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EMU Equity Markets’ Return Variance and Spill Over Effects from Short-Term Interest Rates
Hou, Ai Jun - 2010
returns have a negative relationship with the volatility, and the volatility process responds asymmetrically to shocks to …, within which the returns have a positive relationship with the volatility, and the volatility is lower and more persistent …
Persistent link: https://www.econbiz.de/10013150229
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Intraday effect of news on emerging European forex markets : an event study analysis
Kočenda, Evžen; Moravcová, Michala - 2018
We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011-2015. Our...
Persistent link: https://www.econbiz.de/10011902959
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Intraday effect of news on emerging European forex markets : an event study analysis
Kočenda, Evžen; Moravcova, Michala - 2016
We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an Event Study Methodology to analyze intra-day data from 2011-2015. Our...
Persistent link: https://www.econbiz.de/10011568576
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The relevance of banks to the European stock market
Kick, Andreas; Rottmann, Horst - 2022
Banks have always played an ambivalent role in financial markets. On the one hand, they provide essential services for the market; on the other hand, problems in the banking sector can send shock waves through the entire economy. Given this prominent role, it is not surprising that Pereira and...
Persistent link: https://www.econbiz.de/10013201699
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The relevance of banks to the European stock market
Kick, Andreas; Rottmann, Horst - 2022
Banks have always played an ambivalent role in financial markets. On the one hand, they provide essential services for the market; on the other hand, problems in the banking sector can send shock waves through the entire economy. Given this prominent role, it is not surprising that Pereira and...
Persistent link: https://www.econbiz.de/10013206215
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Determinants of European Large Bank Stock Market Volatility : Is There a Bail-In Effect?
Leone, Paola - 2019
On the first of January 2016 the European bank recovery and resolution directive (BRRD) started to enter into force … of the biggest European banks lose their money in the case of bank rescue. This could imply a larger risk that can be … observed in the stock market volatility. In this paper we perform a panel data analysis on a sample of large European banks …
Persistent link: https://www.econbiz.de/10012900535
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Shocks Implication on the Fundamental Drivers of Pan-European Equity Reits : Volatility Connectedness
Nassili, Naoufal - 2019
is to unravel the mystery around the existing volatility spillovers among equity REITs. The econometric modelisation is … Barunik & Krehlik. Exchange-listed equity REITs have complex patterns of volatility since they are the nexus of two markets …
Persistent link: https://www.econbiz.de/10012864336
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Interest rate risk and monetary policy normalisation in the euro area
Molyneux, Philip; Pancotto, Livia; Reghezza, Alessio; … - 2020
confidential supervisory measure of IRR, this paper identifies which bank-specific characteristics can amplify or weaken the impact … the European Central Bank (ECB) reveal greater IRR exposure. These findings advance the debate on the impact on euro area …
Persistent link: https://www.econbiz.de/10012318814
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Interest rate convergence in euro-candidate countries : volatility dynamics of sovereign bond yields
Gabrisch, Hubert; Orłowski, Lucjan T. - In: Emerging markets finance & trade : a journal of the … 46 (2010) 6, pp. 69-85
Persistent link: https://www.econbiz.de/10009238982
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The threat of systemic risk in banking : evidence for Europe
Schüler, Martin - 2002
on a European level. Following De Nicolo and Kwast (2001), mean rolling-window correlations between bank stock returns …
Persistent link: https://www.econbiz.de/10010503710