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

Clancy, Daragh - 2020

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/10012846785

European equity market contagion : an empirical application to Ireland's sovereign debt crisis

Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34

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/10011471074

High and low prices and the range in the European stock markets : a long-memory approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019

Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the …

Persistent link: https://www.econbiz.de/10012022262

Examining spillover effect of US monetary policy to European stock markets : a Markov-Switching approach

Mumtaz, Muhammad Zubair; Smith, Zachary Alexander - In: Estudios de economía 46 (2019) 1, pp. 89-124

This study empirically examines the spillover effect from US monetary policy to nineteen European economies using Markov-switching models. The results of the univariate Markov-switching models validate the presence of two distinct regimes for both US monetary policy and the stock markets. We...

Persistent link: https://www.econbiz.de/10012025335

What drives the stock market integration in the CEE-3?

Výrost, Tomáš; Baumöhl, Eduard; Lyócsa, Štefan - 2013

In this article, we study the possible explanatory power of macroeconomic factors that may drive the stock market integration between the Czech Republic, Poland and Hungary (CEE-3) and developed countries, using Germany as a benchmark. Our findings suggest that the recent global financial crisis...

Persistent link: https://www.econbiz.de/10011638352

Linkages between the US and European stock markets : a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015

This paper analyses the long-memory properties of US and European stock indices, as well as their linkages, using fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the standard ones usually employed in the literature. The...

Persistent link: https://www.econbiz.de/10011334455

Are the sovereign CDS premia sound estimators of the stock market returns? : evidence from the Eurozone

Wic, Ana Navarrete; Di Pietro, Filippo; Martín Marín, … - In: Revista de métodos cuantitativos para la economía y … 25 (2018), pp. 130-155

In this paper, we explore the interconnection and existing relationships between the Sovereign Credit Default Swaps (henceforth, CDS) and the stock markets of the main European countries. Thus, the goal of this paper is to test if the CDS premia can predict the stock market returns of the most...

Persistent link: https://www.econbiz.de/10011870707

Determinants of European stock market integration

Büttner, David; Hayo, Bernd - 2009

We analyse the determinants of stock market integration among EU member states for the period 19992007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate risk,...

Persistent link: https://www.econbiz.de/10003888969

Determinants of European Stock Market Integration

Buettner, David; Hayo, Bernd - 2009

We analyse the determinants of stock market integration among EU member states for the period 1999–2007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate...

Persistent link: https://www.econbiz.de/10014206060

Evaluating Financial Integration in Euro Area Stock Markets with Return and Performance Dispersion Indices

da Fonseca, José S. - 2020

This paper presents indices of return and performance dispersion between ten developed domestic stock markets of the euro area to assess progress in their integration since the launch of the single currency. This approach is based on previous literature according to which domestic financial...

Persistent link: https://www.econbiz.de/10014352092