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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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Do U.S. Macroeconomic Surprises Influence Equity Returns? An Exploratory Analysis of Developed Economies
Lucey, Brian M. - 2013
Given the dominant role the U.S. economy plays in global trade, we explore how U.S. macroeconomic surprises affect stock markets in ten major developed economies as well as in China and India. We do not find strong enough evidence to conclude that US macro shocks materially and consistently...
Persistent link: https://www.econbiz.de/10013082200
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Interdependence between India Stock Market and developed economies stock markets during major stock market crashes
Kannan, R. Kumara; Jesiah, Selvam - In: Finance India : the quarterly journal of Indian … 36 (2022) 2, pp. 537-550
Persistent link: https://www.econbiz.de/10013472761
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Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010515402
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Foreign exchange predictability during the financial crisis : implications for carry trade profitability
Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - 2015
In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...
Persistent link: https://www.econbiz.de/10011313235
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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010407524
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Yield Curve Predictors of Foreign Exchange Returns
Ang, Andrew - 2011
In a no-arbitrage framework, any variable that affects the pricing of the domestic yield curve has the potential to predict foreign exchange risk premiums. The most widely used interest rate predictor is the difference in short rates across countries, known as carry, but the short rate is only...
Persistent link: https://www.econbiz.de/10013133966
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Aggregate Trading Behaviour of Technical Models and the Yen/Dollar Exchange Rate 1976-2007
Schulmeister, Stephan - 2010
The study analyses the interaction between the trading behaviour of 1,024 moving average and momentum models and the fluctuations of the yen-dollar exchange rate. I show first that these models would have exploited exchange rate trends quite profitably between 1976 and 2007. I then show that the...
Persistent link: https://www.econbiz.de/10013135725
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International Diversification : A Comparison of Performance of American Depository Receipt Indices and Country Funds
Schmid Daugherty, Mary - 2010
This study evaluates country funds versus American Depository Receipts (ADRs) as tools for international diversification. A portfolio of available ADRs from a specific country (i.e. an ADR index) should provide similar returns to an indexed country fund. We found, however, that ADRs provided...
Persistent link: https://www.econbiz.de/10013138531
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What Causes Correlations of Equity Returns to Change Over Time? A Study of the US and the Russian Equity Markets
Jithendranathan, Thadavillil - 2010
This paper addresses the changing nature of the correlations between the equity returns of the U.S. and Russian markets and the factors that cause these correlations to change. Correlations were estimated using the “Dynamic Conditional Correlation Model.” The sovereign credit risk of Russia,...
Persistent link: https://www.econbiz.de/10013138532