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Diamond Cuts Diamond : News Co-mention Momentum Spillover Prevails in China
Ge, Shuyi; Li, Shaoran; Zheng, Hanyu - 2023
We conduct a comprehensive study on momentum spillovers in the Chinese stock market using various types of economic linkages. We find that the news co-mention momentum spillover is significantly stronger compared to other forms of momentum spillovers. Using spanning tests and Fama-MacBeth...
Persistent link: https://www.econbiz.de/10014349929
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Spillover effect of the federal reserve's forward guidance on China's financial markets : from mechanism analysis to empirical test
Deng, Xin; Ge, Lin; Wu, Xuan - In: The Singapore economic review 67 (2022) 2, pp. 603-634
Persistent link: https://www.econbiz.de/10013191924
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The Role of Macroeconomic News in Sovereign CDS Markets : Domestic and Spillover News Effects from the U.S., the Eurozone and China
Kim, Suk-Joong - 2015
The impact of domestic and spillover macroeconomic news from the U.S., the Eurozone and China on national sovereign … spread volatility and they are also economically more important than bad news. Bad news from China and the Eurozone generally …
Persistent link: https://www.econbiz.de/10013023253
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Echo over the great wall : spillover effects of QE announcements on Chinese yield curve
Lin, Mucai; Niu, Linlin - In: Journal of international money and finance 111 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10012796740
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In name only : information spillovers among Chinese firms with similar stock names during earnings announcements
Qiu, Jiayue; Wu, Hai; Zhang, Lijuan - In: The journal of corporate finance : contracting, … 69 (2021), pp. 1-24
Persistent link: https://www.econbiz.de/10012629681
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Does the US-China trade war affect co-movements between US and Chinese stock markets?
Shi, Yujie; Wang, Liming; Ke, Jian - In: Research in international business and finance 58 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10013286538
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The role of macroeconomic news in sovereign CDS markets : domestic and spillover news effects from the U.S., the Eurozone and China
Kim, Suk-Joong; Salem, Leith; Wu, Eliza - In: Journal of financial stability 18 (2015), pp. 208-224
Persistent link: https://www.econbiz.de/10011574167
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Echo over the Great Wall : Spillover Effects of QE Announcements on Chinese Yield Curve
Lin, Mucai - 2020
on the Chinese Treasury yield curve. In spite of China's firewall of cross-boarder capital control, we find that the US … that the impact of US QE on Chinese yields was comparable, in size and significance, to China's own monetary policy shocks …
Persistent link: https://www.econbiz.de/10012849202
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Macroeconomic news, the financial cycle and the commodity cycle : the Chinese footprint
Corneli, Flavia; Ferriani, Fabrizio; Gazzani, Andrea - In: Economics letters 231 (2023), pp. 1-5
Persistent link: https://www.econbiz.de/10014460721
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Assessing spill-over effects of US monetary policy and macroeconomic announcements on financial markets in Argentina
Hayo, Bernd; Neuenkirch, Matthias - 2008
We study the effects of U.S. monetary policy and macroeconomic announcements on Argentine money, stock and foreign exchange markets’ returns and volatility over the period 1998 to 2006 using a GARCH model. Firstly, we show that both types of news have a significant impact on all markets....
Persistent link: https://www.econbiz.de/10003865937