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The impact of the euro on equity markets: a country and sector decomposition
Cappiello, Lorenzo; Kadareja, Arjan; Manganelli, Simone - 2008
This paper investigates whether comovements between euro area equity returns at national and industry level have … changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the … degree of comovements among euro area national equity markets has augmented. By explicitly controlling for the impact of …
Persistent link: https://www.econbiz.de/10011604952
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Financial integration in the GCC region : market size versus national effects
Arin, Kerim Peren; Caporale, Guglielmo Maria; Kyriacou, … - 2019
This paper examines financial spillovers between the four largest equity markets (by market capitalization) in the GCC region using a VAR-GARCH (1,1) framework that sheds light on interdependence as well as the effects of the 2014 oil crisis. Since the UAE is a federation including two stock...
Persistent link: https://www.econbiz.de/10012026436
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Financial integration into EU : the Romanian case
Bozkurt, İbrahim; Akman, Engin - In: Amfiteatru economic : an economic and business research … 18 (2016) 42, pp. 269-285
The aim of this study is to investigate the determinants of integration between stock market of Romania and other stock markets of European Union (EU) countries. Correlations between the stock returns represent the level of integration between the stock markets. Empirical analysis are performed...
Persistent link: https://www.econbiz.de/10011842988
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Interdependence of NAFTA Capital Markets : A Minimum Variance Portfolio Approach
López-Herrera, Francisco - 2015
We estimate the long-run relationships among NAFTA capital market returns and then calculate the weights of a “time-varying minimum variance portfolio” that includes the Canadian, Mexican, and USA capital markets between March 2007 and March 2009, a period of intense turbulence in...
Persistent link: https://www.econbiz.de/10013011782
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Financial Integration in a Changing World
Byrne, Joseph - 2017
Given the rapidly evolving nature of financial globalization, this paper models and predicts financial integration in a changing world. By decomposing integration into global risk, local risk and estimation risk, we argue that greater integration is mainly driven by global factors, not...
Persistent link: https://www.econbiz.de/10012949969
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The impact of the euro on money and bond markets
Santillán, Javier; Bayle, Marc; Thygesen, Christian - 2000
The paper provides an analysis of the euro area money and bond markets and their infrastructure since the introduction … of the euro. Significant development in terms of integration took place in both markets in general to a various degree … but apply more generally to euro securities infrastructure, identifies fields where further action is required. This …
Persistent link: https://www.econbiz.de/10011606153
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Country and sector-specific spillover effects in the euro area, the United States and Japan
Kaltenhaeuser, Bernd - 2003
Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the … process towards higher integration has been primarily a phenomenon of equity markets in the euro area and the United States. …
Persistent link: https://www.econbiz.de/10009635881
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The Impact of the Euro on Money and Bond Markets
Santillan Fraile, Javier; Bayle, Marc; Thygesen, Christian - 2021
The paper provides an analysis of the euro area money and bond markets and their infrastructure since the introduction … of the euro. Significant development in terms of integration took place in both markets in general to a various degree … but apply more generally to euro securities infrastructure, identifies fields where further action is required. This …
Persistent link: https://www.econbiz.de/10013318465
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Predicting financial stress events : a signal extraction approach
Christensen, Ian; Li, Fuchun - 2014
The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor...
Persistent link: https://www.econbiz.de/10010400740
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Impact of SNB decision to unpeg the franc from euro on financial markets : event study approach
Oanea, Dumitru-Cristian; Jakova, Stela - In: Acta Universitatis Danubius / Oeconomica 12 (2016) 2, pp. 208-218
Persistent link: https://www.econbiz.de/10011633518