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Herding Behaviors in ASEAN Stock Markets

Yao, Jian - 2019

This paper aims to use comprehensive evidence to test the herding behaviors existing in 6 ASEAN stock markets … the 6 ASEAN stock markets showed that herding behavior has existed only in Vietnam, and Vietnam own significant herding … dispersions in the ASEAN stock market; however, the U.S. stock market cannot affect the herding formation of each ASEAN stock …

Persistent link: https://www.econbiz.de/10012862590

¿Influyen los tigres asiáticos en el comportamiento gregario español?

Blasco, Natividad; Corredor, Pilar; Ferreruela, Sandra - In: El Trimestre Económico LXXVII (2) (2010) 306, pp. 423-444

The purpose of this research is to explore the herding phenomenon during the Asian crisis of 1997 using intraday data … and a herding intensity measure that is free of the bias inherent in other measures. The findings suggest that the crisis … did not affect herding intensity to the same extent across all stocks, the largest and most persistent impact of the …

Persistent link: https://www.econbiz.de/10008559995

Extreme spillovers across Asian-Pacific currencies : a quantile-based analysis

Bouri, Elie; Lucey, Brian M.; Saeed, Tareq; Xuan Vinh Vo - In: International review of financial analysis 72 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012437557

The Impact of the International Financial Crisis on Asia and the Pacific : Highlighting Monetary Policy Challenges from a Negative Asset Price Bubble Perspective

Filardo, Andrew J. - 2014

Persistent link: https://www.econbiz.de/10013067137

A Tale of Two Eurozones : Banks' Funding, Sovereign Risk & Unconventional Monetary Policies

Fulli-Lemaire, Nicolas - 2014

The admission by the Greek government on October 18, 2009, of large-scale accounting fraud in its national accounts sparked an unprecedented sovereign debt crisis that rapidly spread to the Euro-Zone's weakest member states. As the crisis increasingly drove a wedge between a seemingly resilient...

Persistent link: https://www.econbiz.de/10013063273

Understanding Jumps in High Frequency Digital Asset Markets

Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, … - 2021

While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market digital asset returns are driven by high frequency jumps...

Persistent link: https://www.econbiz.de/10013323741

Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?

Jung, R.C.; Maderitsch, R. - In: Journal of Banking & Finance 47 (2014) C, pp. 331-342

This paper conducts an investigation of volatility transmission between stock markets in Hong Kong, Europe and the United States covering the time period from 2000 up to 2011. Using intra-daily data we compute realized volatility time series for the three markets and employ a Heterogeneous...

Persistent link: https://www.econbiz.de/10010931661

A Tale of Two Eurozones: Banks’s Funding, Sovereign Risk & Unconventional Monetary Policies

Fulli-Lemaire, Nicolas - Volkswirtschaftliche Fakultät, … - 2013

The admission by the Greek government on October 18, 2009, of large-scale accounting fraud in its national accounts sparked an unprecedented sovereign debt crisis that rapidly spread to the Eurozone’s weakest member states. As the crisis increasingly drove a wedge between a seemingly resilient...

Persistent link: https://www.econbiz.de/10011259850

Sovereign Bond and CDS Market Contagion : A Story From the Eurozone Crisis

Bampinas, Georgios; Panagiotidis, Theodore; Politsidis, … - 2023

We examine the asymmetric and nonlinear nature of the cross- and intra-market linkages of eleven EMU sovereign bond and CDS markets during 2006-2018. By adopting the excess correlation concept of Bekaert et al. (2005) and the local Gaussian correlation approach of Tjøstheim and Hufthammer...

Persistent link: https://www.econbiz.de/10014349801

The impact of credit rating announcements on corporate CDS markets—Are intra-industry effects observable?

Wengner, Andreas; Burghof, Hans-Peter; Schneider, Johannes - In: Journal of Economics and Business 78 (2015) C, pp. 79-91

This study examines the impact of S&P rating events on the credit default swap (CDS) spread of firms and the spillover effect on competitors for the period 2004–2011. We find that both credit downgrades and upgrades have an impact on the CDS spread of event and non-event firms on the event...

Persistent link: https://www.econbiz.de/10011209905