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Persistent link: https://www.econbiz.de/10013009196
indicate that (1) the volatility of a stock’s returns and its centrality measures in the stock network are the main sources … exposure compared to firms with lower ESG ratings and (3) COVID-19 augmented the partial effects of volatility, centrality …
Persistent link: https://www.econbiz.de/10013168839
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We analyze minute by minute equity price data from 1 August 2005 to 31 October 2008 to study the relationship between the three sources of systematic risk in Fama and French's (1993) model and the market's expectation of total risk as represented by the VIX (the “fear factor”). Our findings...
Persistent link: https://www.econbiz.de/10013139325
Using unique data at transaction and counterparty identity level, we study the microstructure of the Swiss franc FX over‑the‑counter (OTC) derivatives market during a time of stress that was triggered by the decision of the Swiss National Bank (SNB) to remove the Swiss franc‑euro exchange...
Persistent link: https://www.econbiz.de/10012861348
This paper examines how the implementation of a new dark order - Midpoint Extended Life Order on NASDAQ - impacts financial markets stability in terms of occurrences of mini-flash crashes in individual securities. We use high-frequency order book data and apply panel regression analysis to...
Persistent link: https://www.econbiz.de/10013555440
to capture markets' dependencies and volatility spillovers and is employed on a single market level as well as on the …
Persistent link: https://www.econbiz.de/10012972258
decades in the mean and volatility dynamics, including the underlying volatility persistence and volatility spillovers … existence of time varying correlations as well as time varying shock and volatility spillovers between the returns of FTSE and …
Persistent link: https://www.econbiz.de/10013056335
Previous research has proven that large financial markets can be prime determinants of volatility in smaller markets … in transmitting financial volatility. Utilizing bivariate DCC-GARCH modeling, we estimate volatility spillover effects … results show that the US market (S&P500 index) is the main volatility transmitter worldwide, whereas the UK, German and French …
Persistent link: https://www.econbiz.de/10013058952