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Global uncertainty and potential shelters : gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets
Feder-Sempach, Ewa; Szczepocki, Piotr; Bogołębska, Joanna - In: Financial innovation : FIN 10 (2024), pp. 1-23
This article investigates fve safe-haven asset responses from 2014 to 2022, includ‑ ing the unprecedented COVID-19 crisis, Russian invasion of Ukraine, and sharp US inter‑ est rate increases of 2015 and 2022. We apply the unique approach of the multivariate factor stochastic volatility (MSV)...
Persistent link: https://www.econbiz.de/10014541628
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Global Factor Premiums
Baltussen, Guido - 2020
We examine 24 global factor premiums across the main asset classes via replication and new-sample evidence spanning 217 years of data. Replication yields ambiguous evidence within a unified testing framework with methods that account for p-hacking. The new-sample evidence reveals that the large...
Persistent link: https://www.econbiz.de/10012850289
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A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns
Brooks, Robin; Del Negro, Marco - 2021
We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by...
Persistent link: https://www.econbiz.de/10013318071
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The determinants of stock and bond return comovements
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - 2007
dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …
Persistent link: https://www.econbiz.de/10011506640
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Flights to Safety
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - 2012
Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...
Persistent link: https://www.econbiz.de/10011506750
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Capital flows, push versus pull factors and the global financial crisis
Fratzscher, Marcel - 2011
finds that common shocks – key crisis events as well as changes to global liquidity and risk – have exerted a large effect …
Persistent link: https://www.econbiz.de/10011605410
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Cross-Listings and Liquidity Commonality Around the World
Dang, Tung Lam - 2016
In this paper, we investigate the effects of international cross-listings on commonality in liquidity. We find that … cross-listings have asymmetric effects on cross-listed stocks' liquidity commonality that include reducing the stocks …' liquidity commonality with the local market and increasing the stocks' liquidity commonality with the host market. We also find …
Persistent link: https://www.econbiz.de/10013005811
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Capital Flows, Push versus Pull Factors and the Global Financial Crisis
Fratzscher, Marcel - 2013
finds that common shocks – key crisis events as well as changes to global liquidity and risk – have exerted a large effect …
Persistent link: https://www.econbiz.de/10013092662
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Capital flows, push versus pull factors and the global financial crisis
Fratzscher, Marcel - 2011
finds that common shocks - key crisis events as well as changes to global liquidity and risk - have exerted a large effect … particular for emerging markets. - Capital flows ; factor model ; common shocks ; liquidity ; risk ; push factors ; pull factors …
Persistent link: https://www.econbiz.de/10009238006
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Flights to safety
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - 2012
Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...
Persistent link: https://www.econbiz.de/10011590578