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An empirical validation of financial contagion by a multivariate VAR model

Boutabba, Islem - In: International journal of business and economics 18 (2019) 2, pp. 221-244

Persistent link: https://www.econbiz.de/10012138318

Market maturity and mispricing

Jacobs, Heiko - In: Journal of financial economics 122 (2016) 2, pp. 270-287

Persistent link: https://www.econbiz.de/10011590903

Isolating momentum crashes

Dierkes, Maik; Krupski, Jan - In: Journal of empirical finance 66 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013370567

The 2011 Japanese earthquake, tsunami and nuclear crisis : evidence of contagion from international financial markets

Asongu, Simplice A. - In: Journal of financial economic policy 4 (2012) 4, pp. 340-353

Persistent link: https://www.econbiz.de/10009674774

Are investors' attention and uncertainty aversion the risk factors for stock markets? : international evidence from the COVID-19 crisis

Shear, Falik; Ashraf, Badar Nadeem; Sadaqat, Mohsin - In: Risks : open access journal 9 (2021) 1/2, pp. 1-15

In this paper, we examine the impact of investors' attention to COVID-19 on stock market returns and the moderating effect of national culture on this relationship. Using daily data from 34 countries over the period 23 January to 12 June 2020, and measuring investors' attention with the Google...

Persistent link: https://www.econbiz.de/10012422883

Investors’ Risk Appetite and Global Financial Market Conditions

González-Hermosillo, Brenda - 2008

A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress in the last decade. The model identifies and quantifies the contribution on bond spreads from global market...