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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
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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
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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
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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
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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
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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/10009162063
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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/10009552906
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Modeling financial market volatility in transition markets : a multivariate case
Oikonomikou, Leoni Eleni - 2016 - Revised version including comments: February 2015
This paper presents evidence of linkages across equity markets in the following transition economies: Russia, Ukraine, Poland and Czech Republic from beginning of January 2005 till the end of December 2014. We apply a multivariate asymmetric EGARCH model. Empirical results indicate significant...
Persistent link: https://www.econbiz.de/10011454085
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Stock market contagion in Central and Eastern Europe : unexpected volatility and extreme co-exceedance
Horváth, Roman; Lyócsa, Štefan; Baumöhl, Eduard - 2016
We examine whether there is contagion from the U.S. stock market to six Central and Eastern European stock markets. We use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative returns are followed by higher co-exceedance between U.S....
Persistent link: https://www.econbiz.de/10011482691
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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 … diversification benefits decrease disproportionally during volatile periods. -- stock market comovements ; Central Europe ; financial …
Persistent link: https://www.econbiz.de/10009615081