Similar Search Results

Uncovered Interest Parity in Central and Eastern Europe : Convergence and the Global Financial Crisis

Filipozzi, Fabio - 2012

This paper presents tests of uncovered interest parity in Croatia, the Czech Republic, Hungary, Poland and Romania; all … countries in Central and Eastern Europe with floating exchange rates. Data are monthly and the trading horizon is three months … currency and interest markets in Central and Eastern Europe. Two indicators of global risk aversion were also found to enter …

Persistent link: https://www.econbiz.de/10013096314

Sovereign Contagion in Europe : Evidence from the CDS Market

Manasse, Paolo - 2013

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at the empirical evidence on European sovereigns CDS spreads...

Persistent link: https://www.econbiz.de/10013088213

The Risk-Return Trade-Off in Europe : A Temporal and Cross-Sectional Analysis

Salvador, Enrique - 2014

This paper analyzes the risk-return trade-off in European equities considering both temporal and cross-sectional dimensions. In our analysis, we introduce not only the market portfolio but also 15 industry portfolios comprising the entire market. Several bivariate GARCH models are estimated to...

Persistent link: https://www.econbiz.de/10013068365

Modeling Financial Market Volatility in Transition Markets : A Multivariate Case

Oikonomikou, Leoni Eleni - 2016

This paper presents evidence of equity market linkages in the following transition economies: Russia, Ukraine, Poland and Czech Republic from beginning of January 2005 till the end of December 2014. I apply a multivariate asymmetric EGARCH model. Empirical results indicate significant return and...

Persistent link: https://www.econbiz.de/10012997279

Financial Convergence on Emerging Markets : The Case of CEE Countries

Fronc, Michał - 2017

This paper investigates information embedded in the most liquid derivative instruments regarding the scope of convergence reported on the financial market in the emerging CEE countries. We present a proposal of the index that measures the scale of convergence between local and global derivative...

Persistent link: https://www.econbiz.de/10012956681

Stock Markets, Banks and Economic Growth : Some Evidence on the Role of Stock Price Informativeness

Cheng, Fang Chin - 2011

This paper extends the economic growth model tested by Levine and Zervos (1998) by including a measure for capital allocation efficiency proxied by stock price informativeness. Using a sample of 59 countries, this study finds that stock price informativeness as measured by firm-specific return...

Persistent link: https://www.econbiz.de/10013121128

The Transmission of Foreign Financial Crises to South Africa : A Firm-Level Study

Boshoff, Willem H. - 2010

The process of financial integration has increased the exposure of South African financial markets to foreign financial crises. This paper contributes to the understanding of crisis transmission by evaluating several hypotheses that claim to explain how financial crises are transmitted to South...

Persistent link: https://www.econbiz.de/10013146396

Interaction between MENA Stock Markets : A Comovement Wavelet Analysis

Basdas, Ulkem - 2013

This paper investigates the integration of emerging stock markets over different time horizons using daily data over 1992-2011. The links among major Middle East and North African (MENA) stock exchange markets (Egypt, Israel, Jordan, Lebanon, Morocco, Turkey and United Arab Emirates) are...

Persistent link: https://www.econbiz.de/10013075245

Gold and Silver as Safe Havens : A Fractional Integration and Cointegration Analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022

This paper investigates whether gold and silver can be considered safe havens by examining their long-run linkages with 22 stock price indices. More specifically, the stochastic properties of the differential between gold/silver prices and 22 stock indices are analysed applying fractional...

Persistent link: https://www.econbiz.de/10014241989

The Dynamics of International Asset Price Linkages and Their Effects on German Stock and Bond Markets

Domanski, Dietrich - 2009

The financial market turbulence in 1998, as other crises previously, produced strong price movements in the securities markets worldwide. This reflected, first, a general reassessment of credit risk, and, second, a drying-up of liquidity even in some of the largest mature securities markets. As...

Persistent link: https://www.econbiz.de/10013157688