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Volatility spillovers and contagion from mature to emerging stock markets

Beirne, John; Caporale, Guglielmo Maria; … - 2009

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission mechanism during turbulences in mature markets, and examines the implications for conditional correlations between mature and emerging market returns. Tri-variate GARCH-BEKK...

Persistent link: https://www.econbiz.de/10011605159

Measuring financial asset return and volatility spillovers, with application to global equity markets

Diebold, Francis X.; Yilmaz, Kamil - 2007

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...

Persistent link: https://www.econbiz.de/10010298351

Measuring financial asset return and volatilty spillovers, with application to global equity markets

Diebold, Francis X.; Yilmaz, Kamil - 2008

Persistent link: https://www.econbiz.de/10010303681

Cross-border bank contagion in Europe

Gropp, Reint E.; Lo Duca, Marco; Vesala, Jukka - 2006

This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a … bank. We find evidence in favour of significant cross-border contagion. We also find some evidence that since the … introduction of the euro cross-border contagion may have increased. The results seem to be very robust to changes in the …

Persistent link: https://www.econbiz.de/10011604708

Financial integration of new EU Member States

Cappiello, Lorenzo; Gérard, Bruno; Kadareja, Arjan; … - 2006

This study assesses the degree of financial integration for a selected number of new EU member states between themselves and with the euro zone. Within the framework of a factor model for market returns, we measure integration as the amount of variance explained by the common factor relative to...

Persistent link: https://www.econbiz.de/10011604729

Financial market integration under EMU

Jappelli, Tullio; Pagano, Marco - 2008

The single most important policy-induced innovation in the international financial system since the collapse of the Bretton-Woods regime is the institution of the European Monetary Union. This paper provides an account of how the process of financial integration has promoted financial...

Persistent link: https://www.econbiz.de/10010303699

The impact of the euro on equity markets: a country and sector decomposition

Cappiello, Lorenzo; Kadareja, Arjan; Manganelli, Simone - 2008

This paper investigates whether comovements between euro area equity returns at national and industry level have changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the degree of comovements among euro area national equity...

Persistent link: https://www.econbiz.de/10011604952

Washington meets Wall Street: A closer examination of the presidential cycle puzzle

Kräussl, Roman; Lucas, André; Rijsbergen, David R.; … - 2010

We show that average excess returns during the last two years of the presidential cycle are significantly higher than during the first two years: 9.8 percent over the period 1948 2008. This pattern in returns cannot be explained by business-cycle variables capturing time-varying risk premia,...

Persistent link: https://www.econbiz.de/10010303695

On the correlation structure of microstructure noise in theory and practice

Diebold, Francis X.; Strasser, Georg H. - 2008

We argue for incorporating the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise,...

Persistent link: https://www.econbiz.de/10010303673

The impact of the euro on financial markets

Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006

We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...

Persistent link: https://www.econbiz.de/10011604644