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The impact of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021
This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...
Persistent link: https://www.econbiz.de/10012584220
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Cryptocurrencies, technology stocks, Covid-19 and US policy responses: a fractional integration analysis
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2022
technology stocks using fractional integration techniques. More precisely, it analyses the behaviour of the percentage returns in …
Persistent link: https://www.econbiz.de/10013041344
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US policy responses to the Covid-19 pandemic and sectoral stock indices : a fractional integration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Abakah, … - 2021
This paper uses fractional integration methods to assess the impact of US policy responses (containment and health measures, income support policy, debt-relief policy, changes in the Effective Federal Funds Rate, monetary and fiscal announcements) to the COVID-19 pandemic on US sectoral stock...
Persistent link: https://www.econbiz.de/10012653343
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The Impact of Containment Measures and Monetary and Fiscal Responses on US Financial Markets During the COVID-19 Pandemic
Aikins Abakah, Emmanuel Joel; Caporale, Guglielmo Maria; … - 2021
This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...
Persistent link: https://www.econbiz.de/10013220137
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US Policy Responses to the COVID-19 Pandemic and Sectoral Stock Indices : A Fractional Integration Approach
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Aikins … - 2021
This paper uses fractional integration methods to assess the impact of US policy responses (containment and health measures, income support policy, debt-relief policy, changes in the Effective Federal Funds Rate, monetary and fiscal announcements) to the COVID-19 pandemic on US sectoral stock...
Persistent link: https://www.econbiz.de/10013322776
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Cryptocurrencies, Technology Stocks, COVID-19 and US Policy Responses : A Fractional Integration Analysis
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2022
technology stocks using fractional integration techniques. More precisely, it analyses the behaviour of the percentage returns in …
Persistent link: https://www.econbiz.de/10013296442
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The effects of US Covid-19 policy responses on cryptocurrencies, Fintech and artificial intelligence stocks : a fractional integration analysis
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-14
such as cryptocurrencies, financial technology, and artificial intelligence stocks using fractional integration techniques …
Persistent link: https://www.econbiz.de/10014500447
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Volatility returns with vengeance: Financial markets vs. commodities
Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2015
returns and volatility allow to influence pairs of assets, and derive several case studies linking commodities to stocks …, bonds and currencies from 1983 to 2013. The innovative feature of our model is that these volatility spillovers are modeled …
Persistent link: https://www.econbiz.de/10011205311
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Minimum Connectedness Portfolios and the Market for Green Bonds : Advocating Socially Responsible Investment (SRI) Activity
Broadstock, David C.; Chatziantoniou, Ioannis; Gabauer, … - 2021
. The market for green bonds was established in 2007, and in recent years is achieving a phase of maturity. Notwithstanding … whether green bonds have a (value-enhancing) role to play in a balanced fixed-income investment portfolio. We phrase our … analysis around international bond indices, for green versus black bonds in the three major market regions for green bonds …
Persistent link: https://www.econbiz.de/10013238330
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Tail-risk connectedness between sukuk and conventional bond markets and their determinants : evidence from a country-level analysis
Syed Mabruk Billah; Kapar, Burcu; Hassan, M. Kabir; … - In: Borsa Istanbul Review 24 (2024) 1, pp. 137-163
The study investigates the tail-risk spillover between the markets for sukuk and conventional bonds across fifteen …
Persistent link: https://www.econbiz.de/10014494767