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Uncovered Interest Parity in Central and Eastern Europe : Convergence and the Global Financial Crisis

Filipozzi, Fabio - 2012

This paper presents tests of uncovered interest parity in Croatia, the Czech Republic, Hungary, Poland and Romania; all … countries in Central and Eastern Europe with floating exchange rates. Data are monthly and the trading horizon is three months … currency and interest markets in Central and Eastern Europe. Two indicators of global risk aversion were also found to enter …

Persistent link: https://www.econbiz.de/10013096314

Sovereign Contagion in Europe : Evidence from the CDS Market

Manasse, Paolo - 2013

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at the empirical evidence on European sovereigns CDS spreads...

Persistent link: https://www.econbiz.de/10013088213

The Risk-Return Trade-Off in Europe : A Temporal and Cross-Sectional Analysis

Salvador, Enrique - 2014

This paper analyzes the risk-return trade-off in European equities considering both temporal and cross-sectional dimensions. In our analysis, we introduce not only the market portfolio but also 15 industry portfolios comprising the entire market. Several bivariate GARCH models are estimated to...

Persistent link: https://www.econbiz.de/10013068365

Stock market comovements in Central Europe: Evidence from asymmetric DCC model

Gjika, Dritan; Horváth, Roman - 2012

We examine time-varying stock market comovements in Central Europe employing the asymmetric dynamic conditional … Central Europe and between Central Europe vis-a-vis the euro area are strong. They increased over time, especially after the …

Persistent link: https://www.econbiz.de/10010318421

Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market

Bretschger, Lucas; Lechthaler, Filippo - 2012

Using new data on returns and risk factors the paper considers the stock performance on the Japanese market, which is the second largest in the world and operates under unique macroeconomic conditions. We find that the CAPM model is not an adequate approach for the Japanese market. The Carhart...

Persistent link: https://www.econbiz.de/10011753224

What Might Central Banks Lose or Gain in Case of Euro Adoption – A GARCH-Analysis of Money Market Rates for Sweden, Denmark and the UK

Buscher, Herbert S.; Gabrisch, Hubert - 2011

This study deals with the question whether the central banks of Sweden, Denmark and the UK can really influence short-term money markets and thus, would lose this influence in case of Euro adoption. We use a GARCH-M-GED model with daily money market rates. The model reveals the co-movement...

Persistent link: https://www.econbiz.de/10010286027

Modeling Financial Market Volatility in Transition Markets : A Multivariate Case

Oikonomikou, Leoni Eleni - 2016

This paper presents evidence of equity market linkages in the following transition economies: Russia, Ukraine, Poland and Czech Republic from beginning of January 2005 till the end of December 2014. I apply a multivariate asymmetric EGARCH model. Empirical results indicate significant return and...

Persistent link: https://www.econbiz.de/10012997279

Financial Convergence on Emerging Markets : The Case of CEE Countries

Fronc, Michał - 2017

This paper investigates information embedded in the most liquid derivative instruments regarding the scope of convergence reported on the financial market in the emerging CEE countries. We present a proposal of the index that measures the scale of convergence between local and global derivative...

Persistent link: https://www.econbiz.de/10012956681

Stock Markets, Banks and Economic Growth : Some Evidence on the Role of Stock Price Informativeness

Cheng, Fang Chin - 2011

This paper extends the economic growth model tested by Levine and Zervos (1998) by including a measure for capital allocation efficiency proxied by stock price informativeness. Using a sample of 59 countries, this study finds that stock price informativeness as measured by firm-specific return...

Persistent link: https://www.econbiz.de/10013121128

The Transmission of Foreign Financial Crises to South Africa : A Firm-Level Study

Boshoff, Willem H. - 2010

The process of financial integration has increased the exposure of South African financial markets to foreign financial crises. This paper contributes to the understanding of crisis transmission by evaluating several hypotheses that claim to explain how financial crises are transmitted to South...

Persistent link: https://www.econbiz.de/10013146396