Showing 1 - 10 of 1,611
The global financial crisis of 2008 was a crisis affecting both the financial sector and the “real economy.” This paper analyzes the transmission of unexpected shocks from the financial sector in the US to other countries and sectors. We test the hypothesis that the financial crisis spread...
Persistent link: https://www.econbiz.de/10013138715
This paper analyzes the incidences of sector-specific contagion during the Global Financial Crisis of 2007-2009. The empirical analysis comprising ten sectors in 25 major developed and emerging stock markets shows that the crisis led to an increased co-movement of returns and thus contagion...
Persistent link: https://www.econbiz.de/10013139246
We use high-frequency intra-day gold and S&P500 data covering the period from 2007 to 2018 to investigate when and how fast gold prices react to extreme negative shocks in the equity market. Our empirical analysis reveals three new features of gold: First, extreme negative 5-min S&P500 returns...
Persistent link: https://www.econbiz.de/10012898257
In this paper we assess the effect of a high frequency investor sentiment measure, captured by aggregating search volume indices (SVI) for a set of economically negative and relevant search terms and its effect on returns of cross-listed securities indices. Similar to US stock returns, the ADR's...
Persistent link: https://www.econbiz.de/10012928219
This study explores herding behavior in the cryptocurrency market during three major international crises: the COVID-19 pandemic, the Russia-Ukraine war, and the Palestine-Israel conflict. The study uses daily closing prices of five major cryptocurrencies (Bitcoin, Ethereum, Tether, BNB, and...
Persistent link: https://www.econbiz.de/10015192293
Focusing on five major emerging markets (EM), I investigate the interactions between credit default swap (CDS) premiums, foreign exchange (FX) parities, local currency government bond (LCB) spreads, and national stock market indices over the period 4/2/2007 to 8/27/2009. Empirical analysis...
Persistent link: https://www.econbiz.de/10013128666
This paper examines the impact of sovereign credit rating change announcements on the CDS spreads of the event countries, and their spillover effects on other emerging economies' CDS premiums. In contrast to previous work, we find that positive events have a more consistent impact on sovereign...
Persistent link: https://www.econbiz.de/10012906174
We examine the risk and return characteristics of fundamental weighting schemes for developed, emerging, and frontier government bond markets; and compare these to market capitalization weighted indexes. We document positive excess returns for the investment grade sample only when currency risks...
Persistent link: https://www.econbiz.de/10012966714
This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically, the study investigates the spillover effects between oil and food price volatility and the volatility of a key macroeconomic indicator of importance to financial stability:...
Persistent link: https://www.econbiz.de/10012021528
Warren Buffett suggested that the ratio of the market value of publicly traded stocks to economic output could identify equity market mispricings. We extend the existing research from the United States to international equity markets by investigating the return-predictive characteristics of the...
Persistent link: https://www.econbiz.de/10013290933