The long and short of commodity tails and their relationship to Asian equity markets
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Asian Economics"
DOI: 10.1016/j.asieco.2017.08.001
Abstract: We aim to determine if the relative tail risk of commodities remains consistent over time and whether there is association between commodity tail risk and Asian equity markets. We examine the tail risk of 24… read more here.
Keywords: risk; asian equity; tail risk; long short ... See more keywords
Improving Public Equity Markets? No Pain, No Gain
Sign Up to like & getrecommendations! Published in 2018 at "Economics Letters"
DOI: 10.1016/j.econlet.2017.10.005
Abstract: This paper quantifies the effects of improving public equity markets on macroeconomic aggregates and welfare. I use an open-economy extension of Angeletos (2007), where entrepreneurs face idiosyncratic productivity risk in privately held firms. They can… read more here.
Keywords: equity; public equity; markets pain; improving public ... See more keywords
Financial integration in the EU28 equity markets: Measures and drivers
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Financial Markets"
DOI: 10.1016/j.finmar.2021.100633
Abstract: Abstract We examine time-invariant and time-varying market integration across European stock markets. Financial integration increases during the sovereign debt crisis and is mainly driven by macroeconomic variables, market capitalization, political uncertainty, and technological developments. Higher… read more here.
Keywords: markets measures; integration eu28; integration; equity markets ... See more keywords
Momentum strategies in European equity markets: Perspectives on the recent financial and European debt crises
Sign Up to like & getrecommendations! Published in 2017 at "Finance Research Letters"
DOI: 10.1016/j.frl.2017.05.013
Abstract: We investigate the profitability and return patterns of momentum strategies in 10 European countries. Using data from December 2003 to December 2015, we find momentum returns to be lower than to those reported in previous… read more here.
Keywords: momentum returns; european equity; strategies european; momentum strategies ... See more keywords
A note on tweeting and equity markets before and during the Covid-19 pandemic
Sign Up to like & getrecommendations! Published in 2021 at "Finance Research Letters"
DOI: 10.1016/j.frl.2021.102224
Abstract: ABSTRACT We are grateful for the insightful comments provided by the editor and the anonymous referees. Joseph French acknowledges financial support from a Monfort College of Business Summer Research Grant. We investigate the differential effects… read more here.
Keywords: markets covid; tweeting equity; equity markets; equity ... See more keywords
Asset pricing in the Middle East’s equity markets
Sign Up to like & getrecommendations! Published in 2021 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2021.101337
Abstract: Abstract This paper undertakes a comparison between five multifactor variants of the capital asset pricing model. These include additional factors based on size, book to market value, momentum, liquidity and a new investor protection metric… read more here.
Keywords: asset pricing; investor protection; middle east; equity markets ... See more keywords
World equity markets and COVID-19: Immediate response and recovery prospects
Sign Up to like & getrecommendations! Published in 2020 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2020.101349
Abstract: The actual macroeconomic impacts of the COVID-19 pandemic will be realized over time; however, its impact on financial markets was much faster and dramatic. Following the spread of the pandemic, most global equity markets experienced… read more here.
Keywords: equity; rescue packages; recovery; markets covid ... See more keywords
Risk transmission between equity market of China and its trading partners: new evidence from various financial crises
Sign Up to like & getrecommendations! Published in 2023 at "International Journal of Emerging Markets"
DOI: 10.1108/ijoem-11-2022-1763
Abstract: PurposeThe authors examine the volatility connections between the equity markets of China and its trading partners from developed and emerging markets during the various crises episodes (i.e. the Asian Crisis of 1997, the Global Financial… read more here.
Keywords: equity markets; crisis; china trading; equity ... See more keywords
Systemic Risks Spillovers and Interdependence among Stock Markets: International Evidence with Covar‐Copulas
Sign Up to like & getrecommendations! Published in 2018 at "South African Journal of Economics"
DOI: 10.1111/saje.12182
Abstract: Empirical studies have provided ample evidence on the potential benefits of international diversification with portfolios that consist of both domestic and foreign assets. This coupled with sudden and periodic crashes in global and developed equity… read more here.
Keywords: systemic risks; developed equity; spillover effects; evidence ... See more keywords