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Government intervention in Russian bourse : a case of financial contagion
Khan, Salman; Batteau, Pierre - In: Journal of financial economic policy 4 (2012) 4, pp. 320-339
Persistent link: https://www.econbiz.de/10009674782
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Government intervention in Russian bourse: a case of financial contagion
Khan, Salman; Batteau, Pierre - In: Journal of Financial Economic Policy 4 (2012) 4, pp. 320-339
linkages between Russia, the US and Europe. When examined in a portfolio setup, the results show sudden fall in correlation … by exploring the level of integration between Russia and the USA and European equity markets. Design … used to establish the time varying linkages in order to verify the contagion effect. In the final step the Markowitz mean …
Persistent link: https://www.econbiz.de/10014866871
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Quoted spreads and trade imbalance dynamics in the European treasury bond market
Caporale, Guglielmo Maria; Girardi, Alessandro; … - 2010
Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise (fall) and liquidity falls (increases) buy (sell)...
Persistent link: https://www.econbiz.de/10010285725
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Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market
Caporale, Guglielmo Maria; Girardi, Alessandro; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise (fall) and liquidity falls (increases) buy (sell)...
Persistent link: https://www.econbiz.de/10008742946
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Quoted spreads and trade imbalance dynamics in the European Treasury bond market
Caporale, Guglielmo Maria; Girardi, Alessandro; … - In: The Quarterly Review of Economics and Finance 52 (2012) 2, pp. 173-182
Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise (fall) and liquidity falls (increases) buy (sell)...
Persistent link: https://www.econbiz.de/10010571836
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Analyzing credit risk transmission to the non-financial sector in Europe : a network approach
Gross, Christian; Siklos, Pierre L. - 2019
Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...
Persistent link: https://www.econbiz.de/10012317318
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Analyzing credit risk transmission to the non-financial sector in Europe : a network approach
Gross, Christian; Siklos, Pierre L. - 2018
Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...
Persistent link: https://www.econbiz.de/10011978741
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Policy Responses in Europe Since the Onset of the Crisis (2007-Mid 2017)
Camba-Mendez, Gonzalo - 2019
The crisis has gone through several phases of varying complexity before abating in mid-2014. It started with the Financial Turmoil in August 2007, followed by the Global Financial Crisis in September 2008, and the Great Recession in 2009-2010. These events exacerbated imbalances that had already...
Persistent link: https://www.econbiz.de/10012900570
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Stock markets linkages before, during and after subprimes crisis : bivariate BEKK GARCH (1, 1) and DCC models
Abdelkefi, Samar Zlitni; Khoufi, Walid - In: International journal of economics, finance and … 3 (2015) 3, pp. 213-230
Persistent link: https://www.econbiz.de/10011389712
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Re-Examining Investor Protection in Europe and the US
Burke, John J. A. - 2009
The year 2009 is a propitious time to evaluate systems of investor protection in financial markets as global bank losses exceed the 1 trillion mark and market losses equally exceed the 1 trillion mark. Prior to the Global Financial Crisis, the European Union enacted sweeping legislation to...
Persistent link: https://www.econbiz.de/10013157246