Pub Date : 2021-01-01DOI: 10.1504/ijcee.2021.10033209
Zuzana Lišková, L. Sdrolias, G. Aspridis, D. Parmová, D. Tsiotas
{"title":"Size-distribution analysis in the study of urban systems: evidence from Greece","authors":"Zuzana Lišková, L. Sdrolias, G. Aspridis, D. Parmová, D. Tsiotas","doi":"10.1504/ijcee.2021.10033209","DOIUrl":"https://doi.org/10.1504/ijcee.2021.10033209","url":null,"abstract":"","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.1,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66719547","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-01-01DOI: 10.1504/IJCEE.2021.10037283
K. Patterson, S. Heravi
Estimation of the long-memory parameter from the log-periodogram (LP) regression, due to Geweke and Porter-Hudak (GPH), is a simple and frequently used method of semi-parametric estimation. However, the simple LP estimator suffers from a finite sample bias that increases with the dependency in the short-run component of the spectral density. In a modification of the GPH estimator, Andrews and Guggenberger, AG (2003) suggested a bias-reduced estimator, but this comes at the cost of inflating the variance. To avoid variance inflation, Guggenberger and Sun (2004, 2006) suggested a weighted LP (WLP) estimator using bands of frequencies, which potentially improves upon the simple LP estimator. In all cases a key parameter in these methods is the need to choose a frequency bandwidth, m, which confines the chosen frequencies to be in the ‘neighbourhood’ of zero. GPH suggested a ‘square-root’ rule of thumb that has been widely used, but has no optimality characteristics. An alternative, due to Hurvich and Deo (1999), is to derive the root mean square error (rmse) optimising value of m, which depends upon an unknown parameter, although that can be consistently estimated to make the method feasible. More recently, Arteche and Orbe (2009a,b), in the context of the GPH estimator, suggested a promising bootstrap method, based on the frequency domain, to obtain the rmse value of m that avoids estimating the unknown parameter. We extend this bootstrap method to the AG and WLP estimators and to consideration of bootstrapping in the frequency domain (FD) and the time domain (TD) and, in each case, to ‘blind’ and ‘local’ versions. We undertake a comparative simulation analysis of these methods for relative performance on the dimensions of bias, rmse, confidence interval width and fidelity.
{"title":"Bootstrapping the log-periodogram estimator of the long-memory parameter: is it worth weighting","authors":"K. Patterson, S. Heravi","doi":"10.1504/IJCEE.2021.10037283","DOIUrl":"https://doi.org/10.1504/IJCEE.2021.10037283","url":null,"abstract":"Estimation of the long-memory parameter from the log-periodogram (LP) regression, due to Geweke and Porter-Hudak (GPH), is a simple and frequently used method of semi-parametric estimation. However, the simple LP estimator suffers from a finite sample bias that increases with the dependency in the short-run component of the spectral density. In a modification of the GPH estimator, Andrews and Guggenberger, AG (2003) suggested a bias-reduced estimator, but this comes at the cost of inflating the variance. To avoid variance inflation, Guggenberger and Sun (2004, 2006) suggested a weighted LP (WLP) estimator using bands of frequencies, which potentially improves upon the simple LP estimator. In all cases a key parameter in these methods is the need to choose a frequency bandwidth, m, which confines the chosen frequencies to be in the ‘neighbourhood’ of zero. GPH suggested a ‘square-root’ rule of thumb that has been widely used, but has no optimality characteristics. An alternative, due to Hurvich and Deo (1999), is to derive the root mean square error (rmse) optimising value of m, which depends upon an unknown parameter, although that can be consistently estimated to make the method feasible. More recently, Arteche and Orbe (2009a,b), in the context of the GPH estimator, suggested a promising bootstrap method, based on the frequency domain, to obtain the rmse value of m that avoids estimating the unknown parameter. We extend this bootstrap method to the AG and WLP estimators and to consideration of bootstrapping in the frequency domain (FD) and the time domain (TD) and, in each case, to ‘blind’ and ‘local’ versions. We undertake a comparative simulation analysis of these methods for relative performance on the dimensions of bias, rmse, confidence interval width and fidelity.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.1,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66719787","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-01-01DOI: 10.1504/ijcee.2021.10040793
Rashid Mansoor, K. Månsson
