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The Global Crisis and Equity Market Contagion

Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

We analyze the transmission of the financial crisis of 2007 to 2009 to 415 country-industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find evidence of...

Persistent link: https://www.econbiz.de/10011266597

Oil Prices, Exchange Rates and Asset Prices

Fratzscher, Marcel; Schneider, Daniel; Robays, Ine Van - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...

Persistent link: https://www.econbiz.de/10010659948

Mis-Leading Indicators?: The Argentinean Currency Crisis

Alvarez-Plata, Patricia; Schrooten, Mechthild - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2003

Despite the fact that Argentina has been suffering from recession for years the timing and severity of the recent currency crisis has surprised most observers. This paper analyzes whether the "early warning" or "signals" approach of Kaminsky (1998), Kaminsky/Lizondo/Reinhart (1998) and...

Persistent link: https://www.econbiz.de/10005068895

The Attitudes towards the Euro: An Empirical Study Based on the German Socio-Economic Panel (SOEP)

Isengard, Bettina; Schneider, Thorsten - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2004

This paper investigates the attitudes towards the Euro and their changes over time in Germany by using longitudinal …-perception and cognitive dissonance. According to these theories, concerns should diminish after the Euro notes and coins are … concerns about the Euro. We discover that problems with the handling of the new money and the time of questioning are strong …

Persistent link: https://www.econbiz.de/10005068805

Long-Term Price Overreactions: Are Markets Inefficient?

Caporale, Guglielma Maria; Gil-Alana, Luis; Plastun, Alex - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015

This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, t-tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative...

Persistent link: https://www.econbiz.de/10011185761

The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?

Caporale, Guglielma Maria; Gil-Alana, Luis; Plastun, Alex - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015

This paper provides some new empirical evidence on the weekend effect (one of the best known anomalies in financial markets) in Ukrainian futures prices. The analysis uses various statistical techniques (average analysis, Student's t-test, dummy variables, and fractional integration) to test for...

Persistent link: https://www.econbiz.de/10011194299

Long Memory in the Ukrainian Stock Market

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

This paper examines the dynamics of stock prices in Ukraine by estimating the degree of persistence of the PFTS stock market index. Using long memory techniques we show that the log prices series is I(d) with d slightly above 1, implying that returns are characterised by a small degree of long...

Persistent link: https://www.econbiz.de/10010632796

The Weekend Effect: A Trading Robot and Fractional Integration Analysis

Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

technique for the estimation of the (fractional) integration parameter d. The results suggest that trading strategies aimed at …

Persistent link: https://www.econbiz.de/10010783994

Intraday Anomalies and Market Efficiency: A Trading Robot Analysis

Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

One of the leading criticisms of the Efficient Market Hypothesis (EMH) is the presence of so-called "anomalies", i.e. empirical evidence of abnormal behaviour of asset prices which is inconsistent with market efficiency. However, most studies do not take into account transaction costs. Their...

Persistent link: https://www.econbiz.de/10010784000

Short-Term Price Overreaction: Identification, Testing, Exploitation

Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an “inertia anomaly”, i.e. after an...

Persistent link: https://www.econbiz.de/10011267904