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Transmission of Volatility Between Stock Markets

King, Mervyn A. - 1989

This paper investigates why, in October 1987, almost all stock markets fell together despite widely differing economic circumstances. The idea is that "contagion" between markets occurs as the result of attempts by rational agents to infer information from price changes in other markets. This...

Persistent link: https://www.econbiz.de/10012476144

Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets

Ito, Takatoshi - 1993

This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the U.S. and Japanese stock markets by using intradaily data from October 1985 to December 1991. By examining the effect of foreign price volatility and trading volume on...

Persistent link: https://www.econbiz.de/10012474348

Stock Volatility During the Recent Financial Crisis

Schwert, G. William - 2011

Kingdom and Japan reinforces the notion that the volatility seen in the 2008 crisis was relatively short-lived. While there is …

Persistent link: https://www.econbiz.de/10012461682

Asymmetric Volatility and Risk in Equity Markets

Bekaert, Geert - 1997

It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level and to examine two potential explanations of the...

Persistent link: https://www.econbiz.de/10012472796

Alternative Models For Conditional Stock Volatility

Pagan, Adrian R. - 1989

This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834-19:5 because the post-1926 data have been analyzed in more detail by others. Also, the Great Depression had levels of stock volatility that are inconsistent with stationary...

Persistent link: https://www.econbiz.de/10012476093

Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets

Froot, Kenneth A. - 1987

Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...

Persistent link: https://www.econbiz.de/10012476706

COVID-19 and SME Failures

Gourinchas, Pierre-Olivier - 2020

We estimate the impact of the COVID-19 crisis on business failures among small and medium size enterprises (SMEs) in seventeen countries using a large representative firm-level database. We use a simple model of firm cost-minimization and measure each firm's liquidity shortfall during and after...

Persistent link: https://www.econbiz.de/10012481180

Productivity Growth and Levels in France, Japan, the United Kingdom and the United States in the Twentieth Century

Cette, Gilbert - 2009

Japan (30%), while TFP levels are very close in France, the United Kingdom and the United States, but much lower (40%) in … to France and Japan, a relative decline that was interrupted by the second world war (WW2); (iii) the remarkable catching …-up to the United States by France and Japan after WW2, that stopped in the case of Japan during the 1990s …

Persistent link: https://www.econbiz.de/10012463072

Global Yield Curve Dynamics and Interactions : A Dynamic Nelson-Siegel Approach

Diebold, Francis X. - 2007

-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U …

Persistent link: https://www.econbiz.de/10012465058

The Global History of Corporate Governance : An Introduction

Morck, Randall K. - 2005

This paper presents a synopsis of recent NBER studies of the history of corporate governance in Canada, China, France …, Germany, Japan, India, Italy, the Netherlands, Sweden, the United Kingdom, and the United States. Together, the studies …

Persistent link: https://www.econbiz.de/10012467625

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