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Stock markets, banks and long run economics growth : a panel cointegration-based analysis

Cavenaile, Laurent; Gengenbach, Christian; Palm, Franz C. - 2013

The aim of this paper is to investigate the long run relationship between the development of banks and stock markets and economic growth. We make use of a Johansen-based panel cointegration methodology allowing for cross-country dependence to test the number of cointegrating vectors among these...

Persistent link: https://www.econbiz.de/10010223077

Networks of volatility spillovers among stock markets

Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; … - 2017

In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...

Persistent link: https://www.econbiz.de/10011654569

Determinants of stock market correlations : accounting for model uncertainty and reverse causality in a large panel setting

Afonso, António; Beck, Krzysztof; Jackson, Karen - 2022

We examine 22 determinants of stock market correlations in a panel setting with 651 country pairs of developed economies over the 2001-2018 period, while accounting for model uncertainty and reverse causality. On the one hand, we find, that a number of determinants, well established in the...

Persistent link: https://www.econbiz.de/10013380503

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - 2010

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...

Persistent link: https://www.econbiz.de/10003965868

On the time-varying impact of China's bilateral political relations on its trading partners (1960-2022)

Afonso, António; Mignon, Valérie; Saadaoui, Jamel - 2023

We assess the impact of China's bilateral political relations with three main trading partners-the US, Germany, and the … approach with time-varying Granger causality tests, we find that political relationships with China strongly matter in …

Persistent link: https://www.econbiz.de/10014443830

Energy contagion in the COVID-19 crisis

Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2020

We investigate the relationship between oil prices and stock markets of selected oil importers and oil exporters at the time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher correlations between oil and stock markets returns during...

Persistent link: https://www.econbiz.de/10012226706

The impact of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021

This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...

Persistent link: https://www.econbiz.de/10012584220

The effects of the Covid-19 pandemic on stock markets, CDS and economic activity : time-varying evidence from the US and Europe

Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, … - 2021

This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the dates from the first confirmed COVID-19 cases in...

Persistent link: https://www.econbiz.de/10012625628

Stock market linkages between the ASEAN countries, China and the US : a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei - 2019

This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period … analysis is carried out for the weekly series to study the impact of the 2007-8 global financial crisis and the 2015 China … exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China …

Persistent link: https://www.econbiz.de/10011982404

The chair of the U.S. Federal Reserve and the macroeconomic causality regimes

Aksoy, Yunus; Morita, Rubens; Psaradakis, Zacharias G. - 2019

We investigate regime-dependent Granger causality between real output, inflation and monetary indicators and map with U.S. Fed Chairperson's tenure since 1965. While all monetary indicators have causal predictive content in certain time periods, we report that the Federal Funds rate (FFR) and...

Persistent link: https://www.econbiz.de/10012157284

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