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Market integration and efficiency of CDS and equity markets
Kiesel, Florian; Kolaric, Sascha; Schiereck, Dirk - In: The quarterly review of economics and finance : journal … 61 (2016), pp. 209-229
Persistent link: https://www.econbiz.de/10011627533
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The relative efficiency of investment grade credit and equity markets
Procasky, William J. - In: International Journal of Financial Markets and … 9 (2023) 1/2, pp. 43-58
Persistent link: https://www.econbiz.de/10014311699
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Can Bitcoin be a stable investment?
Çelik, Ismail - In: Financial studies 24 (2020) 2, pp. 19-36
This study aims to analyze the volatility structure of Bitcoin returns, which became a popular investment after 2009. The Fractal Market Hypothesis (FMH) is chosen as the instrument to investigate the issue. By testing this hypothesis, the sudden price fluctuations in Bitcoin returns were tried...
Persistent link: https://www.econbiz.de/10012484965
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Finance and diversification
Manganelli, Simone; Popov, Alexander - 2010
We study how financial market effciency affects a measure of diversification of output across industrial sectors borrowed from the portfolio allocation literature. Using data on sector-level value added for a wide cross section of countries and for various levels of disaggregation, we construct...
Persistent link: https://www.econbiz.de/10008688519
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The informational role of investor relations : evidence from the debt market
Kim, Eun Jee; Sethuraman, Mani; Steffen, Thomas D. - In: The accounting review : a publication of the American … 96 (2021) 6, pp. 275-302
Persistent link: https://www.econbiz.de/10012703024
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Credit default swap regulation in experimental bond markets
Weber, Matthias; Duffy, John; Schram, Arthur - 2019
Persistent link: https://www.econbiz.de/10012050909
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The questionable benefits of mutual clearing agreements for derivatives
Tywoniuk, Magdalena - 2020
Recently, for standard asset classes, the first mutual clearing agreements between Central Coun- terparties (CCPs) have come into existence. There are already global concerns over the unique threats and benefits which arise from these situations, and further concern for an extension of agree-...
Persistent link: https://www.econbiz.de/10012271216
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Credit default swap regulation in experimental bond markets
Weber, Matthias; Duffy, John; Schram, Arthur - 2019
Credit default swaps (CDS) played an important role in the financial crisis of 2008. While CDS can be used to hedge … default swaps in a bond market subject to default risk. We further use the laboratory as a testbed to analyze CDS regulation …. Our results show that the regulation achieves the goal of increasing the use of CDS for hedging purposes while reducing …
Persistent link: https://www.econbiz.de/10012026056
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The study on the tail dependence structure between the economic policy uncertainty and several financial markets
Yao, Can-Zhong; Sun, Bo-Yi - In: The North American journal of economics and finance : a … 45 (2018), pp. 245-265
Persistent link: https://www.econbiz.de/10012117778
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Sovereign contagion in Europe : evidence from the CDS market
Manasse, Paolo; Zavalloni, Luca - 2013
the empirical evidence on European sovereigns CDS spreads and estimate an econometric model where a crucial role is played … by time varying parameters. We model CDS spread changes at country level as reflecting three different factors: a Global …
Persistent link: https://www.econbiz.de/10011731038