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Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 2009
tend to be unchanged or lower during turbulences. -- Volatility spillovers ; Contagion ; Stock markets ; Emerging markets …
Persistent link: https://www.econbiz.de/10003963822
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Volatility Spillovers and Contagion From Mature to Emerging Stock Markets
Caporale, Guglielmo Maria - 2008
transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature …
Persistent link: https://www.econbiz.de/10014401286
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Competition among high-frequency traders, and market quality
Breckenfelder, Johannes - 2019
We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...
Persistent link: https://www.econbiz.de/10012016546
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Spillovers to Emerging Equity Markets : An Econometric Assessment
Sun, Tao - 2009
This paper shows that emerging market equity prices are influenced by growing global factors, and therefore global factors constitute a significant channel for spillovers when the international economic environment changes. Strengthening their resilience to equity price declines remains an...
Persistent link: https://www.econbiz.de/10014403186
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Financial Spillovers to Emerging Markets During the Global Financial Crisis
Frank, Nathaniel - 2009
In this paper potential financial linkages between liquidity and bank solvency measures in advanced economies and emerging market (EM) bond and stock markets are analyzedduring the latest crisis. A multivariate GARCH model is estimated in order to gauge the extent of co-movements of these...
Persistent link: https://www.econbiz.de/10014403188
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Large global volatility shocks, equity markets and globalisation : 1885 - 2011
Mehl, Arnaud - 2013
Persistent link: https://www.econbiz.de/10009766418
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Global crises and equity market contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel - 2011
unexplained increases in factor loadings as indicative of contagion. We find evidence of systematic contagion from US markets and … contagion from domestic equity markets to individual domestic equity portfolios, with its severity inversely related to the …. - Contagion ; financial crisis ; equity markets ; global transmission ; market integration ; country risk ; factor model …
Persistent link: https://www.econbiz.de/10009380410
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Stock market firm-level information and real economic activity
Di Mauro, Filippo; Fornari, Fabio; Mannucci, Dario - 2011
We provide evidence that changes in the equity price and volatility of individual firms (measures that approximate the definition of 'granular shock' given in Gabaix, 2010) are key to improve the predictability of aggregate business cycle fluctuations in a number of countries. Specifically,...
Persistent link: https://www.econbiz.de/10009354657
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The certification role of the EU-wide stress testing exercises in the stock market : what can we learn from the stress tests (2014-2021)?
Durrani, Agha; Ongena, Steven; Marques, Aurea Ponte - 2022
What is the impact of stress tests on bank stock prices? To answer this question we study the impact of the publication of the EU-wide stress tests in 2014, 2016, 2018, and 2021 on the first (λ) and second (δ) moment of equity returns. First, we study the effect of the disclosure of stress...
Persistent link: https://www.econbiz.de/10013342212
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Pricing protest : the response of financial markets to social unrest
Barrett, Philip; Bondar, Mariia; Chen, Sophia; … - 2021
Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative abnormal returns over a two-week event window....
Persistent link: https://www.econbiz.de/10012518928