Risk contagion in the north-western and southern European stock markets

Araújo, André da Silva de; Garcia, Maria Teresa Medeiros

doi:10.1016/j.jeconbus.2013.04.005

Cited by 7 publications

(3 citation statements)

References 29 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…We acknowledge an existence of a wide range of diverse econometric techniques applicable for studying coherence and contagion patterns, namely, VaR ( [69], among many others), entropy-based fuzzy least squares twin support vector machine approach [12], several variance decomposition and time-varying connectedness approaches ( [70], and the references therein), unconstrained convex minimization based implicit Lagrangian twin extreme learning machine technique [71], density-weighted support vector machines approach [72], among many other techniques, we stay with the wavelet-based approach because of the rationale discussed below.…”

Section: Time-frequency Wavelet Analysismentioning

confidence: 99%

The impact of the Covid-19 related media coverage upon the five major developing markets

2021

View full text Add to dashboard Cite

This paper analyses the influence of the Covid-19 coverage by the social media upon the shape of the sovereign yield curves of the five major developing countries, namely Federative Republic of B razil, Russian Federation, Republic of India, People’s Republic of China, and the Republic of South Africa (BRICS). The coherenc e between the level, slope, and the curvature of the sovereign yield term structures and the Covid-19 medi a coverage is found to vary between low and high ranges, depending on the phases of the pandemic. The empirical estimations of the yield-curve factors a re performed by means of the Diebold–Li modified version of the Nelson–Siegel model. The intervals of low coherence reveal the capacity of the two latent factors, level and slope, to be used for creating cross-factor diversification strategies, workable under crisis conditions, as evidenced on the example of the ongoing pandemic. Diverse coherence patterns are reported on a per-country basis, highlighting a promising potential of sovereign debt investments for designing cross-country and cross-factor fixed-income strategies, capable of hedging downside risks.

show abstract

Section: Time-frequency Wavelet Analysismentioning

confidence: 99%

The impact of the Covid-19 related media coverage upon the five major developing markets

2021

View full text Add to dashboard Cite

show abstract

“…This is confirmed by Albulescu et al [2015], who demonstrated that in the short run, correlation among the FTSE100, DAX, and CAC40 increased during periods of high volatility. In addition, De Araújo et al [2013] documented a strong spillover effect from the DAX and FTSE100 to the CAC40, and from the ATHEX20 to the IBEX35 and PSE20, during the meltdown period. It is well known that stock markets efficiently reflect bad news generated by national and international stock indexes.…”

Section: Literature Reviewmentioning

confidence: 99%

Assessing the diversification risk of a single equity market: evidence from the largest European stock indexes

Nuhiu

Aliu

Peci

2022

International Journal of Management and Economics

View full text Add to dashboard Cite

Diversification of financial securities is considered a substantial element of portfolio risk. In this context, the construction of an optimal portfolio is an ongoing concern for portfolio managers. This study measures the risk–reward tradeoffs linked to the stock indexes of Germany, Spain, Italy, France, and England. First, the stock indexes are analyzed as individual portfolios and later compared to the hypothetical common equity index. The results show diversification benefits gained from a hypothetical common European stock market. Individual stock prices and trade volumes are collected weekly from January 1, 2008 to December 31, 2018. The results indicate that, on average, the most well-diversified equity indexes are IBEX35, FTSE MIB, and FTSE100. In contrast, DAX, MDAX, and CAC40 on average tend to be less diversified. The diversification risk for DAX, MDAX, and CAC40 decreases from joining a common hypothetical stock market, while for FTSE100, FTSE MIB, and IBEX it increases.

show abstract

“…However, since 2011 this has been abandoned, owing to the adverse financial conditions caused by the sovereign debt crisis that affected Portugal. The outbreak of the Greek financial crisis in 2009-2010 and the resulting transmission of difficulties in external financing to other countries, including Portugal, Ireland, and Spain, are among a number of events that led to large market movements (Araújo and Garcia, 2013).…”

Section: Use Of Derivativesmentioning

confidence: 99%

An Appraisal of Public Pension Reserve Funds Management - Evidence From Portugal

Garcia

2014

MJSS

Self Cite

View full text Add to dashboard Cite

The creation of a public pension reserve fund is one of the reform measures that many countries implemented in order to guarantee the long term viability of existing government-operated pension systems. However, this measure raises the issue of the need to ensure sound management of those pension funds. This article focuses on the experience of the Portuguese public pension reserve fund and on the role it should accomplish in helping to finance the rising cost of public pensions.

show abstract

Risk contagion in the north-western and southern European stock markets

Cited by 7 publications

References 29 publications

The impact of the Covid-19 related media coverage upon the five major developing markets

The impact of the Covid-19 related media coverage upon the five major developing markets

Assessing the diversification risk of a single equity market: evidence from the largest European stock indexes

An Appraisal of Public Pension Reserve Funds Management - Evidence From Portugal

Contact Info

Product

Resources

About