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Diskussionspapiere 873 / 2009

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest ...

2009| John Beirne, Guglielmo Maria Caporale, Marianne Schulze-Ghattas, Nicola Spagnolo
Diskussionspapiere 885 / 2009

How Does European Integration Affect the European Stock Markets?

This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and financials. The analysis is carried out by using correlation analysis, ß-convergence and s-convergence methods. ...

2009| Burcu Erdogan
Weekly Report 9 / 2009

Productivity in the Financial Sector: Brains Are More Important than Computers

A conventional decomposition of the financial sector's gross value added growth into its various components indicates that investments in Information and Communication Technologies are highly important. However, a more comprehensive calculation reveals that growth is the result of - in particular - the increased deployment of medium-skilled labour, without whom the technological potential could not ...

2009| Georg Erber, Reinhard Madlener
Diskussionspapiere 903 / 2009

Demand Side Analysis of Microlending Markets in Germany

In developing and transition economies, microlending has become an effective instrument for providing micro businesses with the necessary financial resources to launch operations. In the industrialized countries, with their highly developed banking systems, however, there has been ongoing debate on the question of whether an uncovered demand for microlending services exists. The present pilot study ...

2009| Alexander S. Kritikos, Christoph Kneiding, Claas Christian Germelmann
Diskussionspapiere 901 / 2009

Are Private Equity Investors Good or Evil?

The paper investigates the motives of activity (entry and exit) of Private Equity (PE) investors in European companies. Investment of a PE firm is not viewed unambiguously. First, it is claimed that PE investment is made for the sake of seeking short-term gains by taking control and utilizing the company's resources. Second, a PE firm invests because of prior identification of chances to add value ...

2009| Oleg Badunenko, Nataliya Barasinska, Dorothea Schäfer
Diskussionspapiere 906 / 2009

Evaluating Greek Equity Funds Using Data Envelopment Analysis

This study assesses the relative performance of Greek equity funds employing a non-parametric method, specifically Data Envelopment Analysis (DEA). Using an original sample of cost and operational attributes we explore the effect of each variable on funds' operational efficiency for an oligopolistic and bank-dominated fund industry. Our results have significant implications for the investors' fund ...

2009| Vassilios Babalos, Guglielmo Maria Caporale, Nikolaos Philippas
SOEPpapers 224 / 2009

Risk Attitudes and Investment Decisions across European Countries: Are Women More Conservative Investors than Men?

This study questions the popular stereotype that women are more risk averse than men in their financial investment decisions. The analysis is based on micro-level data from large-scale surveys of private households in five European countries. In our analysis of investment decisions, we directly account for individuals' self-perceivedwillingness to take financial risks. The empirical evidence we provide ...

2009| Oleg Badunenko, Nataliya Barasinska, Dorothea Schäfer
SOEPpapers 218 / 2009

Weather and Financial Risk-Taking: Is Happiness the Channel?

Weather variables, and sunshine in particular, are found to be strongly correlated with financial variables. I consider self-reported happiness as a channel through which sunshine affects financial variables. I examine the influence of happiness on risk-taking behavior by instrumenting individual happiness with regional sunshine, and I find that happy people appear to be more risk-averse in financial ...

2009| Cahit Guven
Diskussionspapiere 814 / 2008

Assessing the Impact of the ECB's Monetary Policy on the Stock Markets: A Sectoral View

This paper analyzes the response of the European stock markets to the monetary policy shocks by the European Central Bank using the heteroskedasticity based approach of Rigobon (2003). We find that monetary policy tightening has a heterogeneous impact on the Euro Area sectors on the day the monetary policy is publicly announced. Furthermore, we provide statistical evidence against the use of the popular ...

2008| Konstantin A. Kholodilin, Alberto Montagnoli, Oreste Napolitano, Boriss Siliverstovs
Diskussionspapiere 784 / 2008

Corporate Debt Maturity Choice in Transition Financial Markets

This paper investigates the determinants of liability maturity choice in transition markets. We formulate a model of firm value maximization that describes managers' choice of optimal debt structure. The theoretical predictions are tested using a unique panel of 4,300 Ukrainian firms during the period 2000-2005. Our estimates confirm the importance of liquidity, signaling, maturity matching, and agency ...

2008| Andreas Stephan, Oleksandr Talavera, Andriy Tsapin
733 results, from 641