Narrow search
Showing 1 - 10 of 19,147
Cover Image
Global Financial Crisis, COVID-19, Lockdown, and Herd Behavior in the US ESG Leader Stocks
Rubbaniy, Ghulame; Ali, Shoaib; Siriopoulos, Costas; … - 2021
Using data of the constituents of the MSCI USA ESG leader index, this study investigates the herding behavior in the US … ESG stocks over the period from January 03, 2007 to September 30, 2020. Our results reveal a significant herding behavior … bull market conditions. Our study documents the evidence of market-wide herding during the global financial crisis, COVID …
Persistent link: https://www.econbiz.de/10013222725
Cover Image
Herding Behavior and Systemic Risk in Global Stock Markets
Vioto, Davide; Tunaru, Radu; Hasan, Iftekhar - 2022
This paper provides new evidence of herding in global equity markets. Using quantile regressions applied to daily data … for 33 countries, we investigate herding during the Eurozone crisis, China's market crash in 2015-2016, and in the … aftermath of the Brexit vote. We find significant evidence of herding behavior driven by negative tail market conditions for …
Persistent link: https://www.econbiz.de/10013295491
Cover Image
Network Connectedness, Uncertainty and Net Spillover between Financial and Commodity Markets
Kang, Sang Hoon; Al Mamun, Md; Uddin, Gazi Salah; Yoon, … - 2023
We measure the return connectedness in US policy uncertainty, equity and commodity market between January 1990 to December 2015, with a specific focus on the net spillover transmission from one assets class to another asset class. Applying Diebold and Yilmaz (2012, 2014), we perform both static...
Persistent link: https://www.econbiz.de/10014356138
Cover Image
Herding for Profits : Market Breadth and the Cross-Section of Global Equity Returns
Zaremba, Adam - 2019
This paper shows that market breadth, i.e. the difference between the average number of rising stocks and the average number of falling stocks within a portfolio, is a robust predictor of future stock returns on market and industry portfolios for 64 countries for the period between 1973 and...
Persistent link: https://www.econbiz.de/10012863920
Cover Image
The zero risk fallacy? : banks' sovereign exposure and sovereign risk spillovers
Kirschenmann, Karolin; Korte, Josef; Steffen, Sascha - 2017
European banks are exposed to a substantial amount of risky sovereign debt. The "missing bank capital" resulting from the zero-risk weight exemption for European banks for European sovereign debt amplifies the co-movement between sovereign CDS spreads and facilitates cross-border...
Persistent link: https://www.econbiz.de/10011764975
Cover Image
The changing role of emerging and frontier markets in global portfolio diversification
Pätäri, Eero; Ahmed, Sheraz; John, Elena; Karell, Ville - In: Cogent economics & finance 7 (2019) 1, pp. 1-23
Although the literature on the benefits of diversifying equity portfolios to emerging markets is abundant, the role of frontier markets in global equity portfolio diversification is clearly less examined. We contribute to the existing literature by examining three different, though closely...
Persistent link: https://www.econbiz.de/10014233132
Cover Image
The Reaction of Emerging Market Credit Default Swap Spreads to Sovereign Credit Rating Changes
Ismailescu, Iuliana - 2019
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
Cover Image
Herding, information cascades and volatility spillovers in futures markets
McAleer, Michael; Radalj, Kim - 2013
Persistent link: https://www.econbiz.de/10009784945
Cover Image
Extreme spillovers across Asian-Pacific currencies : a quantile-based analysis
Bouri, Elie; Lucey, Brian M.; Saeed, Tareq; Xuan Vinh Vo - In: International review of financial analysis 72 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012437557
Cover Image
Currency Hedging Strategies, Strategic Benchmarks and the Global and Euro Sovereign Financial Crises
Caporin, Massimiliano - 2013
This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...
Persistent link: https://www.econbiz.de/10013074792