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© 2020 The Authors. This study examines the impact of investors’ buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our results suggest that the buy and sell trades have an asymmetric effect on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post-crisis buy trades affect volatility positively regardless of who trades (institutional or individual investors) and on what information (member, non-member). Most importantly, decomposing total buy and sell trades into trader-type categories reveals that some institutional investors are more informed traders that stabilize the market compared to individuals that always increase volatility. Foreign investors reduce volatility with their purchases and total trading activity in the whole Asian crisis sample, but only in the pre-crisis period before the recent global financial turmoil.

This is an Accepted Manuscript of an article published by Taylor & Francis in The European Journal of Finance on 28 Feb 2020, available online: https://www.tandfonline.com/doi/full/10.1080/1351847X.2020.1732437

This paper studies the bivariate HEAVY system of volatility regression equations and its various extensions that are directly applicable to the day-to-day business treasury operations of trading in foreign exchange and commodities, investing in bond and stock markets, hedging out market risk, and capital budgeting. We enrich the HEAVY framework with powers, asymmetries, and long memory that improve its forecasting accuracy significantly. Other findings are as follows. First, hyperbolic memory fits the realized measure better, whereas fractional integration is more suitable for the powered returns. Second, the structural breaks applied to the bivariate system capture the time-varying behavior of the parameters, in particular during and after the global financial crisis of 2007/2008.

We use intraday aggregate stock market data and an event‐study framework to assess the UK's equity market reaction to the unexpected element of the Bank of England Monetary Policy Committee's (MPC) asset purchase announcements for the 2009–2017 period. We assess the reactions of equity returns and their volatility over various time frames, both preceding and following the MPC announcements. Our results show that the UK unconventional monetary policy shocks have a significant impact on domestic equity returns and volatilities. The strength of this impact depends on the Bank's information dissemination through inflation reports and the publication of the MPC's voting records. (JEL G14, E44, E52)

This paper examines how the most prevalent stochastic properties of key metal futures returns have been affected by the recent financial crisis using both mapped and unmapped data. Our results suggest that copper and gold futures returns exhibit time-varying persistence in their corresponding conditional volatilities over the crisis period; in particular, such persistence increases during periods of high volatility compared with low volatility. The estimation of a bivariate GARCH model further shows the existence of time-varying volatility spillovers between these returns during the different stages of such a crisis. Our results, which are broadly the same in relation to the use of mapped or unmapped data, suggest that the volatilities of copper and gold are inherently linked, although these metals have very different applications.

We reveal the macroeconomic determinants of the dynamic correlations between three global asset markets: equities, real estate, and commodities. Conditional equicorrelations, computed by the GJR-GARCH-DECO model, are explained by the macro-financial proxies of economic policy and financial uncertainty, credit conditions, economic activity, business and consumer confidence, and geopolitical risk. Our results suggest that elevated cross-asset correlations are associated with higher uncertainty, tighter credit conditions, and lower geopolitical risk, while lower correlations are related to stronger economic activity, business, and consumer confidence. We further focus on economic policy uncertainty (EPU) as a potent catalyst of the asset markets integration process and conclude that EPU magnifies all macro-effects across all correlations. Lastly, we investigate the global financial crisis effect on the time-varying impact of the correlations’ macro-drivers. The crisis structural break amplifies the influence that all determinants exert on the evolution of correlations apart from the geopolitical risk upshot, which is alleviated after the crisis advent.

We study the convergence properties of inflation rates among the countries of the European Monetary Union over the period 1980–2013. Recently developed panel unit root/stationarity tests cannot reject the stationarity hypothesis. This implies that some countries have been in the process of converging absolutely or relatively. By using a clustering algorithm we statistically detect three absolute convergence clubs in the pre-euro period, which comprise early accession countries. In particular, Luxembourg clusters with Austria and Belgium, while a second sub-group includes Germany and France and the third The Netherlands and Finland. We also detect two separate clusters of early accession countries in the post-1997 period: a sub-group with Germany, Austria, Belgium and Luxembourg, and one with France and Finland. For the rest of the countries/cases we find evidence of divergent behavior. Robustness is checked by testing pairwise convergence in a Bayesian framework. The outcome broadly confirms our findings.

