Bitcoin and gold price returns: A quantile regression and NARDL analysis
This research analyses the sensitivity of Bitcoin returns to changes in gold price returns and
some other international risk factors such as US stock market returns, interest rates, crude oil …
some other international risk factors such as US stock market returns, interest rates, crude oil …
Market, interest rate, and exchange rate risk effects on financial stock returns during the financial crisis: AGARCH-M approach
A Mouna, J Anis - Cogent Economics & Finance, 2016 - Taylor & Francis
Our aim is to investigate the sensitivity of financial sector stock returns to market, interest
rate, and exchange rate risk in three financial sectors (financial services, banking, and …
rate, and exchange rate risk in three financial sectors (financial services, banking, and …
Interest rate changes and stock returns: A European multi-country study with wavelets
This paper investigates the linkage between changes in 10-year government bond yields
and stock returns for the major European countries in the time-frequency domain by using a …
and stock returns for the major European countries in the time-frequency domain by using a …
Common risk factors in bank stocks
This paper provides evidence on the risk factors that are priced in bank equities. Alternative
empirical models with precedent in the nonfinancial asset pricing literature are tested …
empirical models with precedent in the nonfinancial asset pricing literature are tested …
Nonlinear autoregressive distributed lag approach: An application on the connectedness between bitcoin returns and the other ten most relevant cryptocurrency …
This article examines the connectedness between Bitcoin returns and returns of ten
additional cryptocurrencies for several frequencies—daily, weekly, and monthly—over the …
additional cryptocurrencies for several frequencies—daily, weekly, and monthly—over the …
Does Shariah compliance make interest rate sensitivity of Islamic equities lower? An industry level analysis under different market states
This paper examines the sensitivity of the Dow Jones Islamic market index and its
corresponding industry equity indices to changes in the level, slope and curvature of the US …
corresponding industry equity indices to changes in the level, slope and curvature of the US …
Fiscal policy and stock market efficiency: Evidence for the United States
NT Laopodis - The quarterly Review of Economics and finance, 2009 - Elsevier
This paper examines the extent to which fiscal policy actions affect the stock market's
behavior for the US during 1968–2005. The findings are consistent with the hypothesis that …
behavior for the US during 1968–2005. The findings are consistent with the hypothesis that …
Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure
C Memmel - Journal of Banking & Finance, 2011 - Elsevier
We use a unique dataset of German banks' exposure to interest rate risk to derive the
following statements about their exposure to this risk and their earnings from term …
following statements about their exposure to this risk and their earnings from term …
Linear and nonlinear interest rate sensitivity of Spanish banks
L Ballester, R Ferrer, C González - The Spanish Review of Financial …, 2011 - Elsevier
Interest rate risk is one of the major financial risks faced by banks due to the very nature of
the banking business. The most common approach in the literature has been to estimate the …
the banking business. The most common approach in the literature has been to estimate the …
Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure
We investigate here the sensitivity of the equity values of a large sample of German financial
institutions to movements in the term structure of interest rates. While similar approaches rely …
institutions to movements in the term structure of interest rates. While similar approaches rely …