Auflistung Nach Schlagwort "VOLATILITY"
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Does Terrorism Affect the Stock-Bond Covariance? Evidence from European Countries
(2013)Using daily stock and bond returns data from four European countries-France, Germany, Spain, and Great Britain-that have been the victims of significant terrorist activity, this study addresses the issue of whether ... -
Dynamic European stock market convergence: Evidence from rolling cointegration analysis in the first euro-decade
(2010)The introduction of the euro epitomizes European economic integration. This paper assesses the dynamic process of convergence among four major European stock markets in the first euro-decade. Using tests that allow for ... -
Stock markets and terrorist attacks: Comparative evidence from a large and a small capitalization market
(2011)An expanding body of literature has investigated the economic impact of terrorist attacks. A part of this literature has focused on financial markets. We examine three research questions: whether markets' reactions to ...