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A sustainability transition on the move? : evidence based on the disconnect from market fundamentals

Alessi, Lucia; Hirschbühl, Dominik; Rossi, Alessandro - 2022

In a context where European stock prices have been trending upwards, one of the main concerns is that stocks perceived … particular market segments, the model shows that green and ESG stocks behave broadly in line with the market. However, in recent … years ESG stocks have shown a significant, though small, disconnect from the market. These findings suggest that investor …

Persistent link: https://www.econbiz.de/10013358983

Intermediation in US and EU bond and swap markets : stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020

Scheicher, Martin - 2023

The trading of bonds and swaps largely relies on bank dealers as core market-makers. Dealers provide liquidity and trade the instruments with smaller or less active firms, in part by using their own balance sheets for inventory holding or hedging purposes. The reforms carried out in the...

Persistent link: https://www.econbiz.de/10014460615

Hot off the press : news-implied sovereign default risk

Dim, Chukwuma; Koerner, Kevin; Wolski, Marcin; Zwart, Sanne - 2022 - This version: March 2022

We develop a sovereign default risk index using natural language processing techniques and 10 million news articles covering over 100 countries. The index is a highfrequency measure of countries' default risk, particularly for those lacking marketbased measures: it correlates with sovereign CDS...

Persistent link: https://www.econbiz.de/10013190704

Bond convenience curves and funding costs

Nissinen, Juuso; Sihvonen, Markus - 2022

A convenience yield represents a difference between yield on a safe bond and yield on a synthetic safe bond, constructed by combining a risky bond with a CDS contract. We explain the shapes of eurozone sovereign convenience curves using a model in which arbitrageurs face higher funding costs on...

Persistent link: https://www.econbiz.de/10013373329

A review of the global and local securities markets in ... ; 2019

Hongkong / Securities and Futures Commission - 2020

Persistent link: https://www.econbiz.de/10012241776

Evolution of EEA share market structure since MiFID II

ESMA - 2023

Persistent link: https://www.econbiz.de/10014462177

Common shareholding in Europe

Rosati, N.; Bomprezzi, P.; Ferraresi, Marco; Frigo, A.; … - Europäische Kommission / Gemeinsame Forschungsstelle - 2020

Persistent link: https://www.econbiz.de/10012322221

China's footprint in global financial markets

Lodge, David; Manu, Ana-Simona; Van Robays, Ine - 2024

Using daily data since 2017, we disentangle China-specific structural shocks driving Chinese financial markets and examine spillovers across global markets. The novelty of this paper consists of simultaneously identifying China shocks with shocks emanating from the United States and shocks to...

Persistent link: https://www.econbiz.de/10014471891

Insurers' investment behaviour and the coronavirus (COVID-19) pandemic

Fay, Constanze; Ghiselli, Angelica - 2023

This research explores two aspects of European insurers' investment behaviour related to crises. While they are often considered as financial market stabilisers and long-term investors, there is currently a lack of knowledge about insurers' investment behaviour in crises under the regulatory...

Persistent link: https://www.econbiz.de/10014374815

Global political ties and the global financial cycle

Ambrocio, Gene; Hasan, Iftekhar; Li, Xiang - 2024 - This Version: December 20, 2023

We study the implications of forging stronger political ties with the US on the sensitivities of stock returns around the world to a global common factor - the global financial cycle. Using voting patterns at the United Nations as a measure of political ties with the US along with various...

Persistent link: https://www.econbiz.de/10014448309