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Interdependence between Eastern and Western European Stock Markets : Evidence from Intraday Data

Égert, Balázs; Kočenda, Evžen - 2007

We analyze comovements among three stock markets in Central and Eastern Europe and, in addition, interdependence which …

Persistent link: https://www.econbiz.de/10014049163

An Analysis of the R&D Effect on Stock Returns for European Listed Firms

Duqi, Andi - 2011

Almost all studies on research and development (R&D) activity are based on US and British companies, and most of them show that this activity positively influences both stock returns and corporate value. This empirical study evaluates the effects of R&D on stock returns for a sample of listed...

Persistent link: https://www.econbiz.de/10013117598

The Co-Movement of Sovereign Credit Default Swaps and Bonds, and Stock Markets in Europe

Corzo, M. Teresa - 2012

In this paper we investigate the relationship between sovereign CDSs and Bonds, and Equity markets for 13 European countries during the period 2008-2010. We confirm the leading role incorporating new information of Equity markets during 2008-2009, but we find large evidence supporting that...

Persistent link: https://www.econbiz.de/10013111139

The Impact of Market Fragmentation on European Stock Exchanges

Gentile, Monica - 2012

markets. Our study evaluates the impact of fragmentation on liquidity, on information efficiency and on the price discovery … fragmentation increases liquidity, but it reduces market efficiency. Moreover, primary exchanges tend to lose their leading role in …

Persistent link: https://www.econbiz.de/10013111429

Price Jumps on European Stock Markets

Hanousek, Jan - 2013

We analyze the dynamics of price jumps and the impact of the European debt crisis using the high-frequency data reported by selected stock exchanges on the European continent during the period January 2008 to June 2012. We employ two methods to identify price jumps: Method 1 minimizes the...

Persistent link: https://www.econbiz.de/10013071459

Intraday Price Discovery in Emerging European Stock Markets

Hanousek, Jan - 2009

We characterize the price discovery in three emerging EU stock markets — the Czech Republic, Hungary, and Poland — by employing high-frequency five-minute intraday data on stock market index returns and four classes of EU and U.S. macroeconomic announcements during 2004–2007. We account...

Persistent link: https://www.econbiz.de/10013157122

Oil Price Shocks and Stock Market Volatility : Evidence from European Data

Degiannakis, Stavros; Filis, George; Kizys, Renatas - 2022

The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three …

Persistent link: https://www.econbiz.de/10013403135

Measuring the Impact of the GFC on European Equity Markets

Milunovich, George - 2011

a more severe global liquidity shortage phase (post-Lehman). Significant structural breaks are found in the returns and …

Persistent link: https://www.econbiz.de/10013131279

Classifying Returns as Extreme : European Stock and Bond Markets

Christiansen, Charlotte - 2014

I consider extreme returns for the stock and bond markets of 14 EU countries using two classification schemes: One, the univariate classification scheme from the previous literature that classifies extreme returns for each market separately. Two, a novel multivariate classification scheme that...

Persistent link: https://www.econbiz.de/10013062344

Liquidity and Tail-Risk Interdependencies in the Euro Area Sovereign Bond Market

Clancy, Daragh - 2019

The likelihood of severe contractions in an asset's liquidity can feed back to the ex ante risks faced by the … individual providers of such liquidity. These self-reinforcing effects can spread to other assets through informational … find significant own- and cross-market effects that amplify liquidity contractions in the Italian and Spanish bond markets …

Persistent link: https://www.econbiz.de/10012860725