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Time-varying stock return correlation, news shocks, and business cycles
Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022
innovation to stock return correlation in a vector autoregression are nearly identical to those of a news shock about future … productivity. Thus, market-wide changes in return correlation contain information about changes in future technological …
Persistent link: https://www.econbiz.de/10014227600
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Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …
Persistent link: https://www.econbiz.de/10011663407
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Procyclical asset management and bond risk premia
Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2020
Institutional funds have concentrated ownership by a few institutional investors, infrequent outflows and essentially no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading behavior is strongly procyclical: they actively move into...
Persistent link: https://www.econbiz.de/10012250652
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Who trades on momentum?
Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2014
Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...
Persistent link: https://www.econbiz.de/10010471006
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Investment opportunities in Central and Eastern European equity markets : an econometric examination of the risk-return relationships for Western investors
Schröder, Michael - 2000
This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...
Persistent link: https://www.econbiz.de/10013428350
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Asymmetric volatility clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets
Balaban, Ercan; Bayar, Aslı; Kan, Özgür Berk - 1999
Persistent link: https://www.econbiz.de/10001399859
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What triggers stock market jumps?
Baker, Scott; Bloom, Nicholas; Davis, Steven J.; … - 2021
Persistent link: https://www.econbiz.de/10012614411
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Oil price shocks and stock return volatility : new evidence based on volatility impulse response analysis
Eraslan, Sercan; Ali, Faek Menla - 2018
We use volatility impulse response analysis estimated from the bivariate GARCH-BEKK model to quantify the size and the … persistence of different types of oil price shocks on stock return volatility and the covariance between oil price changes and …
Persistent link: https://www.econbiz.de/10011903691
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Identifying time variability in stock and interest rate dependence
Stein, Michael; Islami, Mevlud; Lindemann, Jens - 2012
-varying correlation ; regime transition ; multivariate GARCH ; smooth transition ; cross-asset correlation ; non-linear estimation …The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with … which allow for time-variability and regime changes in correlation. All estimated models allowing for timevarying …
Persistent link: https://www.econbiz.de/10009625556
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The economic effects of Brexit : evidence from the stock market
Breinlich, Holger; Leromain, Elsa; Novy, Dennis; … - 2018
Persistent link: https://www.econbiz.de/10011928024