Luca Alfieri, Mustafa Hakan Eratalay, Darya Lapitskaya and Rajesh Sharma

Author Archive | Luca Alfieri, Mustafa Hakan Eratalay, Darya Lapitskaya and Rajesh Sharma


The Effects of the ECB Communications on Financial Markets before and during COVID-19 Pandemic

The paper aims to estimate the effects of the European Central Bank communications on the sectoral returns of STOXX Europe 600 from 2013 to 2021. Previous literature has investigated the effects of communications of central banks and checked their effects on macroeconomics and financial data. New opportunities offered by text mining analysis allow us to […]

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The impact of ESG ratings on the systemic risk of European blue-chip firms

There are diverging results in the literature on whether engaging in ESG related activities increases or decreases the financial and systemic risks of firms. In this paper we explore whether maintaining higher ESG ratings would reduce the systemic risks of firms in a stock market context. For this purpose we analyse the systemic risk indicators […]

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Deep Diving into the S&P Europe 350 Index Network and Its Re-action to COVID-19

In this paper, we analyse the dynamic partial correlation network of the constituent stocks of S&P Europe 350. We focus on global parameters such as radius, which is rarely used in financial networks literature, and also the diameter and distance parameters. The first two parameters are useful for deducing the force that economic instability should […]

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