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Essays on empirical market microstructure
Moberg, Jan-Magnus - 2008
Persistent link: https://www.econbiz.de/10003796409
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009
Persistent link: https://www.econbiz.de/10003880587
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...
Persistent link: https://www.econbiz.de/10003889148
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...
Persistent link: https://www.econbiz.de/10003898817
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Time to buy or just buying time? : the market reaction to bank rescue packages
King, Michael R. - 2009
Persistent link: https://www.econbiz.de/10003939773
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US and global economy and financial markets in turmoil : what lies ahead?
Sinai, Allen L. - 2012
Persistent link: https://www.econbiz.de/10009573519
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Financial market spillovers around the globe
Dimpfl, Thomas; Jung, Robert - 2011
follows. We find weak and shortlived return spillovers, in particular from the USA to Japan. Volatility spillovers are more …
Persistent link: https://www.econbiz.de/10009161582
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International stock return predictability under model uncertainty
Schrimpf, Andreas - In: Journal of international money and finance 29 (2010) 7, pp. 1256-1282
Persistent link: https://www.econbiz.de/10009239675
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Can time difference deter arbitrage opportunities?
Bogomolov, Timofei; Liu, Lixian; Kalev, Petko S. - In: The journal of asset management 14 (2013) 2, pp. 79-94
Persistent link: https://www.econbiz.de/10009765828
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Dynamic linkages of stock prices between the BRICs and the United States : effects of the 2008 - 09 financial crisis
Xu, Haifeng; Hamori, Shigeyuki - In: Journal of Asian economics 23 (2012) 4, pp. 344-352
Persistent link: https://www.econbiz.de/10009663311