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Equity market contagion in return volatility during Euro Zone and global financial crises : evidence from FIMACH model

Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; … - In: Journal of risk and financial management : JRFM 12 (2019) 2/94, pp. 1-18

volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including … of volatility. Results from the conditional heteroskedasticity long memory model show the evidence of long memory in the …

Persistent link: https://www.econbiz.de/10012022043

Are the sovereign CDS premia sound estimators of the stock market returns? : evidence from the Eurozone

Wic, Ana Navarrete; Di Pietro, Filippo; Martín Marín, … - In: Revista de métodos cuantitativos para la economía y … 25 (2018), pp. 130-155

In this paper, we explore the interconnection and existing relationships between the Sovereign Credit Default Swaps (henceforth, CDS) and the stock markets of the main European countries. Thus, the goal of this paper is to test if the CDS premia can predict the stock market returns of the most...

Persistent link: https://www.econbiz.de/10011870707

High and low prices and the range in the European stock markets : a long-memory approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019

This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically,...

Persistent link: https://www.econbiz.de/10012022262

Cross-autocorrelations in European stock returns

Peiro, Amado - In: Economics and Business Letters : EBL 5 (2016) 1, pp. 30-37

This paper examines lead-lag relationships between monthly index returns from 18 European industries. Several interesting and clear relationships are found that call into question the efficiency of European stock markets. While the Automobiles & Parts sector lags more than half of the other...

Persistent link: https://www.econbiz.de/10011573194

Uusing the symmetric models garch (1.1) and garch-m (1.1) to investigate volatility and persistence for the european and us financial markets

Duță, Violeta - In: Financial studies 22 (2018) 1, pp. 64-86

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …

Persistent link: https://www.econbiz.de/10011964941

Interdependence between Eastern and Western European Stock Markets : Evidence from Intraday Data

Égert, Balázs; Kočenda, Evžen - 2007

in terms of stock returns and stock price volatility. Granger causality tests show the presence of bidirectional … causality for returns as well as volatility series. The results based on a VAR framework indicate a more limited number of short …

Persistent link: https://www.econbiz.de/10014049163

The impact of the Covid-19 pandemic on persistence in the European stock markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Arrese … - 2021

, though their volatility persistence has decreased. …This paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets …. Specifically, it uses fractional integration methods to estimate persistence at the daily, weekly and monthly frequencies in the …

Persistent link: https://www.econbiz.de/10012653308