Testing for Panel Cointegration in High-Dimensional Data in the Presence of Cross-Sectional Dependency
横断面相关性下高维数据的面板协整检验
{"title":"Testing for panel cointegration in high dimensional data in the presence of cross-sectional dependency","authors":"Rashid Mansoor, K. Månsson","doi":"10.1504/ijcee.2021.10040793","DOIUrl":"https://doi.org/10.1504/ijcee.2021.10040793","url":null,"abstract":"Testing for Panel Cointegration in High-Dimensional Data in the Presence of Cross-Sectional Dependency","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.1,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66720247","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-01-01DOI: 10.1504/ijcee.2021.10043597
V. Awasthi, H. Hota, Devender Kumar Sharma
The stock fund diversification process is a tedious task due to the erratic nature of the stock market. On the other hand, work is more challenging due to high annual return expectations with low risk. This research work explores the potential of goal programming (GP) and K-means algorithm as an integrated K-means-GP approach for fund diversification, where K-means is used to create groups of stock based on their performance. Then GP is used to diversify total funds into various groups of stocks to achieve a high annual return. The experimental work has been done in 30 stocks of DOW30 of the years 2017-2018, 2018-2019, and 2019-2020. A comparative study was carried with three different cases based on individual year data and an average of two and three years of data. The empirical results show that: the K-means-GP approach outperformed the GP approach for stock fund diversification;the annual return is higher in the case of the K-means-GP approach using three years of average data with 12.59% of annual return against the expected annual return of 20%. Due to COVID-19, few stocks perform in the negative direction, and hence the annual return is being affected after fund diversification.
{"title":"An integrated K-means-GP approach for US stock fund diversification and its impact due to COVID-19","authors":"V. Awasthi, H. Hota, Devender Kumar Sharma","doi":"10.1504/ijcee.2021.10043597","DOIUrl":"https://doi.org/10.1504/ijcee.2021.10043597","url":null,"abstract":"The stock fund diversification process is a tedious task due to the erratic nature of the stock market. On the other hand, work is more challenging due to high annual return expectations with low risk. This research work explores the potential of goal programming (GP) and K-means algorithm as an integrated K-means-GP approach for fund diversification, where K-means is used to create groups of stock based on their performance. Then GP is used to diversify total funds into various groups of stocks to achieve a high annual return. The experimental work has been done in 30 stocks of DOW30 of the years 2017-2018, 2018-2019, and 2019-2020. A comparative study was carried with three different cases based on individual year data and an average of two and three years of data. The empirical results show that: the K-means-GP approach outperformed the GP approach for stock fund diversification;the annual return is higher in the case of the K-means-GP approach using three years of average data with 12.59% of annual return against the expected annual return of 20%. Due to COVID-19, few stocks perform in the negative direction, and hence the annual return is being affected after fund diversification.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.1,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66720409","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-08-04DOI: 10.1504/ijcee.2020.10031003
C. Chaiboonsri, S. Wannapan, G. Cerulli
The purposes of this paper are two main sections. The former is to study the relationship between Indian ICT industries and GDP by applying Bayesian inference. Yearly predominant indexes collected during 2000 to 2015, including Indian GDP, fixed phone usages, mobile phone distributions, internet servers, and broadband suppliers are analysed by employing the Markov-switching model (MS-model) and Bayesian vector autoregressive model (BVAR). The latter is the time-varying parametric VAR model with stochastic volatilities (TVP-VAR). With Bayes statistics, this time-varying analysis can more clearly provide the extended perception to the underlying flexible structure in the economy. Additionally, the Bayesian regression model is used to investigate the ICT multiplier related to Indian economic growth. Empirically, results indicate IT sectors are now becoming the importance of Indian economic expansion, compared with telecommunication sectors. The ICT multiplier also confirms high-technological industrial zones should be systematically enhanced, especially, researches and developments in cyberspace.
