Papers by Francisco Climent
Review of Financial Markets, 2002
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Quantitative Finance, 2009
The objective of this study is to analyse volatility transmission between the US and Eurozone sto... more The objective of this study is to analyse volatility transmission between the US and Eurozone stock markets considering the financial market responses to the September 11, March 11 and July 7 terrorist attacks. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility phenomenon, the non-synchronous trading problem and the turmoil periods
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Journal of Asset Management, 2001
ABSTRACT The relationship between the index returns of the major stock markets has been analysed ... more ABSTRACT The relationship between the index returns of the major stock markets has been analysed in many papers. These studies usually examine lead-lag relationships between markets, without distinguishing the influencing ability and the sensitivity of each of the markets. Additionally, these studies use indices that are not directly comparable - either because of the way the indices are calculated or because of the number of companies and sectors used to construct them. This paper addresses both points. Firstly, all the analyses have been made using homogeneous indices designed by Morgan Stanley Capital International. Secondly, the information flow has been studied by applying the model proposed by Peiro et al. (1998). This model allows us to study the effective influence of one market on another by separating the capability to influence of the first and the sensitivity of the second. The obtained results indicate that during the period 1988-1993, the linkage among the major stocks markets were determined by the sensitivity of the market receiving the information; while in the period 1993-1998, the linkages are determined by the influencing ability.
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Quantitative Finance, 2009
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Quantitative Finance, 2013
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Journal of Financial Markets, 2006
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Journal of Business Ethics, 2011
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International Review of Economics & Finance, 2003
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Financial Analysts Journal, 2006
... As suggested by them, the combination of low correlation, high volatility, and low degree of ... more ... As suggested by them, the combination of low correlation, high volatility, and low degree of international interdependence could indicate that region or country-specific industry events drive the returns of IT stocks. ... Information technology 0.8230 0.3469 1.2693 0.7050 ...
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Energy Policy, 2007
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Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad, 2004
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Papers by Francisco Climent