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Modeling international stock market contagion using multivariate fractionally integrated APARCH approach

Mighri, Zouheir; Mansouri, Faysal - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-25

plunging stock market in the US, in the aftermath of global financial crisis (2007 - 2009), exerts contagion effects on … terms, and time-varying correlations. The empirical analysis shows a contagion effect for Brazil and Mexico during the early …

Persistent link: https://www.econbiz.de/10011559137

Effect of catastrophic disaster in financial market contagion

Siddikee, Md. Noman; Rahman, Mohammad Mafizur - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-13

The study examined the contagion effect of financial market volatility from Australian capital market to Indian, New … residuals after the catastrophes. Finally, Fishers r to z transformation was used for identifying contagion. After Victoria … respective z > +1.96 validates contagion. The adjusted correlation coefficient of Australia with China and Japan increased after …

Persistent link: https://www.econbiz.de/10011988709

Dynamic currency linkages between select emerging market economies: An empirical study

Mittal, Arjun; Sehgal, Sanjay; Mittal, Anand - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-31

and stood at 0.29, which rose to 0.39 in the post-crisis period implying contagion effects. Based on both ADCC results and …

Persistent link: https://www.econbiz.de/10014001605

The determinants of sovereign risk premiums in the UK and the European government bond market: the impact of Brexit

Kadiric, Samir - In: International Economics and Economic Policy 19 (2022) 2, pp. 267-298

This paper analyzes recent developments in the British and European government bond markets with reference to the UK's decision to leave the European Union. The two main goals of the study are, firstly, to examine whether the Brexit referendum result has affected the risk premium and, secondly,...

Persistent link: https://www.econbiz.de/10015209752

Internationale Finanzmarktintegration stärkt Abwehrkräfte einer Volkswirtschaft gegen Folgen von Naturkatastrophen

Bremus, Franziska; Rieth, Malte - In: DIW Wochenbericht 90 (2023) 11, pp. 127-134

Aufgrund des Klimawandels kommt es häufiger zu Stürmen, Überschwemmungen und anderen Naturkatastrophen. Die vorliegende empirische Analyse zeigt, dass eine bessere Integration von Ländern in internationale Finanzmärkte die gesamtwirtschaftlichen Abwehrkräfte gegen solche Schocks stärkt....

Persistent link: https://www.econbiz.de/10014290013

Europe Needs More than a Capital Markets Union: Focus on the Integration of Euro Area Sovereign Debt Markets

Breitenfellner, Andreas; Schuberth, Helene - In: Vierteljahrshefte zur Wirtschaftsforschung 86 (2017) 2, pp. 9-20

With a view to establishing a Capital Markets Union (CMU), efforts to integrate (private) capital markets and private risk-sharing in the European Union are underway. However, the single (capital) market will be burdened by a perennial potential threat to sovereign bond market stability in the...

Persistent link: https://www.econbiz.de/10012054624

Zinsspreads auf europäische Staatsanleihen: Implikationen und Lehren aus der europäischen Schuldenkrise

Bernoth, Kerstin - In: Vierteljahrshefte zur Wirtschaftsforschung 79 (2010) 4, pp. 103-118

Diese Studie untersucht die zeitvariierenden Faktoren, welche die Zinsspreads auf Europäische Staatsanleihen zwischen Q1/1999 und Q1/2010 beeinflusst haben. Vor der Finanzkrise, welche Ende 2007 ihren Anfang nahm, haben Finanzmärkte Kreditrisiken nur sehr begrenzt wahrgenommen und...

Persistent link: https://www.econbiz.de/10010377952

Zinsspreads auf europäische Anleihen: Finanzmärkte verstärken Druck zu mehr Haushaltsdisziplin

Bernoth, Kerstin; Erdogan, Burcu - In: DIW Wochenbericht 77 (2010) 51/52, pp. 12-18

Der seit der Finanzkrise steile Anstieg der Zinsdifferenzen zwischen europäischen Staatsanleihen bringt mehrere Mitgliedsländer der europäischen Währungsunion (EWU) unter erhebliche Refinanzierungsschwierigkeiten und wirft die Frage nach den Ursachen auf. Dieser Bericht fasst die Ergebnisse...

Persistent link: https://www.econbiz.de/10011602283

Predictability in securities price formation: Differences between developed and emerging markets

Camilleri, Silvio John; Vassallo, Semiramis; Bai, Ye - In: Journal of Capital Markets Studies (JCMS) 4 (2020) 2, pp. 146-166

Purpose This paper examines whether there are differences in the nature of the price discovery process across established versus emerging stock markets using a twenty-country sample. Design/methodology/approach The authors analyse security returns for traces of predictability or non-randomness...

Persistent link: https://www.econbiz.de/10015327898

Financial regulation, financial globalization, and the synchronization of economic activity

Kalemli-Ozcan, Sebnem; Papaioannou, Elias; Peydró, … - In: The Journal of Finance 68 (2013) 3, pp. 1179-1228

We analyze the impact of financial globalization on business cycle synchronization utilizing a proprietary database on banks’ international exposure for industrialized countries during 1978–2006. Theory makes ambiguous predictions and identification has been elusive due to lack of bilateral...

Persistent link: https://www.econbiz.de/10012210865