{"title":"Economic and business cycles with time varying in India: evidence from ICT sectors","authors":"C. Chaiboonsri, S. Wannapan, G. Cerulli","doi":"10.1504/ijcee.2020.10031003","DOIUrl":"https://doi.org/10.1504/ijcee.2020.10031003","url":null,"abstract":"The purposes of this paper are two main sections. The former is to study the relationship between Indian ICT industries and GDP by applying Bayesian inference. Yearly predominant indexes collected during 2000 to 2015, including Indian GDP, fixed phone usages, mobile phone distributions, internet servers, and broadband suppliers are analysed by employing the Markov-switching model (MS-model) and Bayesian vector autoregressive model (BVAR). The latter is the time-varying parametric VAR model with stochastic volatilities (TVP-VAR). With Bayes statistics, this time-varying analysis can more clearly provide the extended perception to the underlying flexible structure in the economy. Additionally, the Bayesian regression model is used to investigate the ICT multiplier related to Indian economic growth. Empirically, results indicate IT sectors are now becoming the importance of Indian economic expansion, compared with telecommunication sectors. The ICT multiplier also confirms high-technological industrial zones should be systematically enhanced, especially, researches and developments in cyberspace.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":" ","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42516323","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-06-10DOI: 10.1504/ijcee.2020.10029944
Gholamreza Keshavarz Haddad, H. Heidari
Circuit breakers, like price limits and trading suspensions, are used to reduce price volatility in security markets. When returns hit price limits or missed, observed returns deviate from equilibrium returns. This creates a challenge for predicting stock returns and modelling value at risk (VaR). In Tehran Stock Exchange (TSE), the circuit breakers are applied to control for the excess price volatilities. This paper intend to address which models and what methodology should be applied by risk analysts to calculate the VaR when the returns are unobservable. To this end, we extend Wei's (2002) model, in the framework of Bayesian Censored and Missing-GARCH approach, to estimate VaR for a share index in TSE. Using daily data over June 2006 to June 2016, we show that the Censored and Missing- GARCH model with student-t distribution outperforms the other VaR estimation metods. Kullback-Leibler (KLIC), Kupic (1995) test and Lopez score (1998) outcomes show that estimated VaR by Censored and missing- GARCH model with student-t distribution is of the most accuracy among the other GARCH family estimated models.
熔断器，如价格限制和交易暂停，用于减少证券市场的价格波动。当收益达到价格极限或未达到时，观察到的收益偏离均衡收益。这给预测股票回报和风险价值建模带来了挑战。在德黑兰证券交易所（TSE），熔断器用于控制价格的过度波动。本文旨在探讨当收益不可观测时，风险分析师应采用哪些模型和方法来计算VaR。为此，我们在贝叶斯截尾和缺失GARCH方法的框架下，扩展了Wei（2002）的模型，以估计TSE股票指数的VaR。使用2006年6月至2016年6月的每日数据，我们发现具有student-t分布的Censored and Missing-GARCH模型优于其他VaR估计方法。Kullback-Leibler（KLIC）、Kupic（1995）检验和Lopez评分（1998）结果表明，在其他GARCH家族估计模型中，具有学生t分布的删失GARCH模型估计的VaR是最准确的。
{"title":"Performance evaluation of the Bayesian and classical value at risk models with circuit breakers set up","authors":"Gholamreza Keshavarz Haddad, H. Heidari","doi":"10.1504/ijcee.2020.10029944","DOIUrl":"https://doi.org/10.1504/ijcee.2020.10029944","url":null,"abstract":"Circuit breakers, like price limits and trading suspensions, are used to reduce price volatility in security markets. When returns hit price limits or missed, observed returns deviate from equilibrium returns. This creates a challenge for predicting stock returns and modelling value at risk (VaR). In Tehran Stock Exchange (TSE), the circuit breakers are applied to control for the excess price volatilities. This paper intend to address which models and what methodology should be applied by risk analysts to calculate the VaR when the returns are unobservable. To this end, we extend Wei's (2002) model, in the framework of Bayesian Censored and Missing-GARCH approach, to estimate VaR for a share index in TSE. Using daily data over June 2006 to June 2016, we show that the Censored and Missing- GARCH model with student-t distribution outperforms the other VaR estimation metods. Kullback-Leibler (KLIC), Kupic (1995) test and Lopez score (1998) outcomes show that estimated VaR by Censored and missing- GARCH model with student-t distribution is of the most accuracy among the other GARCH family estimated models.