Studien zu Markteffizienz in Anleihe- und Aktienmärkten:Rational expectations and asset prices . . . . . . . . . . . . . . . . . . 2
1.2 Non rational expectations and asset prices . . . . . . . . . . . . . . . . 5
1.3 Information - key element for financial markets . . . . . . . . . . . . . 6
2 Research Overview 8
2.1 Research focus . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.2 Thesis constituents . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.3 Topical relatedness and thematic context . . . . . . . . . . . . . . . . . 9
2.4 Research contributions . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
3 Research Articles 14
3.1 Measuring Trump: The Volfefe Index and its Impact on European Fi-
nancial Markets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
3.2 How floating rate notes stopped floating: Evidence from the negative
interest rate regime . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
3.3 Apple, Microsoft, Amazon and Google - A Correlation Analysis: Evi-
dence from a DCC-GARCH Model . . . . . . . . . . . . . . . . . . . . 18
3.4 Trump Tweet Impacts on the MSCI World Exposure with China Index -
Evidence from an Event Study Deploying Cumulative Abnormal Returns 19
3.5 Euro Area Sovereign Ratings and the Rescue Funds: A Wavelet Trans-
form Coherence Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . 20
4 Selected Topics 22
4.1 Information efficiency and Twitter sentiment . . . . . . . . . . . . . . . 22
4.1.1 Information and its transmission . . . . . . . . . . . . . . . . . 22
4.1.2 Twitter market impact measures . . . . . . . . . . . . . . . . . 23
4.2 Negative interest rates in the Euro Area . . . . . . . . . . . . . . . . . 26
4.2.1 Bond markets in uncharted territory . . . . . . . . . . . . . . . 26
4.2.2 Impacts on pricing and trading for non linear products . . . . . 27
5 Conclusions and Outlook 29
References 32
V
Appendix Original Research Articles 39
VI
| Identifer | oai:union.ndltd.org:DRESDEN/oai:qucosa:de:qucosa:84823 |
| Date | 20 April 2023 |
| Creators | Klaus, Jürgen |
| Contributors | Locarek-Junge, Hermann, Schipp, Bernhard, Technische Universität Dresden |
| Source Sets | Hochschulschriftenserver (HSSS) der SLUB Dresden |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, doc-type:doctoralThesis, info:eu-repo/semantics/doctoralThesis, doc-type:Text |
| Rights | info:eu-repo/semantics/openAccess |
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