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  1. The Covid-19 pandemic, policy responses and stock markets in the G20
    Autor*in: Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio; Spagnolo, Nicola
    Erschienen: September 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper analyses the impact of the Covid-19 pandemic on stock market returns and their volatility in the case of the G20 countries. In contrast to the existing empirical literature, which typically focuses only on either Covid-19 deaths or... mehr

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    This paper analyses the impact of the Covid-19 pandemic on stock market returns and their volatility in the case of the G20 countries. In contrast to the existing empirical literature, which typically focuses only on either Covid-19 deaths or lockdown policies, our analysis is based on a comprehensive dynamic panel model accounting for the effects of both the epidemiological situation and restrictive measures as well as of fiscal and monetary responses; moreover, instead of Covid-19 deaths it uses a far more sophisticated Covid-19 index based on a Balanced Worth (BW) methodology, and it also takes into account heterogeneity by providing additional estimates for the G7 and the remaining countries (non-G7) separately. We find that the stock markets of the G7 are affected negatively by government restrictions more than the Covid-19 pandemic itself. By contrast, in the non-G7 countries both variables have a negative impact. Further, lockdowns during periods with particularly severe Covid-19 conditions decrease returns in the non-G7 countries whilst increase volatility in the G7 ones. Fiscal and monetary policy (the latter measured by the shadow short rate) have positive and negative effects, respectively, on the stock markets of the G7 countries but not of non-G7 ones. In brief, our evidence suggests that restrictions and other policy measures play a more important role in the G7 countries whilst the Covid-19 pandemic itself is a key determinant in the case the non-G7 stock markets.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/245480
    Schriftenreihe: CESifo working paper ; no. 9299 (2021)
    Schlagworte: Covid-19 pandemic; stringency index; Covid-19 index; fiscal policy; shadow rates; stock markets
    Umfang: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  2. Cyber attacks, spillovers and contagion in the cryptocurrency markets
    Autor*in: Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio; Spagnolo, Nicola
    Erschienen: May 2020
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper examines mean and volatility spillovers between three major cryptocurrencies (Bitcoin, Litecoin and Ethereum) and the role played by cyber attacks. Specifically, trivariate GARCH-BEKK models are estimated which include suitably defined... mehr

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    DS 63
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    This paper examines mean and volatility spillovers between three major cryptocurrencies (Bitcoin, Litecoin and Ethereum) and the role played by cyber attacks. Specifically, trivariate GARCH-BEKK models are estimated which include suitably defined dummies corresponding to different types, targets and number per day of cyber attacks. Significant dynamic linkages (interdependence) among the three cryptocurrencies under investigation are found in most cases when cyber attacks are taken into account, Bitcoin appearing to be the dominant one. Further, Wald tests for parameter shifts during episodes of turbulence resulting from cyber attacks provide evidence that the latter affect the transmission mechanism between cryptocurrency returns and volatilities (contagion). More precisely, cyber attacks appear to strengthen cross-market linkages, thereby reducing portfolio diversification opportunities for cryptocurrency investors. Finally, the conditional correlation analysis confirms the previous findings.

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/219142
    Schriftenreihe: CESifo working paper ; no. 8324 (2020)
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  3. Cyber-attacks and cryptocurrencies
    Autor*in: Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio; Spagnolo, Nicola
    Erschienen: February 2020
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper provides some comprehensive evidence on the effects of cyber-attacks on the returns, realized volatility and trading volume of five of the main cryptocurrencies (Bitcoin, Ethereum, Litecoin, XRP and Stellar) in 99 developed and developing... mehr

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    DS 63
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    This paper provides some comprehensive evidence on the effects of cyber-attacks on the returns, realized volatility and trading volume of five of the main cryptocurrencies (Bitcoin, Ethereum, Litecoin, XRP and Stellar) in 99 developed and developing countries. More specifically, it investigates the effects of four different types of cyber-attacks (cyber-crime, cyber-espionage, hacktivism and cyber-warfare) on four target sectors (government, industry, finance and cryptocurrency exchange). We find that in the US cyber security firms tend to overreact to cyberattacks affecting cryptocurrencies and more wealth is spent on cyber security compared to other countries. Both hacktivism and cyber-warfare have a significant impact on cryptocurrencies. Cryptocurrency exchanges are more vulnerable to cyber-attacks in non-US countries and in the presence of high economic uncertainty and less so if the industry sector is already being targeted. Finally, cryptocurrency investors exhibit risk-loving behaviour when the hash rate and cryptocurrency returns increase and risk-averse one when cyber-attacks target the financial and industry sectors and economic uncertainty is high.n

