This paper investigates the impact of the opening of US stock markets on the German stock market. Quantiles of the S&P 500 return distribution are used to distinguish good, bad, and no news days. We find that the German market reacts to the US news announcements which typically precede the...

We estimate quantile autoregression (QAR) models to analyze variations in the autoregressive coefficients of 55 international stock index returns and demonstrate that it is important to allow the autoregressive parameters to vary with quantiles. The empirical results identify distinctively...

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high...

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high...

We use intraday stock index return data from both sides of the Atlantic during overlapping trading hours to analyze the dynamic interactions between European and US stock markets. We are particularly interested in differences of information transmission before, during, and after the financial...

Cointegration is frequently used to assess the degree of interdependence of financial markets. We show that if a stock's price follows a stock specific random walk, market indices cannot be cointegrated. Indices are a mere combination of n different random walks which itself is non-stationary by...

We use transfer entropy to quantify information flows between financial mar- kets and propose a suitable bootstrap procedure for statistical inference. Trans- fer entropy is a model-free measure designed as the Kullback-Leibler distance of transition probabilities. Our approach allows to...

Financial market spillovers around the globeThis paper investigates the transmission of return and volatility spillovers around the globe. It draws on index futures of three representative indices, namely the Dow Jones Euro Stoxx 50, the S&P 500 and the Nikkei 225. Devolatised returns and...

We use intraday stock index return data from both sides of the Atlantic during overlapping trading hours to analyze the dynamic interactions between European and US stock markets. We are particularly interested in differences of information transmission before, during, and after the financial...