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Stock market integration: Malaysia and its major trading partners
Abdul Karim, Zulkefly; Abdul Karim, Bakri - Volkswirtschaftliche Fakultät, … - 2008
(1988) and Johansen and Juselius (1990) cointegration tests and VECM approach in investigating the dynamic linkages between …
Persistent link: https://www.econbiz.de/10008740571
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Structural changes and deviations from the PPP within the Euro Area
Antonucci, Daniele; Girardi, Alessandro - Istituto Nazionale di Statistica (ISTAT) - 2005
This paper focuses on macroeconomic interdependencies among the euro area member countries over the period 1984 … vector error correction models with broken deterministic components. The euro area turns out to be an integrated entity, even … if national economies still exhibit a certain degree of heterogeneity. The results also suggest that up to now the “euro …
Persistent link: https://www.econbiz.de/10005405101
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The Comovement of Us and German Bond Markets
Engsted, Tom - 2005
We use a vector-autoregression, with parameter estimates corrected for small-sample bias, to decompose US and German unexpected bond returns into three 'news' components: news about future inflation, news about future real interest rates, and news about future excess bond returns (term premia)....
Persistent link: https://www.econbiz.de/10012736919
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AN EMPIRICAL ANALYSIS ON THE INTEGRATION OF THE STOCK EXCHANGES OF THE ISE WITH THOSE OF EUROPEAN UNION MEDITERRANEAN COUNTRIES
Ibicioglu, Mustafa; Kapusuzoglu, Ayhan - In: Anadolu University Journal of Social Sciences 11 (2011) 3, pp. 85-102
data, the study found that there is a cointegration relationship among the stock markets of all countries as analyzed by … Johansen cointegration test; in other words, there exists a long-term relation among them. The results of Granger causality …
Persistent link: https://www.econbiz.de/10009353584
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Multi-Level Analysis of Dynamic Portfolio Formations: Central European Countries
Princ, Michael - Institut ekonomických studií, Univerzita Karlova v Praze - 2013
The paper focused on measuring efficiency of investment strategies and portfolio optimization based on dynamic portfolio formation using the global minimum variance approach in a region of central European countries. The paper analyses DCC GARCH model, which was employed in order to obtain...
Persistent link: https://www.econbiz.de/10010691098
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European Financial Markets After EMU: A First Assessment
Danthine, Jean-Pierre; Giavazzi, Francesco; von … - C.E.P.R. Discussion Papers - 2000
This paper reviews the first evidence on the impact of European Monetary Union on European capital markets, one year after the launch of the single currency. Our assessment of this evidence is very favourable. On almost all counts EMU has either already drastically changed the European financial...
Persistent link: https://www.econbiz.de/10005124263
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The role of the euro on the corporate bond markets in the Euro Area
de Bondt, Gabe - In: Journal of Financial Transformation 19 (2007), pp. 14-19
The euro has played an important catalysing role for the deepening and broadening of the corporate bond markets in the … euro area. The most remarkable market growth has been recorded for bonds issued by euro area non-bank financials …, reflecting increasing securitisations. The euro has had a direct impact on it according to empirical estimates. The euro also has …
Persistent link: https://www.econbiz.de/10004985644
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The strategy adopted by Romania EURO
Duduiala-Popescu, Lorena - Volkswirtschaftliche Fakultät, … - 2009
reference currency is Euro, not U.S. dollars. The new currency will be a factor of stability which will reduce a lot of trading … losses due to local fluctuations of the dollar against euro. From 1 January 2003, the currency has been established in … relation to EURO. …
Persistent link: https://www.econbiz.de/10005619508
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Deciphering financial contagion in the euro area during the crisis
Tola, Albi; Wälti, Sébastien - Volkswirtschaftliche Fakultät, … - 2012
Financial market interdependence has been at the epicenter of the crisis in the euro area. This paper tests for the … euro area shocks from country-specific shocks. Financial contagion has been widespread during the crisis in the euro area … between the core and the periphery of the euro area. Global and euro area shocks have been important drivers of sovereign bond …
Persistent link: https://www.econbiz.de/10011114307
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Deciphering financial contagion in the euro area during the crisis
Tola, Albi; Wälti, Sébastien - In: The Quarterly Review of Economics and Finance 55 (2015) C, pp. 108-123
Financial market interdependence has been at the epicenter of the crisis in the euro area. This paper tests for the … the standard contagion test of Favero and Giavazzi (2002) with a narrative approach to separate out global and euro area … shocks from country-specific shocks. Financial contagion has been widespread during the crisis in the euro area. Three …
Persistent link: https://www.econbiz.de/10011193779