In this paper we analyze the link between stock market performance and macroeconomic performance for a large number of countries. We study the short-run and long-run relationships and find that stock market returns do not coherently predict future macroeconomic changes for the majority of...

We empirically analyze asset price boom-bust cycles over a long-run period of 1896-2014 for the U.S., the Netherlands, Norway and Sweden. We focus on macro-financial linkages to understand if these are common phenomena during financial crises, or if the linkage was simply amplified during the...

Even though a random walk process is from a statistical point of view not predictable, some movements can be correlated with specific events concerning other variables. Then, predictable patterns may arise being dependent on this joint event. There is evidence given that equity price busts being...

Using a simple model of equity valuation, we de fine stock market bubbles and anti-bubbles as periods in which the dynamics of valuation is temporarily explosive. We identify a mechanism for the creation and destruction of bubbles and anti-bubbles that depends on the interaction between...

This paper analyses the dynamic transmission mechanism of volatility spillovers between key global financial indicators and G20 stock markets. To examine the volatility spillover relations a bivariate GARCH-BEKK model, which captures volatility spillovers, is combined with complex network...

This paper examines persistence in the Ukrainian stock market during the recent financial crisis. Using two different long memory approaches (R/S analysis and fractional integration) we show that this market is inefficient and the degree of persistence is not the same in different stages of the...

We take advantage of the historical onetime event of the European sovereign debt crisis and investigate the impact of European sovereign downgrades and negative watches on the European government bond and stock market including the partial default of Greece in March 2012. Results are based on an...

This paper investigates whether central banks can attenuate excessive mispricing in stocks as suggested by the proponents of a \leaning against the wind" (LATW) monetary policy. For this, we decompose stock prices into a fundamental component, a risk premium, and a mispricing component. We argue...

This study examines the impacts of unconventional monetary policy on the exchange rate, stock market, and bond market during the COVID-19 economic crisis in an emerging economy. It focuses particularly on the asset purchase program conducted by the Central Bank of India. The Central Bank...

The study of stock market efficiency has been the objective of many researches across the globe since the last few decades. But the evidence is mixed on whether the stock market is efficient. While some studies conclude that the stock markets are efficient, other studies cast doubt on this...