The effect of the European economic news releases to the US financial markets in the crisis period

Vortelinos, Dimitrios and Gkillas, Konstantinos (2016) The effect of the European economic news releases to the US financial markets in the crisis period. Investment Management and Financial Innovations, 13 (4). pp. 33-57. ISSN 1812-9358

Full content URL: http://dx.doi.org/10.21511/imfi.13(4).2016.04

Documents
28110 imfi_en_2016_04_Vortelinos.pdf
[img]
[Download]
[img]
Preview
PDF
28110 imfi_en_2016_04_Vortelinos.pdf - Whole Document

377kB
Item Type:Article
Item Status:Live Archive

Abstract

This paper evaluates the effect of all European economic news releases on the US financial markets for the main crisis period from June 2007 up to October 2011. Evaluation concerns Sharpe ratios, as well as magnitude and frequency of volatility jumps for the periods before and after a news release. Sharpe ratios are examined with the risk of the excess returns being estimated by the flat-top Bartlett kernel estimator of Barndorff-Nielsen et al. (2008) with an optimal (in a finite sample) choice for the number of autocovariances, as suggested by Bandi and Russell (2011). Volatility jumps are detected according to the jump detection scheme of Ait-Sahalia and Jacod (2009).

Keywords:European economic news releases, crisis; macroeconomic variables, Sharpe ratio, jumps, NotOAChecked
Subjects:L Social studies > L160 International Economics
Divisions:Lincoln International Business School
Related URLs:
ID Code:28110
Deposited On:01 Aug 2017 13:35

Repository Staff Only: item control page