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Investigating Market Linkages and Investor Behavior in Times of Turmoil and Uncertainty

  • Throughout the last decades, investigations on market linkages and investor behavior in times of turmoil and uncertainty have received the attention of researchers and financial practitioners alike. This dissertation offers five distinct research papers which contribute to the existing literature on this overarching topic. First, we provide a thorough analysis of the time-varying linkages between regional and global equity markets. Second, and in line with the notion of increasing equity market integration over time, we investigate different types of flights to quality in times of stock market turmoil. Third, we provide novel empirical evidence on the usefulness of new sources of information on investor behavior towards the measurement of financial market linkages. Fourth, building on the increasing relevance of these new sources of information, we demonstrate that different measures for online investor attention do not necessarily constitute equivalent proxies for the latent variable. Last, we contribute to the strands of financial literature dealing with the estimation of dynamic linkages between financial markets and variables in the form of time-varying correlations. More specifically, we propose a score-driven extension to the well-known dynamic conditional correlation model which provides a means to quantify the time-varying influence of news on correlation dynamics. Taking the severe impact of recent and current crisis events on financial markets into consideration, the research papers comprised in this dissertation are of uttermost importance for financial market participants.

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Author:Philipp Prange
Referee:Franziska Peter, Robert Jung, Marcel Tyrell
Document Type:Doctoral Thesis
Year of Publication:2023
Date of first Publication:2023/03/15
Publishing Institution:Zeppelin Universität
Granting Institution:Zeppelin Universität
Date of final exam:2023/02/03
Release Date:2023/03/15
Tag:financial markets, market linkages,  co-movement, crisis, dynamic conditional correlation
Page Number:vii, 147, xxix Seiten
Licence (German):License LogoUrheberrechtlich geschützt