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The Effects of the COVID-19 Pandemic on Stock Markets, CDS and Economic Activity : Time-Varying Evidence from the US and Europe
Caporale, Guglielmo Maria; Catik, Abdurrahman Nazif; … - 2021
This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the dates from the first confirmed COVID-19 cases in...
Persistent link: https://www.econbiz.de/10013211119
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Crude oil price shocks and stock returns : evidence from Turkish stock market under global liquidity conditions
Berk, Istemi; Aydogan, Berna - 2012
tested the relationship between oil prices and stock market returns under global liquidity conditions by incorporating a … liquidity proxy variable, Chicago Board of Exchange's (CBOE) S&P 500 market volatility index (VIX), into the model. Variance … Turkish stock market. Rather, it was global liquidity conditions that were found to account for the greatest amount of …
Persistent link: https://www.econbiz.de/10009743922
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The interdependence of gold, US dollar and stock market in the context of COVID-19 pandemic : an insight into analysis in Asia and Europe
Oanh Kim Thi Tran; Ha Nguyen - In: Cogent economics & finance 10 (2022) 1, pp. 1-18
gold price and a positive effect on the USD exchange rate. In Europe, the stock market has a negative impact on the other … two markets in the short term. The variance decomposition results suggest that, in Europe, the stock market return …
Persistent link: https://www.econbiz.de/10014500215
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Stock Market Interactions and the Impact of Macroeconomic News - Evidence from High Frequency Data of European Futures Markets
Kräussl, Roman; Canto, Bea - 2023
This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ Eurostoxx 50 and the FTSE 100. It also examines whether economic news is one source of international stock return co-movements. In particular, we test whether stock market interdependencies are...
Persistent link: https://www.econbiz.de/10014352510
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The impact of the Covid-19 pandemic on persistence in the European stock markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Arrese … - 2021
This paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets. Specifically, it uses fractional integration methods to estimate persistence at the daily, weekly and monthly frequencies in the case of ten major European stock market indices; the...
Persistent link: https://www.econbiz.de/10012653308
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Der Einfluss von Länderratingereignissen auf den europäischen Aktienmarkt : eine branchenspezifische Analyse
Erhardt, Denise - 2016
Im Zuge der Finanzkrise haben Ratingagenturen die Bonität einiger europäischer Staaten vermehrt abgewertet, wodurch sich das wirtschaftliche Umfeld der in diesen Ländern tätigen Unternehmen gewandelt hat und die betroffenen Aktienmärkte Verluste verzeichneten. Aus diesem Grund ist in...
Persistent link: https://www.econbiz.de/10011749284
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Can macroeconomic volatility affect stock market volatility? : the case of 5 central and eastern European countries
Baroian, Elena - In: Romanian journal of fiscal policy : RJFP 5 (2014) 2, pp. 41-55
This paper examines whether macroeconomic instability can influence stock market volatility in a sample of 5 emerging European countries. To account for the effects of fundamentals, modified ARCH/GARCH models are employed. The results are discordant from one country to another, but when a...
Persistent link: https://www.econbiz.de/10010492726
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Analysing the Dynamic Influence of US Macroeconomic News Releases on Turkish Stock Markets
Ekinci, Cumhur - 2019
-minute period post-release. Available liquidity measured by pending orders in limit order book decreases with the news arrival …. These results present implications for market dynamics and signal that liquidity consumption (through market orders) largely … dominates liquidity provision (through limit orders) in the five-minute period following the release …
Persistent link: https://www.econbiz.de/10012862886
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COVID-19 and instability of stock market performance : evidence from the U.S.
Hong, Hui; Bian, Zhicun; Lee, Chien-chiang - In: Financial innovation : FIN 7 (2021), pp. 1-18
participants with plenty of liquidity at hand and those short of funds. …
Persistent link: https://www.econbiz.de/10012494993
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Oil Price Shocks and Stock Market Returns : Evidence from Oil-Importing and Oil-Exporting Countries
Yang, Li - 2012
While the relationship between oil prices and stock markets is of great interest to economists, previous studies do not differentiate oil-exporting countries from oil-importing countries when they investigate the effects of oil price shocks on stock market returns. In this paper, we address this...
Persistent link: https://www.econbiz.de/10013096494