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":" ","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45513285","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-06-10DOI: 10.1504/ijcee.2020.10029950
Ouael El Jebari, Abdelati Hakmaoui
This paper tries to give a thorough analysis of the mechanisms of volatility spillovers, as well as, a study of the time-varying interdependencies of volatilities of seven major sectors of the Moroccan stock exchange by proposing an empirical approach based on multivariate GARCH models. It uses daily data spanning the period between 02/07/2007 and 15/12/2016, covering seven principal sectors indices. The results of the study confirm the existence of multiple volatility transmissions in both ways and of both signs between sectors of our sample, along with, the quasi-abundance of positive correlations suggesting possible contagion effects. More importantly, our findings are in line with those discovered in the U.S financial market. The notoriety of this paper resides in the fact that it broadens previously documented studies focusing mainly on external shocks by providing a study of internal shocks while applying two multivariate GARCH models.
{"title":"An analysis of major Moroccan domestic sectors interdependencies and volatility spillovers using multivariate GARCH models","authors":"Ouael El Jebari, Abdelati Hakmaoui","doi":"10.1504/ijcee.2020.10029950","DOIUrl":"https://doi.org/10.1504/ijcee.2020.10029950","url":null,"abstract":"This paper tries to give a thorough analysis of the mechanisms of volatility spillovers, as well as, a study of the time-varying interdependencies of volatilities of seven major sectors of the Moroccan stock exchange by proposing an empirical approach based on multivariate GARCH models. It uses daily data spanning the period between 02/07/2007 and 15/12/2016, covering seven principal sectors indices. The results of the study confirm the existence of multiple volatility transmissions in both ways and of both signs between sectors of our sample, along with, the quasi-abundance of positive correlations suggesting possible contagion effects. More importantly, our findings are in line with those discovered in the U.S financial market. The notoriety of this paper resides in the fact that it broadens previously documented studies focusing mainly on external shocks by providing a study of internal shocks while applying two multivariate GARCH models.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66719758","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-06-10DOI: 10.1504/ijcee.2020.10029945
Alexios Makropoulos, C. Weir, Xin Zhang
This paper uses a combination of Factor and Cluster analysis to identify and compare failure processes in small and medium sized firms from a number of European Union countries. Panel data analysis is then used to identify the determinants of the firms' transition from financial health towards liquidation in the alternative failure processes. The results suggest that there are four different firm failure processes. We find that financial performance and director characteristics differ between firm failure processes. We also find that the economic environment, the legal tradition of countries and excessive firm growth are determinants of the transition of firms towards liquidation across most firm failure processes. These findings may be of practical use to policy makers, lenders and risk managers who will benefit from a better understanding of the differences between the alternative firm failure processes and from the determinants of a firm's transition towards liquidation within these failure processes.
