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The effects of the Covid-19 pandemic on stock markets, CDS and economic activity : time-varying evidence from the US and Europe

Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, … - 2021

This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the dates from the first confirmed COVID-19 cases in...

Persistent link: https://www.econbiz.de/10012625628

The Effects of the COVID-19 Pandemic on Stock Markets, CDS and Economic Activity : Time-Varying Evidence from the US and Europe

Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, … - 2021

Persistent link: https://www.econbiz.de/10013211119

The impact of the Covid-19 pandemic on persistence in the European stock markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Arrese … - 2021

This paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets. Specifically, it uses fractional integration methods to estimate persistence at the daily, weekly and monthly frequencies in the case of ten major European stock market indices; the...

Persistent link: https://www.econbiz.de/10012653308

Time-varying effects of the COVID-19 pandemic on stock markets and economic activity : evidence from the US and Europe

Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, … - In: Empirica : journal of european economics 51 (2024) 2, pp. 529-558

Persistent link: https://www.econbiz.de/10014557642

Der Einfluss von Länderratingereignissen auf den europäischen Aktienmarkt : eine branchenspezifische Analyse

Erhardt, Denise - 2016

Im Zuge der Finanzkrise haben Ratingagenturen die Bonität einiger europäischer Staaten vermehrt abgewertet, wodurch sich das wirtschaftliche Umfeld der in diesen Ländern tätigen Unternehmen gewandelt hat und die betroffenen Aktienmärkte Verluste verzeichneten. Aus diesem Grund ist in...

Persistent link: https://www.econbiz.de/10011749284

Do Stock Market Fear and Economic Policy Uncertainty Co-Move with COVID-19 Fear? Evidence from the US and UK

Rubbaniy, Ghulame; Khalid, Ali Awais; Tessema, Abiot Mindaye - 2021

Using the daily data covering both the first and second wave of COVID-19 pandemic over the period from March 3, 2020, to February 12, 2021, this study documents a strong positive comovement between implied volatility indices and two proxies of the COVID-19 fear. However, in all the cases, the...

Persistent link: https://www.econbiz.de/10013228363

Analysing the Dynamic Influence of US Macroeconomic News Releases on Turkish Stock Markets

Ekinci, Cumhur - 2019

-minute period post-release. Available liquidity measured by pending orders in limit order book decreases with the news arrival …. These results present implications for market dynamics and signal that liquidity consumption (through market orders) largely … dominates liquidity provision (through limit orders) in the five-minute period following the release …

Persistent link: https://www.econbiz.de/10012862886

Stock Market Interactions and the Impact of Macroeconomic News - Evidence from High Frequency Data of European Futures Markets

Kräussl, Roman; Canto, Bea - 2023

This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ Eurostoxx 50 and the FTSE 100. It also examines whether economic news is one source of international stock return co-movements. In particular, we test whether stock market interdependencies are...

Persistent link: https://www.econbiz.de/10014352510

Liquidity Commonality During the Financial Crisis : Effects of News Announcements

Chang, Ya-Ting - 2016

This paper investigate whether the effects of U.S. news announcements has influence on liquidity commonality during … financial crisis periods. We construct a market-wide liquidity risk in the foreign exchange market by using Generalized Dynamic … Factor Model (GDFM) model. We show that strong commonality in liquidity are associated with major crisis events. Our analysis …

Persistent link: https://www.econbiz.de/10012999240

European Stock Markets’ Response to COVID-19, Lockdowns, Government Response Stringency and Central Banks’ Interventions

Rubbaniy, Ghulame; Khalid, Ali Awais; Umar, Muhammad; … - 2021

Using daily data of COVID-19 fear index and stock indices of 29 European countries over the period from January 1, 2020 to September 17, 2020, this study finds no evidence of adverse impact of COVID-19 outbreak on European stock markets at the level of full sample nor at European sub-regional...

Persistent link: https://www.econbiz.de/10013242195