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Volatility Linkage of Nominal and Index-linked Bond Returns: A Multivariate BEKK-GARCH Approach

Benlagha, Noureddine - In: Review of Economics & Finance 4 (2014) November, pp. 49-60

This paper investigates the behavior of volatility linkage between nominal and indexlinked bond returns using a …-linked bond returns is strongly significant and is mostly due to the liquidity risk. Second, the co-persistence in volatility …

Persistent link: https://www.econbiz.de/10011096968

Volatility transmission and herding contagion during the global financial crisis

Abbes, Mouna Boujelbène - In: International Journal of Managerial and Financial Accounting 5 (2013) 2, pp. 138-161

the volatility of US stock market during the subprime crisis is significantly transmitted to Asian and European financial … markets. Moreover, UK and Swiss financial markets present an important role in emitting volatility to Asian markets. In …. All residuals showed enhanced volatility during the financial crisis period of mid 2007-2008. Moreover, the cross …

Persistent link: https://www.econbiz.de/10010754852

Inflation protection bonds : understanding structure and implementing strategies

Brynjolfsson, John B.; Faillace, Anthony L. - 1997

Persistent link: https://www.econbiz.de/10004328906

Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets

Schlogl, Erik; Chang, Yang - Finance Discipline Group, Business School - 2012

This study empirically examines the effect of foreign exchange (FX) market liquidity risk and volatility on the excess … - violations of no arbitrage bounds in the forward and currency swap markets. We also use volatility smile data to capture FX …-market specific volatility. The sample data cover periods both before and after the Global Financial Crisis (GFC). Both proxies are …

Persistent link: https://www.econbiz.de/10010643372

Systematic liquidity risk and asset pricing: evidence from London Stock Exchange

Mazouz, Khelifa; Alrabadi, Dima W.H.; Freeman, Mark; … - In: International Journal of Banking, Accounting and Finance 2 (2010) 4, pp. 387-403

This study examines whether systematic liquidity risk is priced on the London Stock Exchange (LSE). We use the proportional quoted bid-ask spread, Amihud's (2002) market illiquidity ratio, and turnover rate as liquidity proxies. In contrast to the US studies, we do not find evidence that...

Persistent link: https://www.econbiz.de/10009352871