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Macroeconomic News Announcements and Price Discovery : Evidence from Canadian-U.S. Cross-Listed Firms
Frijns, Bart - 2015
This study employs macroeconomic news announcements as proxy for new information arrivals and examines their impact on price discovery of Canadian cross-listed stocks. We compare the price discovery of 38 Canadian companies listed on the Toronto Stock Exchange (TSX) and the New York Stock...
Persistent link: https://www.econbiz.de/10013010993
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Do Stock Market Fear and Economic Policy Uncertainty Co-Move with COVID-19 Fear? Evidence from the US and UK
Rubbaniy, Ghulame; Khalid, Ali Awais; Tessema, Abiot - 2021
, to February 12, 2021, this study documents a strong positive comovement between implied volatility indices and two … proxies of the COVID-19 fear. However, in all the cases, the infectious disease equity market volatility index (IDEMVI), the … COVID-19 proxy that is more representative of the stock market, exhibits a stronger positive comovement with volatility …
Persistent link: https://www.econbiz.de/10013228363
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Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation
Asgharian, Hossein - 2020
We study the impact of economic policy uncertainty (EPU) shocks on the long-run stock market variances and correlations, primarily for the US and the UK. We find that US EPU shocks affect both US and UK stock market long-run variances and correlation, but UK EPU shocks only affect its own...
Persistent link: https://www.econbiz.de/10012855094
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Are stock returns a leading indicator for real macroeconomic developments?
Burgstaller, Johann - 2002
Austria, Japan and the USA. Further I deal with the concept of stock market efficiency, the question whether or not …
Persistent link: https://www.econbiz.de/10009750238
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The impact of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021
This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...
Persistent link: https://www.econbiz.de/10012584220
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Time-varying effects of the COVID-19 pandemic on stock markets and economic activity : evidence from the US and Europe
Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, … - In: Empirica : journal of european economics 51 (2024) 2, pp. 529-558
Persistent link: https://www.econbiz.de/10014557642
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Are stock returns a leading indicator for real macroeconomic developments?
Burgstaller, Johann - 2002
Persistent link: https://www.econbiz.de/10001735438
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Volatility Transmission and Correlation Analysis between the US and Asia : The Impact of the Global Financial Crisis
Valls, Natalia - 2011
This paper examines volatility transmission and conditional correlations behaviour between the US and the Asian stock … volatility transmission between the US and the Asian markets. Moreover, it is found that, after the crisis, volatility …
Persistent link: https://www.econbiz.de/10013131471
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Detecting scapegoat effects in the relationship between exchange rates and macroeconomic fundamentals
Pozzi, Lorenzo; Sadaba, Barbara - 2017
This paper presents a new testing method for the scapegoat model of exchange rates that aims to tighten the link between the theory on scapegoats and its empirical implementation. This new testing method consists of a number of steps. First, the exchange rate risk premium, the unobserved...
Persistent link: https://www.econbiz.de/10011662005
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Stock market volatility response to COVID-19 : evidence from Thailand
Suthasinee Suwannapak; Surachai Chancharat - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-9
This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 … pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics …, the interlinkages, and the conditional correlations between stock market volatility and the increasing rate of COVID-19 …
Persistent link: https://www.econbiz.de/10014284290