Similar Search Results

Financial Contagion During Stock Market Bubbles

Escobari, Diego; Sharma, Shahil - 2021

We investigate the role of bubbles on financial contagion using a set of developed economies. First, using the … capture contagion with a DCC multivariate GARCH framework. In a third step, we construct a panel by pooling across the time … shows that the financial contagion between pair of countries diminishes when any of the two countries in the pair is going …

Persistent link: https://www.econbiz.de/10013247113

Get Home Safely : Do Shifts in the U.S. Demand for Stocks Abroad Impact the Performance of U.S. Stocks at Home?

Wynter, Matthew - 2015

This paper studies the pricing impact of aggregate shifts in the U.S. demand for foreign stocks on the cross-section of U.S. stocks. Measuring the sensitivity of U.S. firm-level returns to innovations in international stock flows, I document that stocks with higher sensitivity to U.S. investor's...

Persistent link: https://www.econbiz.de/10013018175

Long-run Consumption Risk and International Stock Returns : A Century of Evidence

Rangvid, Jesper - 2011

We estimate consumption based asset pricing models using consumption and equity market data for fifteen countries from 1900 to 2008 in a setting where investors have recursive utility. We find strong evidence that a long-run risk consumption CAPM that prices international stock returns via their...

Persistent link: https://www.econbiz.de/10013134128

Uncovering equity market contagion among BRICS countries : an application of the multivariate GARCH model

Bonga-Bonga, Lumengo - In: The quarterly review of economics and finance : journal … 67 (2018), pp. 36-44

Persistent link: https://www.econbiz.de/10012034396

The long memory of equity volatility and the macroeconomy : international evidence

Dräger, Lena; Nguyen, Duc Binh Benno; Prokopczuk, Marcel; … - 2020

This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in a panel dataset of eighty-two countries and that the degree of memory in the panel can be related to macroeconomic variables such as short- and long-run interest rates...

Persistent link: https://www.econbiz.de/10012173277

The long memory of equity volatility : international evidence

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Sibbertsen, … - 2017

This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in eighty-two countries and that the degree of memory can be related to macroeconomic variables such as inflation, unemployment rates, interest rates or stability of a...

Persistent link: https://www.econbiz.de/10011750751

Can Bitcoin Become a Viable Alternative to Fiat Currencies? An Empirical Analysis of Bitcoin's Volatility Based on a GARCH Model

Cermak, Vavrinec - 2017

This study examines whether Bitcoin, a digital decentralized currency, can become a viable alternative to fiat currencies. Bitcoin currently does not fulfill the criteria of being a currency because it does not function as a medium of exchange, a unit of account, and a store of value. Bitcoin's...

Persistent link: https://www.econbiz.de/10012957332

Financial Liberalization and Business Cycles : The Experience of Countries in the Baltics and Central Eastern Europe

Vinhas de Souza, Lucio Vinhas - 2016

Persistent link: https://www.econbiz.de/10012991348

Higher Moment Exchange Rate Exposure of S&P500 Firms

Bianconi, Marcelo - 2014

We find a robust negative effect of exchange rate volatility on S&P500 company returns. The Consumer Discretionary and the Consumer Staple sectors have more significant negative exposure to exchange rate volatility than the other sectors thus supporting the hypothesis that exchange rate...

Persistent link: https://www.econbiz.de/10013049029

Financial Liberalization and Business Cycles : The Experience of New EU Member States in the Baltics and Central Eastern Europe

Vinhas de Souza, Lucio Vinhas - 2004

This paper extends the work of Kaminsky and Schmukler (2003) to the Baltic and Central Eastern European new Member States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial integration is observed in this specific sample of "emerging...

Persistent link: https://www.econbiz.de/10014072529