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Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates
Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2011
behavior of each component of total risk, in their correlation patterns and thus in their contribution to aggregate risk …
Persistent link: https://www.econbiz.de/10011261127
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Integration and contagion in US housing markets
Cotter, John; Gabriel, Stuart; Roll, Richard - Volkswirtschaftliche Fakultät, … - 2011
This paper explores integration and contagion among US metropolitan housing markets. The analysis applies Federal Housing Finance Agency (FHFA) house price repeat sales indexes from 384 metropolitan areas to estimate a multi-factor model of U.S. housing market integration. It then identifies...
Persistent link: https://www.econbiz.de/10009367964
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Forgive, or Award, Your Debtor? - A Barrier Option Approach
Sun, David; Chow, Da-Ching - Volkswirtschaftliche Fakultät, … - 2014
We introduced in this study a model of sovereign debt with an embedded Down-and-In Put (DIP) to capture the discontinuity in sovereign debt pricing. This study suggests that debt forgiveness is a more effective solution in debt crisis, as repayment bonus or award or capital market exclusion...
Persistent link: https://www.econbiz.de/10011260952
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‘The Greatest Bubble in History’: Stock Prices during the British Railway Mania
Campbell, Gareth; Turner, John - Volkswirtschaftliche Fakultät, … - 2010
Although the British Railway Mania has been described as one of the greatest bubbles in history, it has been largely neglected by academics. This paper attempts to redress this neglect by creating a daily stock price index for the 1843-50 period and by assessing the contribution of the many...
Persistent link: https://www.econbiz.de/10008543794
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Terrorism and Stock Market Linkages: An Empirical Study from Pakistan
Arif, Imtiaz; Suleman, Tahir - Volkswirtschaftliche Fakultät, … - 2014
This paper investigated the impact of prolonged terrorist activities on stock prices of different sectors listed in Karachi Stock Exchange by using newly developed terrorism impact factor index with lingering effect (TIFL) and monthly time series data from 2002(Jan) to 2011(Dec). Johansen and...
Persistent link: https://www.econbiz.de/10011112143
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Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis
Antonakakis, Nikolaos; Vergos, Konstantinos - Volkswirtschaftliche Fakultät, … - 2012
In this paper we examine the linkages of government bond yield spreads (BYS) between Euro zone countries over the period March 3, 2007 - June 18, 2012, thus considering the intriguing features of BYS spillovers during the global financial and the Euro zone debt crisis. Splitting our sample to...
Persistent link: https://www.econbiz.de/10011114510
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Cross-Section of a ‘Bubble’: Stock Prices and Dividends during the British Railway Mania
Campbell, Gareth - Volkswirtschaftliche Fakultät, … - 2010
Historical ‘bubbles’ are often attributed to mispricing, but the empirical analysis of such episodes has been limited. This paper examines a notable but academically neglected period, known as the British Railway Mania, using a new dataset and a cross-sectional methodology which is unique to...
Persistent link: https://www.econbiz.de/10008560080
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Volatility and causality study of the daily returns on the Bucharest Stock Exchange during 2007-2011
Panait, Iulian; Slavescu, Ecaterina Oana - Volkswirtschaftliche Fakultät, … - 2011
Exchange during 2007-2011 in two separate periods (during the 2007-2009 crisis and after the crisis), using correlation … theory, showing that there was a high degree of correlation between the Romanian stock market and international markets … during the 2007-2009, but afterwards the intensity of this correlation slightly declined. Another conclusion was that during …
Persistent link: https://www.econbiz.de/10011107424
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The performance of commercial banks and the determinants of profitability: Evidence from Kosovo
Govori, Fadil - Volkswirtschaftliche Fakultät, … - 2013
Financial intermediaries perform indirect financing, and in this context, commercial banks are very important participants. They carry out the bulk of indirect financing transactions. On the other hand, the implementation mechanism of monetary policy is closely linked to the functioning of the...
Persistent link: https://www.econbiz.de/10011260910
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Las crisis bursátiles en España y su comparación con otros mercados internacionales: Análisis de sus principales características
Torre-Gallegos, Antonio de la; Bellini, Edith - Volkswirtschaftliche Fakultät, … - 2009
market analysis allows us to see the degree of correlation between these crises. …
Persistent link: https://www.econbiz.de/10008694036