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The Impact of Market Fragmentation on the Liquidity of European Stock Exchanges
Fioravanti, Simone Francesco - 2013
Exchanges and shows that competition among exchange platforms does not have a negative effect on the level of liquidity of …
Persistent link: https://www.econbiz.de/10013089059
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The pricing of sentiment risk in European stock markets
Keiber, Karl Ludwig; Samyschew, Helene - 2016
This paper studies whether sentiment is rewarded with a significant risk premium on the European stock markets. We examine several sentiment proxies and identify the Economic Sentiment Indicator (ESI) from the EU Commission as the most relevant sentiment proxy for our sample. The analysis is...
Persistent link: https://www.econbiz.de/10011491776
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Discovering and disentangling effects of US macro-announcements in European stock markets
Rühl, Tobias R.; Stein, Michael - 2014
generell wichtiger für den Europäischen Aktienmarkt sind als andere, und dass die Richtung der neuen Informationen in den …
Persistent link: https://www.econbiz.de/10010399276
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The cross-section of conditional mutual fund performance in European stock markets
Banegas, Ayelen; Gillen, Ben; Timmermann, Allan; … - 2012 - This version: 12 June 2012
This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro-variables are useful in locating funds with future outperformance, and that countryspecific mutual funds provide...
Persistent link: https://www.econbiz.de/10009705491
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Dependence between Croatian and European Stock Markets – A Copula GARCH Approach
Dajčman, Silvo - 2013
The objective of this paper is to analyze dependence structure between the returns of Croatian and five European stock markets (Austrian, French, German, Italian, and the U.K.'s). We propose a copula GARCH approach, where the return series are modeled as univariate GARCH processes and the...
Persistent link: https://www.econbiz.de/10013071482
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The Effects of the COVID-19 Pandemic on Stock Markets, CDS and Economic Activity : Time-Varying Evidence from the US and Europe
Caporale, Guglielmo Maria; Catik, Abdurrahman Nazif; … - 2021
This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the dates from the first confirmed COVID-19 cases in...
Persistent link: https://www.econbiz.de/10013211119
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What Drives Tail Risk in Aggregate European Equity Markets?
Kinateder, Harald - 2015
The paper aims to analyse the drivers of changes in European equity tail risk. For this purpose, the paper uses a panel data model with fixed effects based on five explanatory variables including the VIX, the variance risk premium (VRP), the one-year lagged slope of the riskless term-structure,...
Persistent link: https://www.econbiz.de/10013017108
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The Cross-Section of Conditional Mutual Fund Performance in European Stock Markets
Banegas, Ayelen - 2012
This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro variables are useful in locating funds with future outperformance, and that country-specific mutual funds...
Persistent link: https://www.econbiz.de/10013115042
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Liquidity in the German stock market
Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - 2019
This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the … evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We … make use of a new publicly available dataset, the Market Microstructure Database Xetra (MMDB-Xetra). We find that liquidity …
Persistent link: https://www.econbiz.de/10012020325
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Liquidity-adjusted CAPM : an empirical analysis on Indian stock market
Kumar, Gaurav; Misra, Arun Kumar - In: Cogent economics & finance 7 (2019) 1, pp. 1-15
This article examines the impact of various sources of systematic liquidity risk and idiosyncratic liquidity risk on … expected returns in the Indian stock market. The study tested the liquidity-adjusted capital asset pricing model (LCAPM) which … is previously tested on developed markets. Systematic liquidity risk is found to be significant in impacting asset …
Persistent link: https://www.econbiz.de/10012023356