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Networks in risk spillovers : a multivariate GARCH perspective

Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo - 2018

We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on … isolate risk channels and we discuss how to compute target exposure able to reduce system variance. An empirical analysis on … Euro-area cross-country holdings shows that Italy and Ireland are key players in spreading risk, France and Portugal are …

Persistent link: https://www.econbiz.de/10011892696

The impact of network connectivity on factor exposures, asset pricing and portfolio diversification

Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - 2017 - This version: October 2016

of the causes of systematic risk and shows that (i) network exposures act as an inflating factor for systematic exposure …

Persistent link: https://www.econbiz.de/10011598385

OTC discount

Roure, Calebe de; Mönch, Emanuel; Pelizzon, Loriana; … - 2021

We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable compared to exchange quotes. This is a challenge for theories of OTC markets centered around...

Persistent link: https://www.econbiz.de/10012643895

OTC discount

Roure, Calebe de; Mönch, Emanuel; Pelizzon, Loriana; … - 2020

We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable with respect to exchange quotes. This is a challenge for theories of OTC markets centered around search...

Persistent link: https://www.econbiz.de/10012387914

Paying for market liquidity : competition and incentives

Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2019

Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE Euronext Paris, we show that an exogenous increase in competition among DMMs leads to a significant decrease in quoted and effective spreads, mainly through a reduction in...

Persistent link: https://www.econbiz.de/10011987269

Global realignment in financial market dynamics : evidence from ETF networks

Billio, Monica; Lo, Andrew W.; Pelizzon, Loriana; … - 2021

The centrality of the United States in the global financial system is taken for granted, but its response to recent political and epidemiological events has suggested that China now holds a comparable position. Using minute-by-minute data from 2012 to 2020 on the financial performance of twelve...

Persistent link: https://www.econbiz.de/10012424605

A modern take on market efficiency : the impact of Trump's tweets on financial markets

Abdi, Farshid; Kormanyos, Emily; Pelizzon, Loriana; … - 2021

We focus on the role of social media as a high-frequency, unfiltered mass information transmission channel and how its use for government communication affects the aggregate stock markets. To measure this effect, we concentrate on one of the most prominent Twitter users, the 45th President of...

Persistent link: https://www.econbiz.de/10012508898

Global realignment in financial market dynamics: evidence from ETF networks

Billio, Monica; Lo, Andrew W.; Pelizzon, Loriana; … - 2021

Persistent link: https://www.econbiz.de/10013210172

Do designated market makers provide liquidity during a flash crash?

Bellia, Mario; Christensen, Kim; Kolokolov, Aleksey; … - 2022

We show that (electronic) designated market makers are not necessarily beneficial to the stock market during ash crashes. They actually consume liquidity when it is most needed, even if they are rewarded by the exchange to provide immediacy. This behavior exacerbates the transient price impact,...

Persistent link: https://www.econbiz.de/10013545958

Girardi, Giulio; Hanley, Kathleen Weiss; Nikolova, … - 2018

risk transmission. …

Persistent link: https://www.econbiz.de/10011892692