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Baele, Lieven; De Jong, Frank; Trebbi, Giovanni - 2023

We apply causality extraction (CE) algorithms on more than 36,000 articles from 2 major financial newspapers (WSJ, FT) and three major newswires (DJ, MNI Market News, Reuters) over the extended period 1980-2020 to shed light on the fundamental triggers of flights to safety. Our CE algorithm...

Persistent link: https://www.econbiz.de/10014348682

Flights to safety

Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - 2012

Persistent link: https://www.econbiz.de/10009665709

Empirical evidence on the stock-bond correlation

Molenaar, Roderick; Sénéchal, Edouard; Swinkels, Laurens - In: Financial analysts journal : FAJ 80 (2024) 3, pp. 17-36

Persistent link: https://www.econbiz.de/10015050469

Residual Equity Momentum Spillover in Global Corporate Bond Markets

Bektic, Demir - 2019

I present an improved equity momentum measure for corporate bonds and study the Euro denominated global investment grade corporate bond market between 2000 and 2016. I document economically meaningful and statistically significant corporate bond return predictability. In contrast to the widely...

Persistent link: https://www.econbiz.de/10012898405

China Markets and Global Stock Return Predictability

Sun, Yulong - 2020

We have seen China's growing role in the past decades, and the world economy has become more exposed to the influence …

Persistent link: https://www.econbiz.de/10012824300

Incorporating weekend information in stock prices : evidence from Israeli stock market

Kudryavtsev, Andrey; Cohen, Gil; Pavlodsky, Julia - In: Journal of finance and investment analysis 1 (2012) 4, pp. 1-14

-synchronous trading - a trading day when TASE is the only active stock exchange in the world. We find that TASE returns on Sundays are … prices on Sundays just "close up the differences" from the US exchanges by incorporating the news that arrive to the world … markets during the weekends in Israel, but do not reflect any additional news of worldwide relevance arriving when the world …

Persistent link: https://www.econbiz.de/10009745503

Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States

Mohammadi, Hassan; Tan, Yuting - In: Econometrics : open access journal 3 (2015) 2, pp. 215-232

across markets, with the highest correlation of 93.5% between the two Chinese markets, medium correlation of 30% between … correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …

Persistent link: https://www.econbiz.de/10011296721

What Causes Correlations of Equity Returns to Change Over Time? A Study of the US and the Russian Equity Markets

Jithendranathan, Thadavillil - 2010

Correlation Model.” The sovereign credit risk of Russia, changes in exchange rates and changes in world energy prices were …

Persistent link: https://www.econbiz.de/10013138532

Flight-to-Quality and Correlation between Currency and Stock Returns

Cho, Jin-Wan - 2012

currencies are positively correlated with their stocks. Since return correlation between currency and its stocks has been shown …

Persistent link: https://www.econbiz.de/10013108993

BRICH Dynamic Conditional Correlations, Contagion, and Portfolio Diversification Under the Devolatized Returns Concept

Stavroyiannis, Stavros - 2013

Financial liberalization has offered global investors with new investment opportunities via international portfolio diversification. Proper investment planning and portfolio diversification require well specified correlations between the assets under consideration. In this paper we apply the DCC...

Persistent link: https://www.econbiz.de/10013072719