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Financial and Macroeconomic Implications : Stock Market Liberalizations

Funke, Norbert - 2021

Using a panel of 27 countries, we analyze the effects of stock market liberalization on financial and macroeconomic development. We find that liberalization is associated with a short-term increase in real private investment growth of about 14 percentage points cumulatively in the four years...

Persistent link: https://www.econbiz.de/10013211945

Oil Prices and GCC Stock Markets : New Evidence from Smooth Transition Models

Ben Cheikh, Nidhaleddine - 2018

Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...

Persistent link: https://www.econbiz.de/10012913874

COVID-19 Containment Measures and Expected Stock Volatility : High-Frequency Evidence from Selected Advanced Economies

Acharya, Viral V.; Liu, Yang; Zhao, Yunhui - 2022

We study the effect of COVID-19 containment measures on expected stock price volatility in some advanced economies …-month-ahead volatility indices dropped following announcements of initial or re-imposed lockdowns, and that they did not drop significantly … following the easing of lockdowns. Such patterns are not as strong for three-month-ahead expected volatility and generally …

Persistent link: https://www.econbiz.de/10013300017

The Stabilizing Role of Net Foreign Asset Returns

Adler, Gustavo - 2018

With the rapid growth of countries' foreign asset and liability positions over the last two decades,financial returns on those positions ('NFA returns') have become material drivers of current accounts and net stock positions. This paper documents the relative importance of NFA return versus...

Persistent link: https://www.econbiz.de/10012918561

Hang in There : Stock Market Reactions to Withdrawals of COVID-19 Stimulus Measures

Chan-Lau, Jorge A.; Zhao, Yunhui - 2021

The COVID-19 pandemic prompted unprecedented economic stimulus worldwide. We empirically examine the impact of a withdrawal of fiscal stimulus policies on the stock markets. After constructing a database of withdrawal events, we use event study analysis and cross-country regressions to assess...

Persistent link: https://www.econbiz.de/10013250077

Does the Clarity of Inflation Reports Affect Volatility in Financial Markets?

Bulíř, Aleš - 2014

We study whether clarity of central bank inflation reports affects return volatility in financial markets. We measure … relationship between clarity and market volatility prior to and during the early stage of the global financial crisis. As the …

Persistent link: https://www.econbiz.de/10013045263

Geopolitical Risk on Stock Returns : Evidence from Inter-Korea Geopolitics

Jung, SeungHo; Lee, Jongmin; Lee, Seohyun - 2022

We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed...

Persistent link: https://www.econbiz.de/10013306737

A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns

Brooks, Robin; Del Negro, Marco - 2021

We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by...

Persistent link: https://www.econbiz.de/10013318071

Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand

Gyntelberg, Jacob - 2012

We present empirical evidence that the Thai baht's value is driven in part by investors' cross-border equity portfolio rebalancing decisions. Our results are based on comprehensive datasets of FX and stock market transactions undertaken by nonresident investors in Thailand in 2005 and 2006....

Persistent link: https://www.econbiz.de/10013098595

Revisiting the Link between Finance and Macroeconomic Volatility

Dabla-Norris, Era - 2013

This paper examines the impact of financial depth on macroeconomic volatility using a dynamic panel analysis for 110 … advanced and developing countries. We find that financial depth plays a significant role in dampening the volatility of output … economies, financial depth amplifies consumption and investment volatility. We also find strong evidence that deeper financial …

Persistent link: https://www.econbiz.de/10013086316