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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 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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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 - 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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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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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 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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Linkages between Exchange Traded Funds and EU Stock Market Liquidity
Pedisic, Roko - 2019
The paper analyses the impact of Exchange Traded Funds (ETFs) on the liquidity of stock exchanges in the European Union …. The liquidity of stock exchanges is a complex phenomenon that is influenced by a number of economic and political factors …, and a number of models such as the average daily volumes have been developed to explain the aspect of liquidity. The paper …
Persistent link: https://www.econbiz.de/10012890210
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Liquidity commonality and high frequency trading : Evidence from the French stock market
Anagnostidis, Panagiotis - 2020
. Theory predicts this technological advantage should translate into market-wide liquidity co-variation, by transmitting … information-based liquidity shocks. Using a dataset of orders and trades from the French stock market, we investigate whether HFT … algorithms constitute a source of systematic liquidity risk. We demonstrate that, across securities, the liquidity offered by …
Persistent link: https://www.econbiz.de/10012852964
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Stock market returns and liquidity during the COVID-19 outbreak : evidence from the financial services sector in Vietnam
Cuong Thanh Nguyen; Phan Thanh Hai; Huyen Khanh Nguyen - In: Asian journal of economics and banking : AJEB 5 (2021) 3, pp. 324-342
measures on the stock returns and liquidity of Vietnam-listed companies in the financial services sector. Design … significant negative effects on the stock market returns and liquidity. Nevertheless, the Government’s imposition of lockdown … the stock returns and liquidity of Vietnam-listed companies in the financial services industry. …
Persistent link: https://www.econbiz.de/10012695222