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Macro News and Stock Returns in the Euro Area : A VAR-GARCH-in-Mean Analysis

Caporale, Guglielmo Maria - 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 estimation...

Persistent link: https://www.econbiz.de/10013050104

Macro News and Bond Yield Spreads in the Euro Area

Caporale, Guglielmo Maria - 2014

This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for...

Persistent link: https://www.econbiz.de/10013046450

Testing for Convergence in Stock Markets : A Non-Linear Factor Approach

Caporale, Guglielmo Maria - 2009

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset … sectoral indices we find convergence in the middle of the sample period, followed by divergence, and detect four (two large and … two small) clusters. The analysis at a disaggregate, industry level again points to convergence in the middle of the …

Persistent link: https://www.econbiz.de/10013155201