Purpose – This paper aims to investigate the contagion effects of stock and FX markets for the USA and european monetary union (EMU) during the US subprime crisis of 2007-2009. Design/methodology/approach – The data sample is daily comprising a weighted Morgan Stanley Capital Index (MSCI)...

This paper investigates the relationship between the volatility of Volume Synchronized Probability of Informed Trading (VPIN) and future short-term volatility of stock returns. We construct a transaction-signed version of VPIN (TR-VPIN) based on tick by tick data on securities traded in the...

This study investigates the contagion effects of the 2007-2009 global financial crisis across multiple asset markets and different regions. It uses daily return data of six asset classes: stocks, bonds, commodities, shipping, foreign exchange and real estate. A robust analysis of financial...

This study investigates the impact of the Greek debt negotiations, along with the increasing fears of a “Grexit”, on British pound (GBP), Euro (EUR) and Japanese Yen (JPY) currencies. Their respective implied volatility currency indices (i.e., BPVIX, EUVIX and JYVIX) were used on daily...

This paper examines the dynamic linkages among major exchange rates during the Global Financial Crisis and Eurozone Sovereign Debt Crisis. We extend the previous literature on volatility spillover linkages among the currencies by taking into account the uncovered interest-rate parity hypothesis...

This paper examines the effects of quantitative easing (QE) announcements by the European Central Bank, the Bank of Japan and the Bank of England on exchange rate dynamics. Using intraday data of three major exchange rates (EUR/USD, GBP/USD, JPY/USD),we apply a univariate APARCH(1,1) model and...

This paper examines long and short-run relationships among three emerging Balkan stock markets (Romania, Bulgaria and Croatia), two developed European stock markets (Germany and Greece) and United States (U.S.), during the period 2000 - 2005. We apply Johansen's (1988) co-integration methodology...

This paper examines the volatility spillover effects among Mediterranean equity markets and investigates the effects of the 2007 financial crisis. German, Greek, Spanish, Italian and Portuguese markets are investigated. German market is used as a benchmark market. We employ a multivariate...

The paper addresses the empirical application of cointegration analysis to four important macroeconomic variables: narrow money (M1), incomes, prices and interest rates in the U.S. during the turmoil period of last decade. Unit root and longmemory tests support the appropriateness of the...