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After two decades of increased financial market integration, particularly driven by the banking sector, during the … recent financial crisis capital flows decreased sharply, and especially banking flows were affected. At the same time loan …
Persistent link: https://www.econbiz.de/10011299091
This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and...
Persistent link: https://www.econbiz.de/10010291779
With the elimination of foreign exchange risk among the E.M.U.-member countries, the yield of, say, French benchmark government bonds (henceforth, the yield) should be equal to that of German bonds, plus some credit and liquidity premia. Since both premia are not likely to change substantially...
Persistent link: https://www.econbiz.de/10010295513
This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and...
Persistent link: https://www.econbiz.de/10010300155
This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and...
Persistent link: https://www.econbiz.de/10014204632
We analyse the determinants of stock market integration among EU member states for the period 1999–2007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate...
Persistent link: https://www.econbiz.de/10014206060
We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Yılmaz (2012). Second, we make use of a dynamic analysis to evaluate net directional...
Persistent link: https://www.econbiz.de/10013028329
This article compares portfolio selection based on the downside risk sensitivity with portfolio selection based on Sharpe or Treynor ratios. Downside risk sensitivity (DRS) is given by an asset pricing model in which the downside and upside market returns are separated variables relative to...
Persistent link: https://www.econbiz.de/10012890681
tested hypotheses. They also reveal persistent fragmentation between EMU core and periphery banking systems caused by a … deficit of trust in periphery banking systems, unmitigated by the introduction of OMT and European Banking Union. Our findings …
Persistent link: https://www.econbiz.de/10012891054
While the enlargement of the Euro area to new countries has reduced the average return correlation among member countries, the financial crisis and the sovereign debt crisis have led to an increase in stock return correlation among old members. We find that EMU core countries portfolio...
Persistent link: https://www.econbiz.de/10013235331