Similar Search Results

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Beirne, John - 2009

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission … estimated for 41 emerging market economies (EMEs). Wald tests suggest that mature market volatility affects conditional … variances in local markets rise as well, volatility in mature markets rises more, and this shift is the main factor behind the …

Persistent link: https://www.econbiz.de/10013154956

Stock Market Firm-Level Information and Real Economic Activity

Di Mauro, Filippo - 2011

We provide evidence that changes in the equity price and volatility of individual firms (measures that approximate the … fluctuations in a number of countries. Specifically, adding the return and the volatility of firm-level equity prices to aggregate …

Persistent link: https://www.econbiz.de/10013121824

Competition Among High-Frequency Traders, and Market Quality

Breckenfelder, Johannes - 2019

speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …

Persistent link: https://www.econbiz.de/10012868588

Global financial transmission of monetary policy shocks

Ehrmann, Michael; Fratzscher, Marcel - 2006

The paper shows that US monetary policy has been an important determinant of global equity markets. Analysing 50 equity markets worldwide, we find that returns fall on average around 3.8% in response to a 100 basis point tightening of US monetary policy, ranging from a zero response in some to a...

Persistent link: https://www.econbiz.de/10011604662

The transmission of emerging market shocks to global equity markets

Cuadro Sáez, Lucía; Fratzscher, Marcel; Thimann, Christian - 2007

The paper analyses whether, and to what extent, emerging market economies (EMEs) have systemic importance for global financial markets, above and beyond their influence during crises episodes. Using a novel database of exogenous economic and political shocks for 14 systematically relevant EMEs,...

Persistent link: https://www.econbiz.de/10011604770

A measure of redenomination risk

De Santis, Roberto A. - 2015

Euro redenomination risk is the risk that a euro asset will be redenominated into a devalued legacy currency. We propose a time-varying, country-specific market perception of intra-euro area redenomination risk measure, defined as the quanto CDS of a member country relative to the quanto CDS of...

Persistent link: https://www.econbiz.de/10011605830

Credit spreads, economic activity and fragmentation

De Santis, Roberto - 2016

Credit spreads may be jointly driven by developments that are orthogonal to the current state of the economy. We show that this unobserved systematic component is demanded to hedge against adverse economic fl?uctuations. Using either yield-to-maturity spreads or asset swap spreads for 2345...

Persistent link: https://www.econbiz.de/10011605975

A Measure of Redenomination Risk

De Santis, Roberto A. - 2015

Persistent link: https://www.econbiz.de/10013020790

Credit Spreads, Economic Activity and Fragmentation

De Santis, Roberto A. - 2016

Credit spreads may be jointly driven by developments that are orthogonal to the current state of the economy. We show that this unobserved systematic component is demanded to hedge against adverse economic fluctuations. Using either yield-to-maturity spreads or asset swap spreads for 2345...

Persistent link: https://www.econbiz.de/10012987466

Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model

Delle Monache, Davide - 2020

In this paper we develop a general framework to analyze state space models with time-varying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...

Persistent link: https://www.econbiz.de/10012842441