Financial earthquakes: SARS-CoV-2 news shock propagation in stock and sovereign bond markets

2021 ◽  
pp. 126240
Author(s):  
Paolo Pagnottoni ◽  
Alessandro Spelta ◽  
Nicolò Pecora ◽  
Andrea Flori ◽  
Fabio Pammolli
Keyword(s):  
Shock Propagation ◽  
Bond Markets ◽  
Sovereign Bond ◽  
News Shock ◽  
Sovereign Bond Markets

Twitter versus Traditional News Media: Evidence for the Sovereign Bond Markets

2018 ◽  
Author(s):  
Costas Milas ◽  
Theodore Panagiotidis ◽  
Theologos Dergiades
Keyword(s):  
News Media ◽  
Bond Markets ◽  
Sovereign Bond ◽  
Sovereign Bond Markets

scholarly journals Dynamic integration and network structure of the EMU sovereign bond markets

2018 ◽  
Vol 281 (1-2) ◽  
pp. 297-314 ◽  
Author(s):  
Ahmet Sensoy ◽  
Duc Khuong Nguyen ◽  
Ahmed Rostom ◽  
Erk Hacihasanoglu
Keyword(s):  
Network Structure ◽  
Bond Markets ◽  
Sovereign Bond ◽  
Dynamic Integration ◽  
Sovereign Bond Markets

scholarly journals Volatility spillovers in EMU sovereign bond markets

2015 ◽  
Vol 39 ◽  
pp. 337-352 ◽  
Author(s):  
Fernando Fernández-Rodríguez ◽  
Marta Gómez-Puig ◽  
Simón Sosvilla-Rivero
Keyword(s):  
Bond Markets ◽  
Volatility Spillovers ◽  
Sovereign Bond ◽  
Sovereign Bond Markets

Spread the news: The impact of news on the European sovereign bond markets during the crisis

2013 ◽  
Vol 34 ◽  
pp. 83-101 ◽  
Author(s):  
Roel Beetsma ◽  
Massimo Giuliodori ◽  
Frank de Jong ◽  
Daniel Widijanto
Keyword(s):  
Bond Markets ◽  
Sovereign Bond ◽  
The Impact ◽  
Sovereign Bond Markets

scholarly journals Asymmetric correlation of sovereign bond yield dynamics in the Eurozone

2013 ◽  
Vol 60 (6) ◽  
pp. 775-789 ◽  
Author(s):  
Silvo Dajcman
Keyword(s):  
New York ◽  
Debt Crisis ◽  
Bond Markets ◽  
Lower Tail ◽  
Sovereign Bond ◽  
Bond Yield ◽  
Time Periods ◽  
The Difference ◽  
Asymmetric Correlation ◽  
Sovereign Bond Markets

This paper examines the symmetry of correlation of sovereign bond yield dynamics between eight Eurozone countries (Austria, Belgium, France, Germany, Ireland, Italy, Portugal, and Spain) in the period from January 3, 2000 to August 31, 2011. Asymmetry of correlation is investigated pair-wise by applying the test of Yongmiao Hong, Jun Tu, and Guofu Zhou (2007). Whereas the test of Hong, Tu, and Zhou (2007) is static, the present paper provides also a dynamic version of the test and identifies time periods when the correlation of Eurozone sovereign bond yield dynamics became asymmetric. We identified seven pairs of sovereign bond markets for which the null hypothesis of symmetry in correlation of sovereign bond yield dynamics can be rejected. Calculating rolling-window exceedance correlation, we found that the time-varying upper- (i.e. for positive yield changes) and lower-tail correlations (i.e. for negative yield changes) for pair-wise observed sovereign bond markets normally follow each other closely, yet during some time periods (for most pair-wise observed countries, these periods are around the September 11 attack on the New York City WTC and around the start of the Greek debt crisis) the difference in correlation does increase. The results show that the upper- and lower-tail correlation was symmetric before the Eurozone debt crisis for most of the pair-wise observed sovereign bond markets but has become much less symmetric since then.

scholarly journals DRIVERS OF ILLIQUIDITY IN THE ASEAN SOVEREIGN BOND MARKET

2020 ◽  
Vol 23 (4) ◽  
pp. 501-524
Author(s):  
Harald Kinateder ◽  
Robert Bauer ◽  
Niklas Wagner
Keyword(s):  
Growth Rate ◽  
Bond Market ◽  
Gdp Growth ◽  
Bond Markets ◽  
Policy Uncertainty ◽  
Yield Curves ◽  
Economic Policy Uncertainty ◽  
Sovereign Bond ◽  
Gdp Growth Rate ◽  
Sovereign Bond Markets

We study illiquidity in ASEAN-5 sovereign bond markets from 2008 to 2019 by using an illiquidity measure, which is based on a proxy of the amount of arbitrage capital available in sovereign bond markets. Our analysis identifies three drivers of illiquidity in Singapore, namely economic policy uncertainty, the default spread and the GDP growth rate. In contrast, liquidity of all other markets is mostly not characterized by economic drivers. It appears that overall liquidity is lower in the markets outside Singapore and therefore deviations in these yield curves are higher on average and arbitrage eliminates larger deviations not immediately but in a delayed manner.

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