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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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Country and sector-specific spillover effects in the euro area, the United States and Japan
Kaltenhaeuser, Bernd - 2003
Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the … process towards higher integration has been primarily a phenomenon of equity markets in the euro area and the United States. …
Persistent link: https://www.econbiz.de/10009635881
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The 2007 global financial crisis and the Malaysian stock market: a sectoral analysis
Kassim, Salina H.; Majid, M. Shabri Abd.; Hamid, Zarinah - In: Afro-Asian Journal of Finance and Accounting 2 (2011) 3, pp. 185-209
The study assesses the impact of the 2007 US sub-prime crisis on the Malaysian stock market by analysing both the benchmark and sectoral indices. Specifically, it empirically examines the integration of the Malaysian, US and Japanese stock markets at the sectoral level, such as finance,...
Persistent link: https://www.econbiz.de/10009352984
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The Euro/Dollar exchange rate: Chaotic or non-chaotic?
Federici, Daniela; Gandolfo, Giancarlo - 2011
econometrically estimated in continuous time with Euro/Dollar data and examined for the possible presence of chaotic motion. Our …
Persistent link: https://www.econbiz.de/10010274880
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The Euro/Dollar exchange rate : chaotic or non-chaotic?
Federici, Daniela; Gandolfo, Giancarlo - 2011
econometrically estimated in continuous time with Euro/Dollar data and examined for the possible presence of chaotic motion. Our …
Persistent link: https://www.econbiz.de/10009011774
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Sovereign bond market integration: the euro, trading platforms and globalization
Wolff, Guntram B.; Schulz, Alexander - 2008
euro, as well as increasing international capital flows, appear to drive low frequency integration. In contrast, yield … attributed to electronic trading platforms becoming functional. The change-over from national currencies to the euro can not …
Persistent link: https://www.econbiz.de/10010295883
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Price discovery on traded inflation expectations: does the financial crisis matter?
Schulz, Alexander; Stapf, Jelena - 2009
break-even inflation rates in the euro area and the US. For maturities up to 5 years new information comes from both the … swap and the bond markets. For longer maturities the swap market provides less and less information in the euro area. In …
Persistent link: https://www.econbiz.de/10010298999
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Price discovery on traded inflation expectations : does the financial crisis matter?
Schulz, Alexander; Stapf, Jelena - 2009
break-even inflation rates in the euro area and the US. For maturities up to 5 years new information comes from both the … swap and the bond markets. For longer maturities the swap market provides less and less information in the euro area. In …
Persistent link: https://www.econbiz.de/10003874764
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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