Narrow search
Showing 1 - 10 of 100,576
Cover Image
Evolvement of uniformity and volatility in the stressed global financial village
Kenett, Dror Y.; Raddant, Matthias; Lux, Thomas; … - 2011
In the current era of strong worldwide market couplings the global financial village became highly prone to systemic collapses, events that can rapidly sweep through out the entire village. Here we present a new methodology to assess and quantify inter-market relations. The approach is based on...
Persistent link: https://www.econbiz.de/10010286037
Cover Image
STOCK MARKET COMO VEMENT IN THE EUROPEAN UNION AND TRANSITION COUNTRIES
Harrison, Barry; Moore, Winston - In: Studii Financiare (Financial Studies) 13 (2009) 3, pp. 124-151
. Three approaches are used to obtain time-varying estimates of the comovement between returns on CEE and EU stock exchanges …
Persistent link: https://www.econbiz.de/10008529118
Cover Image
Extreme Coexceedances in New EU Member States' Stock Markets
Christiansen, Charlotte; Ranaldo, Angelo - Schweizerische Nationalbank (SNB) - 2008
We analyze the financial integration of the new European Union (EU) member states' stock markets using the negative (positive) coexceedance variable that counts the number of large negative (large positive) returns on a given day across the countries. We use a multinomial logit model to...
Persistent link: https://www.econbiz.de/10005091303
Cover Image
The Dynamics of Return Comovement and Spillovers Between the Czech and European Stock Markets in the Period 1997–2010
Dajcman, Silvo - In: Czech Journal of Economics and Finance (Finance a uver) 62 (2012) 4, pp. 368-390
The paper examines the comovement and spillover dynamics between the returns of the Czech and some major European stock … comovement (correlation) between the Czech and European stock markets time-varying? What effect did the financial crises in the … period 1997–2010 and the accession of the Czech Republic to the European Union have on the comovement between the Czech and …
Persistent link: https://www.econbiz.de/10010575653
Cover Image
Extreme Coexceedances in New EU Member States' Stock Markets
Christiansen, Charlotte; Ranaldo, Angelo - Schweizerische Nationalbank (SNB) - 2008
We analyze the financial integration of the new European Union (EU) member states' stock markets using the negative (positive) coexceedance variable that counts the number of large negative (large positive) returns on a given day across the countries. We use a multinomial logit model to...
Persistent link: https://www.econbiz.de/10008925000
Cover Image
Brexit and the implications for financial services
Jackson, Patricia (contributor) - 2017
On 23rd February 2017, SUERF and EY organized a conference on "Brexit and the Implications for Financial Services" at EY's offices, Churchill Place, Canary Wharf, London. While the outcome of the Brexit negotiations remains highly uncertain, the conference discussed the burning questions for...
Persistent link: https://www.econbiz.de/10011985209
Cover Image
What explains month-end funding pressure in Canada?
Sutherland, Christopher S. - 2017
The Canadian overnight repo market persistently shows signs of latent funding pressure around month-end periods. Both the overnight repo rate and Bank of Canada liquidity provision tend to rise in these windows. This paper proposes three non-mutually exclusive hypotheses to explain this...
Persistent link: https://www.econbiz.de/10012029839
Cover Image
Sovereign rating news and financial markets spillovers: Evidence from the European debt crisis
Arezki, Rabah; Candelon, Bertrand; Sy, Amadou - 2011
This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The...
Persistent link: https://www.econbiz.de/10010275006
Cover Image
Estimating financial integration in Europe: How to separate structural trends from cyclical fluctuations
Lake, Alfred; Maurin, Laurent; Minnella, Enrico - 2022
We construct a new indicator of de facto financial integration in the EU. The resulting indicator is pro-cyclical as it evolves along the cyclical pattern of economic activity in the European Union. It is then appended to a set of relevant financial and macroeconomic variables, within a FAVAR...
Persistent link: https://www.econbiz.de/10013460365
Cover Image
How important is liquidity risk for sovereign bond risk premia? Evidence from the London Stock Exchange
Alquist, Ron - 2008
This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and sovereign bond risk premia. The London Stock Exchange in the late 19th century is an ideal laboratory in which to test the proposition that liquidity risk affects the price of sovereign...
Persistent link: https://www.econbiz.de/10010279951