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This paper investigates the impact of international swap lines on stock returns using data from banks in emerging markets. The analysis shows that swap lines by the Swiss National Bank (SNB) had a positive impact on bank stocks in Central and Eastern Europe. It then highlights the importance of...
Persistent link: https://www.econbiz.de/10011440076
This paper investigates the impact of international swap lines on stock returns using data from banks in emerging markets. The analysis shows that swap lines by the Swiss National Bank (SNB) had a positive impact on bank stocks in Central and Eastern Europe. It then highlights the importance of...
Persistent link: https://www.econbiz.de/10011629985
This chapter surveys recent econometric methodologies for inference in large dimensional conditional factor models in finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to be accounted for. The growing trend in the use of...
Persistent link: https://www.econbiz.de/10012101166
Persistent link: https://www.econbiz.de/10014072144
This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross-sectionally correlated, and cross-sectionally cointegrated. The subsampling approach provides approximations to the finite sample distributions of the tests without estimating nuisance parameters. The...
Persistent link: https://www.econbiz.de/10014027534
can improve financial performance by increasing wealth generation and decreasing the volatility of listed financial assets … the share price volatility of companies traded in emerging markets. For this purpose, a sample of 346 companies listed in …
Persistent link: https://www.econbiz.de/10012601932
nature of the relationship during periods of high and low volatility and in bull and bear markets. The results indicate that …
Persistent link: https://www.econbiz.de/10012946143
volatility, and other non-cap-weighted indices such as high dividend yield, high quality, high and low beta or equal …
Persistent link: https://www.econbiz.de/10013022144
volatility in Group of 20 countries using various methods, including panel regression with fixed effects, panel quantile … and negative investor sentiments and stock market returns and volatility. Specifically, an increase in positive investor …. The effect of investor sentiment on volatility is consistent across the distribution: negative sentiment increases …
Persistent link: https://www.econbiz.de/10013272311
filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction …
Persistent link: https://www.econbiz.de/10013057674