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European Equity Market Contagion : An Empirical Application to Ireland's Sovereign Debt Crisis
Corbet, Shaen - 2014
This paper examines the time-varying conditional correlations of daily European equity market returns during the Irish sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the collapse of Irish equity markets and subsequent...
Persistent link: https://www.econbiz.de/10013052375
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Stock Market Impact of Sovereign Credit Rating Announcements : The Case of GIIPS and BRIC Countries During the European Sovereign Debt Crisis of 2009-2013
Paterson, Alexander - 2014
In this study, we analyze the effects of sovereign credit rating reviews on national stock market performances in GIIPS and BRIC countries during the European Sovereign Debt Crisis of 2009-2013. Through an event study, we test the Null Hypothesis that cumulative abnormal returns on national...
Persistent link: https://www.econbiz.de/10013060066
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Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis
Baum, Christopher F. - 2013
French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011 …-time capital allocation in the Eurozone. Their downgradings caused investors to rebalance their portfolios across member countries …
Persistent link: https://www.econbiz.de/10013073134
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Financial Contagion in the BRICS Stock Markets : An Empirical Analysis of the Lehman Brothers Collapse and European Sovereign Debt Crisis
Pereira, Dirceu - 2018
This research analyzes and extend the study of contagion for BRICS Emerging Stock Markets in the context of the last two international financial crises: the Lehman Brothers Bankruptcy Crisis and the European Sovereign Debt Crisis. We investigate changes in the relationship and the co-movements...
Persistent link: https://www.econbiz.de/10012931029
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The sovereign debt crisis : rebalancing or freezes?
Östberg, Peter; Richter, Thomas - 2018
Using high-frequency data we document that episodes of market turmoil in the European sovereign bond market are on average associated with large decreases in trading volume. The response of trading volume to market stress is conditional on transaction costs. Low transaction cost turmoil episodes...
Persistent link: https://www.econbiz.de/10011865537
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European versus Anglo-Saxon Credit View : Evidence from the Eurozone Sovereign Debt Crisis
Altdörfer, Marc - 2018
during the Eurozone sovereign crisis. We find that Fitch, the rating agency among the “Big Three” with significantly stronger … ties to Europe, was more reluctant than its two more US-tied peers to downgrade Eurozone countries during the crisis. The …
Persistent link: https://www.econbiz.de/10012935049
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European versus Anglo-Saxon credit view : evidence from the eurozone sovereign debt crisis
Altdörfer, Marc; De las Salas Vega, Carlos Andres; … - 2016
the assignment of sovereign credit ratings, using the Eurozone sovereign debt crisis of 2009-2012 as a natural laboratory … two more US-tied peers, assigned on average more favourable ratings to Eurozone issuers during the crisis. However, Fitch …'s better ratings for Eurozone issuers seem to be neglected by investors as they rather follow the rating actions of Moody's and …
Persistent link: https://www.econbiz.de/10011570580
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Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises
Baum, Christopher F. - 2016
yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in … crisis-time capital allocation in Eurozone. Their downgradings caused investors to rebalance their portfolios across member …
Persistent link: https://www.econbiz.de/10013003953
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Credit rating agency announcements and the eurozone sovereign debt crisis
Baum, Christopher F.; Karpava, Margarita; Schäfer, Dorothea - 2013
French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011 …-time capital allocation in the Eurozone. Their downgradings caused investors to rebalance their portfolios across member countries …
Persistent link: https://www.econbiz.de/10010206145
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Comovement between stock and bond markets and the 'flight-to-quality' during financial market turmoil : a case of the Eurozone countries most affected by the sovereign debt crisis...
Dajcman, Silvo - In: Applied economics letters 19 (2012) 16/18, pp. 1655-1662
Persistent link: https://www.econbiz.de/10009683991