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A Cross-Country Analysis of Herd Behavior in Europe

Asma, Mobarek - 2014

This paper examines country specific herding behavior in European liquid constituent indices for the period of 2001 …-2012. While we report insignificant results for the whole period, we document significant herding behavior during crises and … asymmetric market conditions. Particularly, herding effect is pronounced in most continental countries during the global …

Persistent link: https://www.econbiz.de/10013052599

Financial integration and European tourism stocks

Caporale, Guglielmo Maria; Yfanti, Stavroula; … - 2023

This study examines the macro drivers of the time-varying (dynamic) connectedness between eleven European tourism sectors. Financial integration between the travel and leisure markets, measured by their dynamic correlations or co-movement, is explained by common global fundamentals. The...

Persistent link: https://www.econbiz.de/10013540847

Intra-Day Realized Volatility for European and USA Stock Indices

Degiannakis, Stavros Antonios - 2019

within USA (or Europe) is much higher than the correlation of volatilities across USA and Europe. Moreover, we provide …, the dynamic behavior of correlation between realized volatilities is investigated. The correlation among realized … volatilities is positive and extremely high, although for some periods it decreases dramatically. The correlation of volatilities …

Persistent link: https://www.econbiz.de/10012897936

Oil Price Shocks and Stock Market Volatility : Evidence from European Data

Degiannakis, Stavros; Filis, George; Kizys, Renatas - 2022

The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three …

Persistent link: https://www.econbiz.de/10013403135

European Equity Markets Volatility Spillover : Destabilizing Energy Risk is the New Normal

Huszár, Zsuzsa R.; Kotro, Balazs Bence; Tan, R.S.K - 2023

Europe. In addition to traditional panel regressions, we also deploy the Diebold-Yilmaz volatility spillover index (2014 …

Persistent link: https://www.econbiz.de/10014349389

European stock market comovement dynamics during some major financial market turmoils in the period 1997 to 2010 : a comparative DCC-GARCH and wavelet correlation analysis

Dajcman, Silvio; Festić, Mejra; Kavkler, Alenka - In: Applied economics letters 19 (2012) 13/15, pp. 1249-1256

Persistent link: https://www.econbiz.de/10009680562

Co-movements among major European exchange rates : a multivariate time-varying asymmetric approach

Tamakoshi, Go; Hamori, Shigeyuki - In: International review of economics & finance : IREF 31 (2014), pp. 105-113

Persistent link: https://www.econbiz.de/10010490436

Estimating value-at-risk using a multivariate copula-based volatility model : evidence from European banks

Sampid, Marius Galabe; Hasim, Haslifah Mohamad - In: International economics : a journal published by CEPII … 156 (2018), pp. 175-192

Persistent link: https://www.econbiz.de/10012027269

Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe : A Network Approach

Gross, Christian - 2019

We use a factor model and elastic net shrinkage to model a high-dimensional network of European CDS spreads. Our empirical approach allows us to assess the joint transmission of bank and sovereign risk to the non-financial corporate sector. Our findings identify a sectoral clustering in the CDS...

Persistent link: https://www.econbiz.de/10012899565

Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe : A Network Approach

Gross, Christian; Siklos, Pierre L. - 2021

Persistent link: https://www.econbiz.de/10013248986