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Testing for Herding in the Athens Stock Exchange During the Crisis Period
Economou, Fotini - 2016
This paper investigates herding behavior in the Athens Stock Exchange focusing on the recent crisis period. To this end …. The empirical results indicate the presence of herding under different market states and sub-periods. These findings …
Persistent link: https://www.econbiz.de/10012998502
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Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese Stock Market Bubbles
Jiang, Zhi-Qiang - 2010
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding …
Persistent link: https://www.econbiz.de/10013144342
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Herding Behavior and Systemic Risk in Global Stock Markets
Vioto, Davide; Tunaru, Radu; Hasan, Iftekhar - 2022
This paper provides new evidence of herding in global equity markets. Using quantile regressions applied to daily data … for 33 countries, we investigate herding during the Eurozone crisis, China's market crash in 2015-2016, and in the … aftermath of the Brexit vote. We find significant evidence of herding behavior driven by negative tail market conditions for …
Persistent link: https://www.econbiz.de/10013295491
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Taming Momentum Crashes
Bianchi, Daniele; De Polis, Andrea; Petrella, Ivan - 2022
We provide empirical evidence that the returns on US equity momentum exhibit a time-varying skewness which deepens during dramatic losses (crashes). As a result, the dynamics of the strategy expected returns reflects the time variation in both conditional volatility and skewness. This has first...
Persistent link: https://www.econbiz.de/10013403316
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Financial crises and information transfer : an empirical analysis of the lead-lag relationship between equity and CDS iTraxx Indices
Ehlers, Stefan; Gürtler, Marc; Olboeter, Sven - 2010
This study examines the lead-lag-relationship between European equity and CDS markets in the context of the financial crisis. Previous research identified the stock market to lead the CDS market in an ordinary economic environment. Against the background of our study this lead-lag-relationship...
Persistent link: https://www.econbiz.de/10009487609
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Cross-market correlations and financial contagion from developed to emerging economies : a case of COVID-19 pandemic
Siddiqui, Taufeeque Ahmad; Khan, Mazia Fatima; Naushad, … - In: Economies : open access journal 10 (2022) 6, pp. 1-12
In the event that the COVID-19 pandemic spreads across various stock markets, this study may be deemed as one of the primary studies to evaluate cross-market interactions. The study examines the spread of contagious effects originating from developed economies (the United States, the United...
Persistent link: https://www.econbiz.de/10013256277
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Price Jump Indicators : Stock Market Empirics During the Crisis
Novotny, Jan - 2013
We analyze the behavior and performance of multiple price jump indicators across markets and over time. By using high-frequency stock market data we identify clusters of price jump indicators that share similar properties in terms of their performance in that they minimize Type I and Type II...
Persistent link: https://www.econbiz.de/10013078483
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A comparison of the long term interdependence of southeast asian equity markets
Raisul, Islam - In: Journal of East Asian economic integration 18 (2014) 2, pp. 187-212
The purpose of this paper is to examine the equity market crisis contagion in major Asian economic markets. A comparative assessment of Asian markets during the Asian Financial Crisis and Global Financial crisis may clearly identify the changing nature of long term integration of major Asian...
Persistent link: https://www.econbiz.de/10011568346
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Globalization, financial crisis and contagion : time-dynamic evidence from financial markets of developing countries
Asongu, Simplice A. - 2011
Financial integration among economies has the benefit of improving allocation efficiency and diversifying risk. However the recent global financial crisis, considered as the worst since the Great Depression has re-ignited the fierce debate about the merits of financial globalization and its...
Persistent link: https://www.econbiz.de/10011410546
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The Impact of the Us Stock Market on the Romanian Stock Market in the Context of the Financial Crisis
Nistor, Costel - 2012
This paper explores the stock market interlinkages between the United States and Romania during the actual financial crisis. For this purpose we analyze, in a Vector Autoregressive framework, daily values of Dow Jones and BET, being two reference indexes for the US and the Romanian Stock...
Persistent link: https://www.econbiz.de/10013099858