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See detailThe Pessimism Factor: SEC EDGAR Form 10-K Textual Analysis and Stock Returns
Chouliaras, Andreas UL

E-print/Working paper (2015)

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See detailExtreme Returns in the European Financial Crisis
Chouliaras, Andreas UL; Grammatikos, Theoharry UL

Scientific Conference (2014, September 29)

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See detailExtreme Returns in the European Financial Crisis
Chouliaras, Andreas UL; Grammatikos, Theoharry UL

E-print/Working paper (2014)

We examine the transmission of extreme stock market returns among three groups of countries: the Euro-periphery countries (Portugal, Ireland, Italy, Greece, Spain), the Euro-core countries (Germany ... [more ▼]

We examine the transmission of extreme stock market returns among three groups of countries: the Euro-periphery countries (Portugal, Ireland, Italy, Greece, Spain), the Euro-core countries (Germany, France, the Netherlands, Finland, Belgium), and the major European Union -but not euro- countries (Sweden, UK, Poland, Czech Republic, Denmark). Using extreme returns on daily stock market data from January 2004 till March 2013, we nd that transmission e ects are present for the tails of the returns distributions for the Pre-crisis, the US-crisis and the Euro-crisis periods from the Euro-periphery group to the Non-Euro and the Euro-core groups. Within group e ects are stronger in the crisis periods. We nd that the transmission channel does not seem to have intensi ed during the crisis periods, but it transmitted larger shocks (in some cases, extreme bottom returns doubled during the crisis periods). Thus, as extreme returns have become much more "extreme" during the nancial crisis periods, the expected losses on extreme return days have increased signi cantly. Given the fact that stock market capitalisations in these country groups are trillions of Euros, a 1% or 2% increase in extreme bottom returns (in crisis periods) can lead to aggregate losses of tens of billions Euros in one single trading day. [less ▲]

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See detailNews Flow, Web Attention and Extreme Returns in the European Financial Crisis
Chouliaras, Andreas UL; Grammatikos, Theoharry UL

E-print/Working paper (2013)

We examine the existence of stock market contagion effects among three groups of countries: the Euro-periphery countries (Portugal, Ireland, Italy, Greece, Spain), the Euro-core countries (Germany, France ... [more ▼]

We examine the existence of stock market contagion effects among three groups of countries: the Euro-periphery countries (Portugal, Ireland, Italy, Greece, Spain), the Euro-core countries (Germany, France, the Netherlands, Finland, Belgium), and the major European Union -but not euro- countries (Sweden, UK, Poland, Czech Republic, Denmark). Using daily stock market data from January 2004 till March 2013, contagion effects for the tails of the marginal distributions are present for the Pre-crisis and the Euro-crisis periods within the Euro-periphery countries and from the Euro-periphery group to the Non-Euro and the Euro-core groups. We do not find a significant change in the contagion transmission mechanism when comparing the two periods, but for the Euro-crisis periods the extreme returns have a higher magnitude. Finally, we propose a connection between extreme stock market returns, the Web Attention index and two News Flow factors. The Euro-periphery Web Attention and News Flow variables significantly affect the probabilities of extreme bottom returns for the Euro-periphery, the Non-euro and the Euro-core groups. The effect is asymmetric in most of the cases since the Euro-periphery Web Attention and News Flow factors do not affect the probabilities of extreme top returns, with a few exceptions. More Web Attention and more bad news for the Euro-periphery in times of crisis are associated with higher probabilities of extreme bottom returns within and across groups. Granger-causality tests show that the News Pessimism and the News Relevance factors exhibit a two-way causality with the stock market movements while the Web Search Volume Index (SVI) one-way Granger-causes stock markets and extreme bottom returns in the three country groups. [less ▲]

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