This paper examines the problem of information asymmetry between foreign, local, institutional and individual investors on the Bucharest Stock Exchange (BVB) for the period 2004-2011. Using monthly returns for individual companies listed on BVB, stock market indices during the seven years...

I consider extreme returns for the stock and bond markets of 14 EU countries using two classification schemes: One, the univariate classification scheme from the previous literature that classifies extreme returns for each market separately. Two, a novel multivariate classification scheme that...

The goal of this paper is to recognize the dynamics of financial integration across the European stock markets over the last two decades. We investigate two groups of markets: (1) three developed European markets in the U.K., France, and Germany; and (2) three emerging Central and Eastern...

How relevant is the conflict of interests for a Stock Exchange owned by financial intermediaries that are also clients of the securities market? In order to study this double linkage, activities done as owners are compared with actions carried out as clients of the Stock Exchange. Results show...

Adverse shocks to stock markets propagate across the world, with a jump in one region of the worldseemingly causing an increase in the likelihood of a different jump in another region of the world.To capture this effect mathematically, we introduce a model for asset return dynamics with a...

In the light of the global financial crisis and sovereign debt crisis, this paper investigates the dependence patterns in 24 European equity markets from January 5, 2004 to July 1, 2016. We further examine whether these stressful events trigger contagion. Given that investors tend to behave...