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Global Production Linkages and Stock Market Comovement
Auer, Raphael; Iwadate, Bruce; Schrimpf, Andreas; … - 2023
Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and...
Persistent link: https://www.econbiz.de/10014377466
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An empirical analysis of the relationship between US monetary policy and international asset prices
Herwartz, Helmut; Morales-Arias, Leonardo - 2010
This article investigates the empirical relationship between monetary policy in the United States (US) and international equity, bond and real estate security markets for the sample period 01/1994 to 12/2007. The empirical results suggest that equity markets close to the US have a statistically...
Persistent link: https://www.econbiz.de/10010265828
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Return-volatility linkages in the international equity and currency markets
Francis, Bill B.; Hasan, Iftekhar; Hunter, Delroy M. - 2002
parsimonious way of testing mean-volatility relationships in currency and equity markets and re-examining the robustness of …
Persistent link: https://www.econbiz.de/10012147844
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International characteristic-based asset pricing
Jagannathan, Murali; Jiao, Wei; Wermers, Russ - 2020
In this paper, we develop characteristic-based asset-pricing models for international stocks. We price stocks using passive portfolios created based on observable characteristics: market capitalization, book-to-market, prior-year return, growth of total assets, and operating profitability, each...
Persistent link: https://www.econbiz.de/10012416700
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International Asset Pricing and the Benefits from World Market Diversification
Nilsson, Birger - 2002
This paper extends previous tests of the conditional CAPM using different asymmetric and non-diagonal multivariate GARCH-M specifications for eight large national markets and the world market simultaneously. To solve the well-known problems associated with the likelihood functions of...
Persistent link: https://www.econbiz.de/10013208428
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The pricing of sentiment risk in European stock markets
Keiber, Karl Ludwig; Samyschew, Helene - 2016
This paper studies whether sentiment is rewarded with a significant risk premium on the European stock markets. We examine several sentiment proxies and identify the Economic Sentiment Indicator (ESI) from the EU Commission as the most relevant sentiment proxy for our sample. The analysis is...
Persistent link: https://www.econbiz.de/10011500014
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Testing for financial spillovers in calm and turbulent periods
Aliyu, Shehu U. R.; Abdulsalam, Nafiu B.; Bawa, Sani - In: West African Journal of Monetary and Economic Integration 18 (2018) 2, pp. 1-27
It has been established in the literature that volatility of stock returns exhibits complex properties of not only … volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence …, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …
Persistent link: https://www.econbiz.de/10013362911
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The effects of Dollar/Sterling exchange rate volatility of futures markets for coffee and cocoa
Jumah, Adusei; Kunst, Robert M. - 1999
the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are …
Persistent link: https://www.econbiz.de/10010291928
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Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
Lux, Thomas; Kaizoji, Taisei - 2006
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010294979
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Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models
Lux, Thomas; Kaizoji, Taisei - 2004
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010295136