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African stock market performance dynamics : a multidimensional convergence assessment

Asongu, Simplice A. - 2012

This paper dissects with great acuteness, the issues of convergence in financial performance dynamics in the African … (Christianity and Islam). Findings provide partial support for the existence of absolute convergence in some dynamics. Only sub …-Saharan Africa reveals conditional convergence in relation to per capita number of listed companies. The speed of convergence for the …

Persistent link: https://www.econbiz.de/10011410266

Cares Act and Foreclosure Moratorium on Housing Sector Stock Performance

Pendleton, Corey - 2023

Did the United States government distort efficient returns of the housing finance sector in response to the novel coronavirus (Covid-19) pandemic? This paper employs a Fama-French five-factor capital asset pricing model event study hybrid approach to investigate if the Coronavirus Aid, Relief,...

Persistent link: https://www.econbiz.de/10014353282

Financial cycles and co-movements between the real economy, finance and asset price dynamics in large-scale crises

Punzi, Maria Teresa - 2016

We empirically analyze asset price boom-bust cycles over a long-run period of 1896-2014 for the U.S., the Netherlands, Norway and Sweden. We focus on macro-financial linkages to understand if these are common phenomena during financial crises, or if the linkage was simply amplified during the...

Persistent link: https://www.econbiz.de/10011446571

The Impact of Government Intervention in Banks on Corporate Borrowers’ Stock Returns

Norden, Lars - 2017

Moving into and out of a financial and banking crisis is likely to be associated with spillover effects from the banking sector to the corporate sector. We investigate whether and how government interventions in the U.S. banking sector influence the stock market performance of corporate...

Persistent link: https://www.econbiz.de/10012975392

The Impact of Monetary Policy Announcements on the Volatility of Australian Banking Stock Prices

Atwood, Nathan J. - 2020

This paper examines the effects of monetary policy announcements, made by the Reserve Bank of Australia, on the stock price volatility of Australian commercial banks. The results suggest that the announcements of the new target cash rate increase the volatility of Australian banking stocks. In...

Persistent link: https://www.econbiz.de/10012835487

Frontiers of Macrofinancial Linkages

Claessens, Stijn - 2018

The Great Financial Crisis of 2007-09 confirmed the vital importance of advancing our understanding of macrofinancial linkages, the two-way interactions between the real economy and the financial sector. The crisis was a bitter reminder of how sharp fluctuations in asset prices, credit and...

Persistent link: https://www.econbiz.de/10012929483

Like a Moth to a Flame : Does the Stock Market Exacerbate Credit Risks of Peer-to-Peer (P2P) Lending?

Liu, Xin; Ni, Xiaoran; Qiu, Zhigang; Zhang, Kailun - 2021

In this paper, we establish a causal link between fluctuations in the stock market and credit risks from the P2P lending market, by exploring information of more than 450 thousand loans on Renrendai.com, a leading Chinese P2P crowd lending platform. Based on the fact that retail investors...

Persistent link: https://www.econbiz.de/10013210998

Optimizing stock market volatility predictions based on the SMVF-ANP approach

Guan, Zhigui; Zhao, Yuanjun - In: International review of economics & finance : IREF 95 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10015145227

Time and the price impact of a trade: A structural approach

Grammig, Joachim G.; Theissen, Erik; Wünsche, Oliver - 2011

We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework conclude that times when markets are most active...

Persistent link: https://www.econbiz.de/10010308551

Stock returns and implied volatility: A new VAR approach

Lee, Bong Soo; Ryu, Doojin - In: Economics: The Open-Access, Open-Assessment E-Journal 7 (2013) 2013-3, pp. 1-20

The authors re-examine the return-volatility relationship and its dynamics under a new vector autoregression (VAR) identification framework. By analyzing two model-free impliedvolatility indices - the well-established VIX (in the United States) and the recently published VKOSPI (in Korea) - and...

Persistent link: https://www.econbiz.de/10010311635