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states, we also evaluate the impact of euro introduction and the European unification process on stock market integration. We …We analyse the determinants of stock market integration among EU member states for the period 19992007. First, we apply … model. By grouping the countries into euro area countries, "old" EU member states outside the euro area, and new EU member …
Persistent link: https://www.econbiz.de/10003888969
We analyse the determinants of stock market integration among EU member states for the period 1999–2007. First, we … OLS model. By grouping the countries into euro area countries, 'old' EU member states outside the euro area, and new EU … member states, we also evaluate the impact of euro introduction and the European unification process on stock market …
Persistent link: https://www.econbiz.de/10014206060
We analyze the determinants of stock market integration among EU member states for the period 1999–2007. First, we … OLS model. By grouping the countries into euro area countries, “old” EU member states outside the euro area, and new EU … member states, we also evaluate the impact of euro introduction and the European unification process on stock market …
Persistent link: https://www.econbiz.de/10013109295
We examine howthe verbal complexity of ECB communications affectsfi-nancial market trading based on high-frequency data fromEuropean stock index futures trading. Studying the 34 events between May 2009 and June 2017, during which the ECB Governing Council press conferences covered unconventional...
Persistent link: https://www.econbiz.de/10012111135
This paper studies the effects of FOMC communication on U.S. financial markets' returns and volatility using a GARCH …
Persistent link: https://www.econbiz.de/10010271166
This paper formally proves that Rigobon and Sack (2004)'s approach of identifying monetary policy shocks through heteroscedasticity can be extended to a multimarket and multicountry framework. Applying our multivariate framework allows deriving consistent estimators of monetary policy effects....
Persistent link: https://www.econbiz.de/10010286345
-term) bond and stock market returns using a GARCH model. Communications are rather uniformly distributed over the sample period …
Persistent link: https://www.econbiz.de/10010286348
We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 and December 2006 in the framework of Diagonal-BEKK models. Our research question is whether monetary policy action and communication by the Bank of Canada and the Federal...
Persistent link: https://www.econbiz.de/10010286380
Persistent link: https://www.econbiz.de/10011318410
Persistent link: https://www.econbiz.de/10009754633