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Macro news and stock returns in the euro Area : a VAR-GARCH-in-means analysis

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to the euro area (Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain) using daily data for the period 1994 - 2013. The econometric analysis is based on the...

Persistent link: https://www.econbiz.de/10010383808

Macro news and stock returns in the euro area : a VAR-GARCH-in-mean analysis

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to the euro area (Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain) using daily data for the period 1994-2013. The econometric analysis is based on the estimation...

Persistent link: https://www.econbiz.de/10010399794

Macro news and bond yield spreads in the Euro area

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for...

Persistent link: https://www.econbiz.de/10010417491

Macro news and bond yield spreads in the euro area

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

Persistent link: https://www.econbiz.de/10010417494

How does European integration affect the European stock markets?

Erdogan, Burcu - 2009

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/10003828218

How does European integration affect the European stock markets?

Erdogan, Burcu - 2009

This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over the January 1973- August 2008 period at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health...

Persistent link: https://www.econbiz.de/10011387022

Did Financial Performance of European Firms Improve and Converge after Introduction of the Euro?

Rakhmayil, Sergei - 2010

This paper examines the effect of the Euro on financial performance of companies in the European countries. The main objective is to study the impact of the financial liberalization on firm performance in individual countries, and on cross-country convergence of firms in different aspects of...

Persistent link: https://www.econbiz.de/10013138786

Will Greece Go Bankrupt and Kill the Euro? The Benefits and Cost of Helping Greece

Grubel, Herbert - 2012

This paper considers the benefits to Greece, the Euro zone and the rest of the world arising from policies that prevent a Greek default and exit from the Euro, compares these benefits with the costs of the preventive policies and concludes that the benefits exceed the costs. The rational case...

Persistent link: https://www.econbiz.de/10013098726

Measuring Sovereign Contagion in Europe

Caporin, Massimiliano - 2014

This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major … risk spillover among these countries is not affected by the size of the shock, implying that so far contagion has remained … contagion. This methodology is particularly well-suited to deal with nonlinear and unstable transmission mechanisms …

Persistent link: https://www.econbiz.de/10013066384

EMU and European Government Bond Market Integration

Abad-Romero, Pilar - 2009

The main objective of this paper is to study whether the introduction of the euro had an impact on the degree of integration of European Government bond markets. We adopt the CAPM-based model of Bekaert and Harvey (1995) to compare, from the beginning of Monetary Union until June 2008, the...

Persistent link: https://www.econbiz.de/10013157412