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New Financial Indices for the United States

Taylor, Bryan - 2022

New equity indices are calculated for the United States covering the period from 1791 to the present. Indices include the GFD US-100, the Curb/AMEX, indices for Boston, Philadelphia, Chicago and other exchanges, new Railroad indices, Canada and Australia. The indices provide an opportunity to...

Persistent link: https://www.econbiz.de/10013404236

Capital constraints, counterparty risk, and deviations from covered interest rate parity

Coffey, Niall; Hrung, Warren B.; Sarkar, Asani - 2009 - Rev.

We provide robust evidence of deviations from the covered interest rate parity (CIP) relation since the onset of the financial crisis in August 2007. The CIP deviations exist with respect to several different dollar-denominated interest rates and exchange rate pairings of the dollar vis-à-vis...

Persistent link: https://www.econbiz.de/10003947651

Stock returns and implied volatility : a new VAR approach

Lee, Bong-soo; Ryu, Doojin - 2013

The authors re-examine the return-volatility relationship and its dynamics under a new vector autoregression (VAR) identification framework. By analyzing two model-free impliedvolatility indices – the well-established VIX (in the United States) and the recently published VKOSPI (in Korea) –...

Persistent link: https://www.econbiz.de/10009700253

Are there spillover effects from Hong Kong and the United States to Chinese stock markets

Diekmann, Katharina - 2011

Stock market integration of mainland China is analyzed before and after the liberalization of Chinese stock exchange segments. We apply a causalityin-variance procedure, using four mainland China stock market indices, two indices of the stock exchange in Hong Kong and the Dow Jones Industrial...

Persistent link: https://www.econbiz.de/10009660281

Stock returns and implied volatility : a new VAR approach

Lee, Bong-soo; Ryu, Doojin - 2012

This study re-examines the return-volatility relationship and dynamics under a new VAR framework. By analyzing two model-free implied volatility indices - VIX (the U.S.) and VKOSPI (Korea) - and their corresponding stock market indices, we found an asymmetric volatility phenomenon in both...

Persistent link: https://www.econbiz.de/10009628165

US long term interest rates and capital flows to emerging economies

Olaberria, Eduardo - 2014

Following Chairman Ben Bernanke’s comments before Congress that the FOMC may ‘take a step down in the pace of asset purchases if economic improvement appears to be sustained’, US 10-year interest rates picked up sharply and gross capital flows to emerging market economies (EMEs) reversed....

Persistent link: https://www.econbiz.de/10010464962

Bond Market Evidence of Time Variation in Exposures to Global Risk Factors and the Role of US Monetary Policy

Nitschka, Thomas - 2016

' government bond returns to measures of global, systematic risk and thus affects the time variation of returns on these countries … highlights that exchange rate risk and time variation in sensitivities to global bond and exchange rate risk are important to … describe time variation in developed markets' government bond returns …

Persistent link: https://www.econbiz.de/10013001019

Bond Liquidity and Dealer Inventories : Insights from US and European Regulatory Data

Ivanov, Plamen - 2020

Most corporate bond research on liquidity and dealer inventories is based on the USD-denominated bonds transactions in … how using the CUSIP-level information from TRACE and ZEN affects the computation of bond liquidity metrics, dealer … combined dataset. When measuring bond liquidity with the Amihud ratio, we find strong relationships in both TRACE and ZEN but …

Persistent link: https://www.econbiz.de/10012842570

The Effects of Oil Price Shocks on U.S. Stock Order Flow Imbalances and Stock Returns

Lambertides, Neophytos - 2017

This paper investigates for the first time the effects of oil demand shocks and oil supply shocks on stock order flow imbalances leading to changes in stock returns. Through the estimation of a structural VAR model, positive oil demand shocks are able to explain almost 36% of the observed...

Persistent link: https://www.econbiz.de/10012959469

US Implied Volatility as a Predictor of International Returns

Dicle, Mehmet F. - 2017

This study provides evidence of the US implied volatility's effect on international equity markets' returns. This evidence has two main implications: i) investors may find that foreign equity returns adjusting to US implied volatility may not provide true diversification benefits, and ii)...

Persistent link: https://www.econbiz.de/10012945079