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Empirical analysis of market reactions to the UK's referendum results : how strong will Brexit be?
Aristeidis, Samitas; Elias, Kampouris - In: Journal of international financial markets, … 53 (2018), pp. 263-286
Persistent link: https://www.econbiz.de/10011983871
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Financial Impact of Brexit
Ishchy, Ulker Begum - 2019
Brexit is abbreviation of British Exit and this word is used by people who discuss about UK's decision for leaving EU. Brexit is judged for attaining success as it will be not depend on some degree to economic affect. There is presence of different range of trade opportunities along with...
Persistent link: https://www.econbiz.de/10012895920
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Brexit, What Brexit? Euro Area Portfolio Exposures to the United Kingdom Since the Brexit Referendum
Carvalho, Daniel; Schmitz, Martin - 2022
We study euro area investors' portfolio adjustment since the Brexit referendum in terms of securities issued in the UK … since the Brexit referendum. The analysis also reveals an increase in the euro area's exposure to listed shares issued by UK … referendum, which appear to have largely outweighed the uncertainties associated with Brexit …
Persistent link: https://www.econbiz.de/10014239454
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Time-Varying Exchange Rate Exposure and Exchange Rate Risk Pricing in the Canadian Equity Market
Al-Shboul, Mohammad - 2013
This paper aims to extend the existing literature on foreign exchange rate risk pricing. Unlike the existing studies on Canada, we use six alternative bilateral and one multilateral exchange rate proxies. Furthermore, using both a two-factor and a three-factor capital asset pricing model (CAPM),...
Persistent link: https://www.econbiz.de/10013072274
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Inter-Quantile Ranges and Volatility of Financial Data
Dimpfl, Thomas - 2016
We propose to estimate the variance of a time series of financial returns through a quantile autoregressive model (QAR) and demonstrate that the return QAR model contains all information that is commonly captured in two separate equations for the mean and variance of a GARCH-type model. In...
Persistent link: https://www.econbiz.de/10012983638
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Investors’ Risk Attitudes in the Pandemic and the Stock Market : New Evidence Based on Internet Searches
Amstad, Marlene - 2020
The sharp drop and subsequent rebound in global stock markets in the current pandemic focuses attention on changes in investors' risk attitudes. A new COVID-19 risk attitude (CRA) index for 61 markets, based on internet searches in Google and Baidu, does a good job at capturing investors'...
Persistent link: https://www.econbiz.de/10012828051
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Feverish stock price reactions to COVID-19
Ramelli, Stefano; Wagner, Alexander F. - 2020
Market reactions to the 2019 novel coronavirus disease (COVID-19) provide new insights into how real shocks and financial policies drive firm value. Initially, internationally oriented firms, especially those more exposed to trade with China, underperformed. As the virus spread to Europe and the...
Persistent link: https://www.econbiz.de/10012181338
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The Dynamics of Financial Markets : Fibonacci Numbers, Elliott Waves, and Solitons
Ivanova, Inga - 2020
In this paper information theoretical approach is applied to the description of financial markets A model which is expected to describe the markets dynamics is presented. It is shown the possibility to describe market trend and cycle dynamics from a unified viewpoint. The model predictions...
Persistent link: https://www.econbiz.de/10012845774
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Herding in Frontier Markets : Evidence from African Stock Exchanges
Guney, Yilmaz - 2016
We investigate herding in eight African frontier stock markets between January 2002 and July 2015, given the limited evidence on herding in frontier markets. Herding appears significant throughout the 2002-2015 period for all markets, with smaller stocks found to enhance its magnitude. Herding...
Persistent link: https://www.econbiz.de/10012980294
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Measuring Time-Varying Disaster Risk : An Empirical Analysis of 'Dark Matter' in Asset Prices
Baron, Matthew; Xiong, Wei; Ye, Zhijiang - 2022
To confront the challenge that disaster risk is “dark matter” in finance, we construct an objective measure of disaster risk, which is able to predict half of GDP crashes in a sample of 20 advanced economies between 1870 and 2021. Despite this significant predictability, we find no...
Persistent link: https://www.econbiz.de/10013492349