I consider extreme returns for the stock and bond markets of 14 EU countries using two classification schemes: One, the univariate classification scheme from the previous literature that classifies extreme returns for each market separately. Two, a novel multivariate classification scheme that...

In this paper we investigate the relationship between sovereign CDSs and Bonds, and Equity markets for 13 European countries during the period 2008-2010. We confirm the leading role incorporating new information of Equity markets during 2008-2009, but we find large evidence supporting that...

We analyze how global and local factors affect portfolio allocation by euro area investors in emerging markets at the bond-level. First, cross-sectional analysis reveals a strong preference for home (Euro) currency bonds. Second, panel regressions, whether at the bond or aggregate flows level,...

This paper revisits some recently found evidence in the literature on the cross-section of stock returns for a carefully constructed dataset of euro area stocks. First, we confirm recent results for U.S. data and find evidence of a negative cross-sectional relation between extreme positive...

We analyze the dynamics of price jumps and the impact of the European debt crisis using the high-frequency data reported by selected stock exchanges on the European continent during the period January 2008 to June 2012. We employ two methods to identify price jumps: Method 1 minimizes the...

Using the panel data vector autoregression (PVAR) model, this study examines the correlation between the stock market, gold price and USD exchange rate in the context of the COVID-19 pandemic in 55 Asian and 32 European countries from 11 March 2021 to 29 October 2021. The results of Granger...