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Leading indicators of systemic banking crises: Finland in a panel of EU countries

Lainà, Patrizio; Nyholm, Juho; Sarlin, Peter - In: Review of Financial Economics 24 (2015) C, pp. 18-35

This paper investigates leading indicators of systemic banking crises in a panel of 11 EU countries, with a particular focus on Finland. We use quarterly data from 1980Q1 to 2013Q2, in order to create a large number of macro-financial indicators, as well as their various transformations. We make...

Persistent link: https://www.econbiz.de/10011209758

The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization

Nitschka, Thomas - In: Review of Financial Economics 22 (2013) 3, pp. 118-124

In the period from 1880 to 1913, time-varying German and British stock market returns are related to business cycle variables such as the deviation of industrial production from trend. Common British and German business cycle dynamics Granger cause stock returns and explain more than 20% of time...

Persistent link: https://www.econbiz.de/10010875042

Sovereign asset values and implications for the credit market

Kalteier, Eva-Maria; Posch, Peter N. - In: Review of Financial Economics 22 (2013) 2, pp. 53-60

Using the contingent claim approach and market data on sovereign credit default swaps we assess the drivers of a country's risk perception. Deriving market-based asset values for a set of advanced economies we gain insights into the capital markets' perspectives on sovereign creditworthiness. We...

Persistent link: https://www.econbiz.de/10010875051

Cross-market spillovers with ‘volatility surprise’

Aboura, Sofiane; Chevallier, Julien - In: Review of Financial Economics 23 (2014) 4, pp. 194-207

This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...

Persistent link: https://www.econbiz.de/10011077890

Financial crisis and extreme market risks: Evidence from Europe

Orlowski, Lucjan T. - In: Review of Financial Economics 21 (2012) 3, pp. 120-130

This study draws attention to the proliferation of extreme risks in financial markets prior to and during the course of the recent global financial crisis. It examines the level of such “tail” risks in selected equity, interbank lending and foreign exchange markets in selected EU Member...

Persistent link: https://www.econbiz.de/10011064879

The high returns to low volatility stocks are actually a premium on high quality firms

Walkshäusl, Christian - In: Review of Financial Economics 22 (2013) 4, pp. 180-186

Recent empirical research shows that low volatility stocks outperform high volatility stocks around the world. This study documents that the volatility effect is associated with the quality of the firm using a large sample of international stocks. First, adding a quality factor to the...

Persistent link: https://www.econbiz.de/10011064883

Islamic investing

Walkshäusl, Christian; Lobe, Sebastian - In: Review of Financial Economics 21 (2012) 2, pp. 53-62

Using a large international sample of 35 developed and emerging markets, we analyze whether Islamic indices exhibit a different performance to conventional benchmarks. While there is no compelling evidence of performance differences in robust Sharpe ratio tests and after controlling for market...

Persistent link: https://www.econbiz.de/10011064885

Asset allocation in markets with contagion: The interplay between volatilities, jump intensities, and correlations

Konermann, Patrick; Meinerding, Christoph; Sedova, Olga - In: Review of Financial Economics 22 (2013) 1, pp. 36-46

We study the impact of financial contagion on the dynamic asset allocation problem of a CRRA investor facing an …, diffusion volatilities and diffusion correlations. The key model feature that a switch to the bad contagion regime is triggered … by a loss in one of the risky assets allows for the implementation of a hedging demand against contagion risk. Moreover …

Persistent link: https://www.econbiz.de/10010608629

The effect of banking market structure on the lending channel: Evidence from emerging markets

Amidu, Mohammed; Wolfe, Simon - In: Review of Financial Economics 22 (2013) 4, pp. 146-157

This paper analyses the extent to which the level of bank competition influences monetary policy transmission. Using a large panel dataset of 978 banks from 55 countries, and employing the Lerner index model as a measure of market structure, our results show that an increase in banking sector...

Persistent link: https://www.econbiz.de/10010875044

The Profitability of Technical Stock Trading Has Moved from Daily To Intraday Data

Schulmeister, Stephan - 2021

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2580 technical models has steadily declined since 1960, and has been unprofitable since .the early 1990s....

Persistent link: https://www.econbiz.de/10013226778