{"title":"Stages and determinants of European Union small and medium sized firms' failure process","authors":"Alexios Makropoulos, C. Weir, Xin Zhang","doi":"10.1504/ijcee.2020.10029945","DOIUrl":"https://doi.org/10.1504/ijcee.2020.10029945","url":null,"abstract":"This paper uses a combination of Factor and Cluster analysis to identify and compare failure processes in small and medium sized firms from a number of European Union countries. Panel data analysis is then used to identify the determinants of the firms' transition from financial health towards liquidation in the alternative failure processes. The results suggest that there are four different firm failure processes. We find that financial performance and director characteristics differ between firm failure processes. We also find that the economic environment, the legal tradition of countries and excessive firm growth are determinants of the transition of firms towards liquidation across most firm failure processes. These findings may be of practical use to policy makers, lenders and risk managers who will benefit from a better understanding of the differences between the alternative firm failure processes and from the determinants of a firm's transition towards liquidation within these failure processes.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":" ","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44072353","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-06-10DOI: 10.1504/ijcee.2020.10029943
Y. Chen, Hao Yang
Since Markowitz proposed the mean-variance (MV) formulation in 1952, it has been used to configure various portfolio selection problems. However Markowitz's solution is only for a single period. Multi-period portfolio selection problems have been studied for a long time but most solutions depend on various forms of utility function, which are unfamiliar to general investors. Some works have formulated the problems as MV models and solved them analytically in closed form subject to certain assumptions. Unlike analytical solutions, genetic algorithms (GA) are more flexible because they can solve problems without restrictive assumptions. The purpose of this paper is to formulate multi-period portfolio selection problems as MV models and solve them by GA. To illustrate the generality of our algorithm, we implement a program by Microsoft Visual Studio to solve a multi-period portfolio selection problem for which there exists no general analytical solution.
{"title":"Multi-period mean-variance portfolio selection with practical constraints using heuristic genetic algorithms","authors":"Y. Chen, Hao Yang","doi":"10.1504/ijcee.2020.10029943","DOIUrl":"https://doi.org/10.1504/ijcee.2020.10029943","url":null,"abstract":"Since Markowitz proposed the mean-variance (MV) formulation in 1952, it has been used to configure various portfolio selection problems. However Markowitz's solution is only for a single period. Multi-period portfolio selection problems have been studied for a long time but most solutions depend on various forms of utility function, which are unfamiliar to general investors. Some works have formulated the problems as MV models and solved them analytically in closed form subject to certain assumptions. Unlike analytical solutions, genetic algorithms (GA) are more flexible because they can solve problems without restrictive assumptions. The purpose of this paper is to formulate multi-period portfolio selection problems as MV models and solve them by GA. To illustrate the generality of our algorithm, we implement a program by Microsoft Visual Studio to solve a multi-period portfolio selection problem for which there exists no general analytical solution.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":" ","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41390997","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We investigate the impact of European Central Bank (ECB) interventions on major European and Turkish stock and credit default swap (CDS) markets highlighting the importance of abnormal to excess abnormal returns in the systemic risk. In particular, we examine the impact of ECB announcements (news) on major European and Turkish financial markets (stocks and CDSs indices) for a high and low-volatility period, i.e., from November 6th, 2008 to December 31st, 2015. We also examine the market efficiency by using both an event study methodology and the Capital Asset Pricing Model. Moreover, the impact of the ECB events is measured by an event study and a systemic risk analysis. The results show that investors exposed to Finland, Sweden, Austria and Spain tend to be more vulnerable to risk and volatility, when ECB announcements are published.
{"title":"Abnormal returns and systemic risk: evidence from a non-parametric bootstrap framework during the European sovereign debt crisis","authors":"Konstantinos Gkillas, Christos Floros, Christoforos Konstantatos, Dimitrios Vortelinos","doi":"10.1504/ijcee.2020.10029946","DOIUrl":"https://doi.org/10.1504/ijcee.2020.10029946","url":null,"abstract":"We investigate the impact of European Central Bank (ECB) interventions on major European and Turkish stock and credit default swap (CDS) markets highlighting the importance of abnormal to excess abnormal returns in the systemic risk. In particular, we examine the impact of ECB announcements (news) on major European and Turkish financial markets (stocks and CDSs indices) for a high and low-volatility period, i.e., from November 6th, 2008 to December 31st, 2015. We also examine the market efficiency by using both an event study methodology and the Capital Asset Pricing Model. Moreover, the impact of the ECB events is measured by an event study and a systemic risk analysis. The results show that investors exposed to Finland, Sweden, Austria and Spain tend to be more vulnerable to risk and volatility, when ECB announcements are published.","PeriodicalId":42342,"journal":{"name":"International Journal of Computational Economics and Econometrics","volume":" ","pages":""},"PeriodicalIF":0.1,"publicationDate":"2020-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46405791","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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