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Liquidity and Tail-Risk Interdependencies in the Euro Area Sovereign Bond Market
Clancy, Daragh - 2019
The likelihood of severe contractions in an asset's liquidity can feed back to the ex ante risks faced by the … individual providers of such liquidity. These self-reinforcing effects can spread to other assets through informational … find significant own- and cross-market effects that amplify liquidity contractions in the Italian and Spanish bond markets …
Persistent link: https://www.econbiz.de/10012860725
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Liquidity and Tail-Risk Interdependencies in the Euro Area Sovereign Bond Market
Clancy, Daragh - 2020
The likelihood of severe contractions in an asset's liquidity can feed back to the ex-ante risks faced by the … individual providers of such liquidity. These self-reinforcing effects can spread to other assets through informational … find significant own- and cross-market effects that amplify liquidity contractions in the Italian and Spanish bond markets …
Persistent link: https://www.econbiz.de/10012846785
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Examining spillover effect of US monetary policy to European stock markets : a Markov-Switching approach
Mumtaz, Muhammad Zubair; Smith, Zachary Alexander - In: Estudios de economía 46 (2019) 1, pp. 89-124
This study empirically examines the spillover effect from US monetary policy to nineteen European economies using Markov-switching models. The results of the univariate Markov-switching models validate the presence of two distinct regimes for both US monetary policy and the stock markets. We...
Persistent link: https://www.econbiz.de/10012025335
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Are the sovereign CDS premia sound estimators of the stock market returns? : evidence from the Eurozone
Wic, Ana Navarrete; Di Pietro, Filippo; Martín Marín, … - In: Revista de métodos cuantitativos para la economía y … 25 (2018), pp. 130-155
In this paper, we explore the interconnection and existing relationships between the Sovereign Credit Default Swaps (henceforth, CDS) and the stock markets of the main European countries. Thus, the goal of this paper is to test if the CDS premia can predict the stock market returns of the most...
Persistent link: https://www.econbiz.de/10011870707
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Determinants of European stock market integration
Büttner, David; Hayo, Bernd - 2009
We analyse the determinants of stock market integration among EU member states for the period 19992007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate risk,...
Persistent link: https://www.econbiz.de/10003888969
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Determinants of European Stock Market Integration
Buettner, David; Hayo, Bernd - 2009
We analyse the determinants of stock market integration among EU member states for the period 1999–2007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate...
Persistent link: https://www.econbiz.de/10014206060
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Evaluating Financial Integration in Euro Area Stock Markets with Return and Performance Dispersion Indices
da Fonseca, José S. - 2020
This paper presents indices of return and performance dispersion between ten developed domestic stock markets of the euro area to assess progress in their integration since the launch of the single currency. This approach is based on previous literature according to which domestic financial...
Persistent link: https://www.econbiz.de/10014352092
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The Shrinkage after the Enlargement? The Effect of Financial Crises and Enlargement on Stock Market Integration in the Euro Area
Giofré, Maela - 2020
The bilateral foreign portfolio equities among Euro area members have shrunk by 40 percent after 2007. While both the financial crisis and the enlargement are potentially responsible of this abrupt and persistent contraction in financial integration, our work detects a major role for the crisis....
Persistent link: https://www.econbiz.de/10012840943
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Examining Spillover Effect of Us Monetary Policy to European Stock Markets : A Markov-Switching Approach
Mumtaz, Muhammad Zubair - 2019
This study empirically examines the spillover effect from US monetary policy to nineteen European economies using Markov-switching models. The results of the univariate Markov-switching models validate the presence of two distinct regimes for both US monetary policy and the stock markets. We...
Persistent link: https://www.econbiz.de/10012869737
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Determinants of European Stock Market Integration
Buettner, David - 2012
We analyze the determinants of stock market integration among EU member states for the period 1999–2007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate...
Persistent link: https://www.econbiz.de/10013109295