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Cross-border sentiment : an empirical analysis on EU stock markets
Bai, Ye - In: Applied financial economics 24 (2014) 4/6, pp. 259-290
Persistent link: https://www.econbiz.de/10010399454
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Stock market contagion during the global financial crises : evidence from the Chilean stock market
Mahenthiran, Sakthiharan; Gjerde, Tom; Silva, Berta - In: International Journal of Financial Studies : open … 8 (2020) 2/26, pp. 1-22
The study examines evidence for the transmission of the US and EU financial crises via investor holdings into the Chilean stock market following two global financial crises, in 2008 and 2011. The study modified the models of Bekaert et al. (2014), and Dungey and Gajurel (2015) on the 2007-2009...
Persistent link: https://www.econbiz.de/10012239317
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A multicountry measure of comovement and contagion in international markets : definition and applications
Tessler, Nina; Venezia, Itzhak - In: Review of quantitative finance and accounting 58 (2022) 4, pp. 1307-1330
Persistent link: https://www.econbiz.de/10013191882
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Time-varying dependence in European equity markets : a contagion and investor sentiment driven analysis
Niţoi, Mihai; Pochea, Maria Miruna - In: Economic modelling 86 (2020), pp. 133-147
Persistent link: https://www.econbiz.de/10012415531
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Are momentum crashes pervasive regardless of strategy? : evidence from the foreign exchange market
Grobys, Klaus; Haga, Jesper - In: Applied economics letters 24 (2017) 20, pp. 1499-1503
Persistent link: https://www.econbiz.de/10011853099
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Excess volatility and Behavioral features surrounding the crisis period : evidence from the MENA region
Derrabi, Mohamed; Farooq, Omar - In: 6th International Finance Conference on Financial …, (pp. 25-36). 2011
Persistent link: https://www.econbiz.de/10009634604
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Behavioral finance and financial contagion : the evidence of DCC-MGARCH model from 63 equity markets
Talbi, Mariem; Boubaker, Adel; Sebai, Saber - In: International journal of economics and financial issues … 7 (2017) 4, pp. 387-407
Persistent link: https://www.econbiz.de/10011824319
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The impact of contagion effects of media reports, investors' sentiment and attention on the stock market based on HAR-RV model
Lei, Bolin; Song, Yuping - In: International journal of financial engineering 10 (2023) 2, pp. 1-54
Persistent link: https://www.econbiz.de/10014304249
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Who are the vectors of contagion? : Evidence from emerging markets
Agudelo, Diego A.; Múnera, Daimer J. - In: International review of financial analysis 87 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014457739
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What is the impact of stock market contagion on an investor's portfolio choice?
Branger, Nicole; Kraft, Holger; Meinerding, Christoph - 2009
Stocks are exposed to the risk of sudden downward jumps. Additionally, a crash in one stock (or index) can increase the risk of crashes in other stocks (or indices). Our paper explicitly takes this contagion risk into account and studies its impact on the portfolio decision of a CRRA investor...
Persistent link: https://www.econbiz.de/10009764762