     
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    hdl: 10419/216520
    Schriftenreihe: CESifo working paper ; no. 8124 (2020)
    Umfang: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  4. On the preferences of CoCo bond buyers and sellers
    a logistic regression analysis
    Autor*in: Caporale, Guglielmo Maria; Kang, Woo-Young
    Erschienen: [2019]
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper estimates the preference scores of CoCo bond buyers and sellers by running logistic regressions taking into account both bond and issuing bank's characteristics, and also considers the role of country−specific CoCo bond market... mehr

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    This paper estimates the preference scores of CoCo bond buyers and sellers by running logistic regressions taking into account both bond and issuing bank's characteristics, and also considers the role of country−specific CoCo bond market competitiveness. Buyers are found to be characterised by stronger preference responses to CoCo bond coupons and credit ratings, while sellers are more sensitive to CoCo bond issue size and financial characteristics including return on common equity, price−to−book ratio and total regulatory capital to risk−weighted asset ratio. Further, sizeable responses to CoCo bond and issuing bank’s characteristics are found in most European countries, Brazil, Mexico and China, the strongest responses being estimated in the case of the UK and China.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/198911
    Schriftenreihe: Array ; no. 7551 (March 2019)
    Umfang: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  5. Non-linearities, cyber attacks and cryptocurrencies
    Autor*in: Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio; Spagnolo, Nicola
    Erschienen: [2019]
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper uses a Markov-switching non-linear specification to analyse the effects of cyber attacks on returns in the case of four cryptocurrencies (Bitcoin, Ethernam, Litecoin and Stellar) over the period 8/8/2015 - 28/2/2019. The analysis considers... mehr

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    This paper uses a Markov-switching non-linear specification to analyse the effects of cyber attacks on returns in the case of four cryptocurrencies (Bitcoin, Ethernam, Litecoin and Stellar) over the period 8/8/2015 - 28/2/2019. The analysis considers both cyber attacks in general and those targeting cryptocurrencies in particular, and also uses cumulative measures capturing persistence. On the whole, the results suggest the existence of significant negative effects of cyber attacks on the probability for cryptocurrencies to stay in the low volatility regime. This is an interesting finding, that confirms the importance of gaining a deeper understanding of this form of crime and of the tools used by cybercriminals in order to prevent possibly severe disruptions to markets.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/201918
    Schriftenreihe: Array ; no. 7692 (June 2019)
    Umfang: 1 Online-Ressource (circa 12 Seiten), Illustrationen
  6. On the preferences of CoCo bond buyers and sellers
    a logistic regression analysis
    Autor*in: Caporale, Guglielmo Maria; Kang, Woo-Young
    Erschienen: March 2019
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Format: Online
    Schriftenreihe: Economics and finance working paper series ; no. 19, 08
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  7. Cross-country co-movement between Bitcoin exchanges
    a cultural analysis
    Autor*in: Caporale, Guglielmo Maria; Kang, Woo-Young
    Erschienen: January 2020
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper analyses co-movement between Bitcoin exchanges in 34 major countries around the world and the US (the global benchmark) over the period January 24, 2011 - January 7, 2019. More specifically, we run IV regressions to investigate the... mehr

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    DS 63
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    This paper analyses co-movement between Bitcoin exchanges in 34 major countries around the world and the US (the global benchmark) over the period January 24, 2011 - January 7, 2019. More specifically, we run IV regressions to investigate the importance of cultural factors (such as tightness, individualism, trust and risk-taking) following an earlier study by Eun et al. (2015) which had shed light on their importance to explain stock co-movement within individual countries. The results suggest that markets in tighter, more individualistic, trustful and risktaking societies are more tightly linked to the US one. Further, it appears that culturally looser, collectivistic, trustful and risk-taking countries are more likely to shut down their Bitcoin exchanges compared to other countries. These findings confirm our priors.

     
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    Weitere Identifier:
    hdl: 10419/215078
    Schriftenreihe: CESifo working paper ; no. 8076 (2020)
    Umfang: 1 Online-Ressource (circa 29 Seiten)