across …
Persistent link: https://www.econbiz.de/10011927944
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Stock market integration in Asia : global or regional? : evidence from industry level panel convergence tests
Caporale, Guglielmo Maria; You, Kefei - 2017
This paper examines global and regional stock market integration in Asia at both the aggregate and disaggregate …
Persistent link: https://www.econbiz.de/10011658042
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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
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Witching days and abnormal profits in the US stock market
Caporale, Guglielmo Maria; Plastun, Alex - 2021
This paper examines price effects related to witching days in the US stock market using both weekly and daily data for three major indices, namely the Dow Jones, SP500 and Nasdaq, over the period 2000-2021. First it analyses whether or not anomalies in price behaviour arise from witching by...
Persistent link: https://www.econbiz.de/10012649760
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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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The effects of the Covid-19 pandemic on stock markets, CDS and economic activity : time-varying evidence from the US and Europe
Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, … - 2021
This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the dates from the first confirmed COVID-19 cases in...
Persistent link: https://www.econbiz.de/10012625628