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Financial crises and the global value premium : revisiting Fama and French
Yamani, Ehab A.; Swanson, Peggy Eubanks - In: Journal of international financial markets, … 33 (2014), pp. 115-136
Persistent link: https://www.econbiz.de/10011299862
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European equity market contagion : an empirical application to Ireland's sovereign debt crisis
Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34
sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the … this crisis. During the Irish financial crisis from 2007 to 2010, strong contagion effects are uncovered between Irish … equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the …
Persistent link: https://www.econbiz.de/10011471074
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International Diversification During Financial Crises
Tai, Chu-Sheng - 2019
/methodology/approach – A conditional international CAPM with asymmetric multivariate GARCH-M specification is used to estimate international …
Persistent link: https://www.econbiz.de/10012862601
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Europe needs more than a Capital Markets Union : focus on the integration of euro area sovereign debt markets
Breitenfellner, Andreas; Schuberth, Helene - In: Vierteljahrshefte zur Wirtschaftsforschung 86 (2017) 2, pp. 9-20
With a view to establishing a Capital Markets Union (CMU), efforts to integrate (private) capital markets and private risk-sharing in the European Union are underway. However, the single (capital) market will be burdened by a perennial potential threat to sovereign bond market stability in the...
Persistent link: https://www.econbiz.de/10012051172
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Quantile coherency networks of international stock markets
Baumöhl, Eduard; Shahzad, Syed Jawad Hussain - 2019
and spillover is higher during bearish market states, highlighting the possibility of contagion effect mainly among …
Persistent link: https://www.econbiz.de/10012124708
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A comparison of the long term interdependence of southeast asian equity markets
Raisul, Islam - In: Journal of East Asian economic integration 18 (2014) 2, pp. 187-212
The purpose of this paper is to examine the equity market crisis contagion in major Asian economic markets. A … peripheries depend particularly on the roles and structure of these markets. The impact of the global financial contagion and the … global financial crisis period; after the global financial crisis, attention paid to long term Asian contagion adds new …
Persistent link: https://www.econbiz.de/10011568346
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Networks of volatility spillovers among stock markets
Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; … - 2017
In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...
Persistent link: https://www.econbiz.de/10011654569
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The changing role of emerging and frontier markets in global portfolio diversification
Pätäri, Eero; Ahmed, Sheraz; John, Elena; Karell, Ville - In: Cogent economics & finance 7 (2019) 1, pp. 1-23
correlation analysis and the VAR(1)-BEKK-GARCH(1,1) model, the global financial crisis and the Euro-zone crisis 2009-2012 have …
Persistent link: https://www.econbiz.de/10014233132
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Has the pricing of stocks become more global?
Petzev, Ivan; Schrimpf, Andreas; Wagner, Alexander F. - 2015
We show that in recent years global factor models have been catching up significantly with their local counterparts in terms of explanatory power (R2) for international stock returns. This catch-up is driven by a rise in global factor betas, not a rise in factor volatilities, suggesting that the...
Persistent link: https://www.econbiz.de/10011412487
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Global production linkages and stock market comovement
Auer, Raphael A.; Iwadate, Bruce Muneaki; Schrimpf, Andreas - 2022
Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and...
Persistent link: https://www.econbiz.de/10013169023