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Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, … - 2015

This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms, using bond yield spreads for the major eurozone countries. By emphasizing the use of two econometric approaches based on quantile regressions (standard quantile regression and...

Persistent link: https://www.econbiz.de/10010527396

Measuring sovereign contagion in Europe

Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, … - 2015

Persistent link: https://www.econbiz.de/10010527055

Who are the Bitcoin investors? Evidence from indirect cryptocurrency investments

Lammer, Dominique Marcel; Hanspal, Tobin; Hackethal, Andreas - 2020

Cryptocurrencies have received growing attention from individuals, the media, and regulators. However, little is known about the investors whom these financial instruments attract. Using administrative data, we describe the investment behavior of individuals who invest in cryptocurrencies with...

Persistent link: https://www.econbiz.de/10012218963

Do gamblers invest in lottery stocks?

Kormanyos, Emily; Hanspal, Tobin; Hackethal, Andreas - 2023

Previous studies document a relationship between gambling at the aggregate level and investments in securities with lottery-like features. We combine data on individual gambling consumption with portfolio holdings and trading records to examine whether gambling and trading act as substitutes or...

Persistent link: https://www.econbiz.de/10013549653

Which market integration measure?

Billio, Monica; Donadelli, Michael; Paradiso, Antonio; … - 2016

integration leads to declining international portfolio diversification benefits. Using monthly equity market data for three … international portfolio diversification benefits, we find that (i) all measures give rise to a very similar long-run integration … pattern; (ii) the standard correlation explains variations in diversification benefits as well or better than more …

Persistent link: https://www.econbiz.de/10011573162

Lighting up the dark: Liquidity in the German corporate bond market

Gündüz, Yalin; Ottonello, Giorgio; Pelizzon, Loriana; … - 2018

We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a corporate bond market without trade transparency (Germany), and comparing our findings to a market with full post-trade disclosure (the U.S.). We employ a unique regulatory...

Persistent link: https://www.econbiz.de/10011902293

Does monetary policy impact international market co-movements?

Caporin, Massimiliano; Pelizzon, Loriana; Plazzi, Alberto - 2020

We show that FED policy announcements lead to a significant increase in international comovements in the cross-section of equity and in particular sovereign CDS markets. The relaxation of unconventionary monetary policies is felt strongly by emerging markets, and by countries that are open to...

Persistent link: https://www.econbiz.de/10012215451

Machine learning sentiment analysis, Covid-19 news and stock market reactions

Costola, Michele; Nofer, Michael; Hinz, Oliver; … - 2020

The possibility to investigate the impact of news on stock prices has observed a strong evolution thanks to the recent use of natural language processing (NLP) in finance and economics. In this paper, we investigate COVID-19 news, elaborated with the "Natural Language Toolkit" that uses machine...

Persistent link: https://www.econbiz.de/10012271694

Price and liquidity discovery in European sovereign bonds and futures

Jappelli, Ruggero; Lucke, Konrad; Pelizzon, Loriana - 2022

This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek to understand the linkage between the cheapest to...

Persistent link: https://www.econbiz.de/10013202461

The core, the periphery, and the disaster: Corporate-sovereign nexus in COVID-19 times

Jappelli, Ruggero; Pelizzon, Loriana; Plazzi, Alberto - 2021

We show that the COVID-19 pandemic triggered a surge in the elasticity of non-financial corporate to sovereign credit default swaps in core EU countries, characterized by strong fiscal capacity. For peripheral countries with lower budgetary slackness, the pandemic had essentially no impact on...

Persistent link: https://www.econbiz.de/10012698033

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