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Information Transmission between International Stock Markets and Bucharest Stock Exchange During a Turbulent Period (2007-2009)

Tudor, Cristiana - 2010

This paper investigates the direction of information flow between world stock markets during the recent financial crisis by conducting Granger causality tests in a three variables system. We employ daily rates of return for three representative stock market indices: S&P 500 for the US, BET-C for...

Persistent link: https://www.econbiz.de/10013147798

Climate Vulnerability and Stock Price Crash Risk Worldwide

Ni, Xiaoran; Si, Yi; Zhang, Bohui - 2022

Using a global dataset, we document that market-level climate vulnerability is positively associated with stock price crash risk of individual firms. We establish causality by using an instrumental variable analysis and difference-in-differences analysis. Furthermore, we show that an increase in...

Persistent link: https://www.econbiz.de/10013406782

Hurst Dynamics of S&P500 Returns : Implications and Impact on Market Efficiency, Long Memory, Multifractality and Financial Crises Predictability

Vogl, Markus; Roetzel, Peter Gordon - 2021

In this study, we apply a rolling window approach to wavelet-filtered (denoised) S&P500 returns (2000–2020) to obtain time varying Hurst exponents. We analyse the dynamics of the Hurst exponents by applying statistical tests (e.g., for stationarity, Gaussianity and self-similarity), a...

Persistent link: https://www.econbiz.de/10013229642

The certification role of the EU-wide stress testing exercises in the stock market : what can we learn from the stress tests (2014-2021)?

Durrani, Agha; Ongena, Steven; Marques, Aurea Ponte - 2022

model. Second, we study whether both returns and volatility of bank stock prices changes upon the disclosure of stress tests … in returns and an increase in volatility, while the reverse holds true for banks performing well. Banks performing … correlation between bank abnormal returns or equity volatility and stress test performance, which experiences a steady increase …

Persistent link: https://www.econbiz.de/10013342212

Does carbon price uncertainty affect stock price crash risk? : evidence from China

Ren, Xiaohang; Zhong, Yan; Cheng, Xu; Yan, Cheng; … - In: Energy economics 122 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014440761

The sovereign debt crisis : rebalancing or freezes?

Östberg, Peter; Richter, Thomas - 2018

Using high-frequency data we document that episodes of market turmoil in the European sovereign bond market are on average associated with large decreases in trading volume. The response of trading volume to market stress is conditional on transaction costs. Low transaction cost turmoil episodes...

Persistent link: https://www.econbiz.de/10011865537

Awareness of Crash Risk Improves Kelly Strategies in Simulated Financial Time Series

Gerlach, J-C - 2020

We simulate a simplified version of the price process including bubbles and crashes proposed in Kreuser and Sornette (2018). The price process is defined as a geometric random walk combined with jumps modelled by separate, discrete distributions associated with positive (and negative) bubbles....

Persistent link: https://www.econbiz.de/10012836362

Measuring Contagion between Energy Market and Stock Market During Financial Crisis : A Copula Approach

Wen, Xiaoqian - 2017

In this paper, we apply time-varying copulas to investigate whether a contagion effect existed between energy and stock markets during the recent financial crisis. Using the WTI oil spot price, the S&P500 index, the Shanghai stock market composite index and the Shenzhen stock market component...

Persistent link: https://www.econbiz.de/10012951535

Impacts of the Financial Crisis on Eurozone Sovereign CDS Spreads

Gündüz, Yalin; Kaya, Orcun - 2016

We study the variation of sovereign credit default swaps (CDSs) of eurozone countries, their persistence and co-movements, with particular attention given to the impact of the financial crisis. Specifically, using a dual fractional integration model, we test the evidence of long memory for CDSs...

Persistent link: https://www.econbiz.de/10014158964

Financial transaction taxes, market composition, and liquidity

Colliard, Jean-Edouard; Hoffmann, Peter - 2017

We use the introduction of a financial transaction tax (FTT) in France in 2012 to test competing theories on its impact. We find no support for the idea that an FTT improves market quality by affecting the composition of trading volume. Instead, our results are in line with the hypothesis that a...

Persistent link: https://www.econbiz.de/10011637023