This paper investigates the information content of trading volume and its relationship with range-based volatility in the Indian stock market for the period 1995–2007. We examine the dynamics of the two variables and their respective uncertainties using a bivariate dual long-memory model. We distinguish between volume traded before and after the introduction of futures and options trading. We find that in all three periods the impact of both the number of trades and the value of shares traded on volatility is negative. This result is consistent with the argument that the activity of informed traders is inversely related to volatility when the marketplace has increased liquidity, an increasing number of active investors and high consensus among investors when new information is released. We also find that (i) the introduction of futures trading leads to a decrease in spot volatility, (ii) volume decreases after the introduction of option contracts and (iii) there are significant expiration day effects on both the value of shares traded and volatility series.

This paper addresses neoliberal origins of the acute geoeconomic and social crisis that was inflicted on Greece since 2010 with the unleashing of the 3 consecutive bailout plans and the implementation of fierce austerity policies. We further scrutinize the composition of the soaring Greek debt and most importantly, the unsettling utilization of the troika loans for the 2010–15 period. For the first time in the literature, we provide evidence that the vast bulk of the loans went overwhelmingly not to benefiting a “profligate” Greek state but to avoiding the write-downs of bad loans made by reckless creditors (mainly, German and French banks) to the Greek government and private banks. We propose the temporary adoption of a parallel currency in the form of government IOUs, together with other drastic measures to reboot the ailing Greek economy inside the Eurozone.

In this paper we summarize the opinion of three renowned economists, namely Paul De Grauwe, Paul Krugman and Joseph Stiglitz, on the eurozone crisis as well as the Greek case. In particular all three expressed in one way or another their reservations about the single currency. On one side De Grauwe and Stiglitz highlighted the design failures of the eurozone and on the other Krugman argued that the creation of the common currency was a terrible mistake. In support of their claims we provide evidence of the negative consequences of the austerity measures that were implemented by the troika on the Greek economy for a period covering 2010–2014. After five years of austerity, Greece among others experienced significant deflationary dynamics, deep recession, high unemployment rates, that are among the highest in Europe and an increase of the percentage of the people at risk of poverty or social exclusion. More specifically, GDP per capita growth shrank on average by 5.85% in the period 2010–2013 while the unemployment rate reached 25.5% in 2015. Even more remarkable is the fact that the youth unemployment rate reached 52.4% in 2014. Finally, 14% of the population cannot meet its medical needs due to the high cost of treatment.

Argentina is the only country in the world that in 1900 was ‘developed’ and in 2000 was ‘developing’. Although economic historians have identified and explored various possible explanations (chiefly institutions, political instability, financial development, inflation, trade openness and international financial integration), no study so far has attempted a comprehensive quantitative assessment of their relative importance. This article tries to fill this gap using the power-ARCH framework and annual data since 1896 to study the effects of these factors in terms of both growth and growth volatility. The results highlight two main factors to understand the remarkable growth trajectory of Argentina over the very long run, financial development and institutions (formal and informal political instability) and stress the importance of differences in their short vis-à-vis long-run behaviour.

We use parametric power ARCH models of the conditional variance of inflation to model the relationship between inflation and its uncertainty using monthly data for Germany, the Netherlands and Sweden over a period ranging from 1962 to 2004. For all three countries inflation significantly raises inflation uncertainty as predicted by Friedman. Increased uncertainty affects inflation in all countries but not in the same manner. For Sweden we find a negative impact in accordance with the Holland hypothesis, whereas for Germany and the Netherlands we find the opposite in support of the Cukierman-Meltzer hypothesis. In a sensitivity analysis we show that an arbitrary choice of the heteroscedasticity parameter influences this relationship significantly.

This article has been made available through the Brunel Open Access Publishing Fund. This paper applies the vector AR-DCC-FIAPARCH model to eight national stockmarket indices' daily returns from 1988 to 2010, taking into account the structural breaks of each time series linked to the Asian and the recent Global financial crisis. We find significant cross effects, as well as long range volatility dependence, asymmetric volatility response to positive and negative shocks, and the power of returns that best fits the volatility pattern. One of the main findings of the model analysis is the higher dynamic correlations of the stock markets after a crisis event, which means increased contagion effects between the markets. The fact that during the crisis the conditional correlations remain on a high level indicates a continuous herding behaviour during these periods of increased market volatility. Finally, during the recent Global financial crisis the correlations remain on a much higher level than during the Asian financial crisis. © 2014 The Authors. Published by Elsevier Inc. This is an open access article under the CC BY-NC-ND license.