Dimitrios Vortelinos

Affiliation: Lincoln International Business School, University of Lincoln, UK. Department of Business Administration, University of Patras, Greece
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  • The effect of the european economic news releases to the US financial markets in the crisis period

    Dimitrios Vortelinos , Konstantinos Gkillas doi: http://dx.doi.org/10.21511/imfi.13(4).2016.04
    Investment Management and Financial Innovations Volume 13, 2016         Issue #4          pp. 33-57
    Views: 1151 Downloads: 188 TO CITE

    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.
    JEL Classification: G01, G15

Investment Management and Financial Innovations
Business, Management and Accounting Decision Sciences Economics, Econometrics and Finance

Investment Management and Financial Innovations

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Konstantinos Gkillas
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