Browsing Trinity Business School by Author "Vigne, Samuel"
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An analysis of liquidity skewness for European sovereign bond markets
Vigne, Samuel; Yan, Wei; Hamill, Philip; Li, Youwei; Waterworth, James (2018)We examine liquidity skewness by providing an analysis of bid-ask spreads for a comprehensive high-frequency dataset comprising Eurozone countries’ sovereign bonds. European sovereign bond markets exhibited increasing ... -
As good as gold? About the financial implications of gold and silver
Vigne, Samuel (Trinity College Dublin. School of Business. Discipline of Business & Administrative Studies, 2017)International currency or production asset? Safe haven or classical commodity? This thesis offers insights into the financial implications of gold and silver by focusing on three distinct investigations motivated by a brief ... -
The determinants of IPO withdrawal - Evidence from Europe
Lucey, Brian; Vigne, Samuel (2019)Why do companies not follow through with an IPO after filing for one? This question is investigated by examining common stock IPOs for the largest countries in Europe.We cover 80% of the Western European ... -
Did long-memory of liquidity signal the European sovereign debt crisis?
Vigne, Samuel; Sun, Z.; Hamill, A.; Li, Y.; Yang, Y.C. (2019)This paper analyses high frequency MTS data to comprehensively evaluate the liquidity of the European sovereign bond markets before and during the European sovereign debt crisis for eleven countries. The Hill index, ... -
Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation
Vigne, Samuel; Demir, Ender; Gozgor, Giray; Lau, Marco Chi Keung (2018)This paper analyzes the prediction power of the economic policy uncertainty (EPU) index on the daily Bitcoin returns. Using the Bayesian Graphical Structural Vector Autoregressive model as well as the Ordinary Least Squares ... -
The financial economics of white precious metals - A survey
Lucey, Brian; Vigne, Samuel (2017)This article provides a review of the academic literature on the financial economics of silver, platinum and palladium. The survey covers the findings on a wide variety of topics relation to the White Precious Metals ... -
Gold and inflation(s) - A time-varying relationship
Lucey, Brian; Vigne, Samuel (2016)What is the relationship between the price of gold and inflation? How stable is it – over time and across measures of inflation? We examine this for three countries (the USA, the UK and Japan) - over forty years and with ... -
Modelling asymmetric conditional dependence between Shanghai and Hong Kong stock markets
Vigne, Samuel; Wu, Weiou; Lau, Marco Chi Keung (2017)This paper investigates the asymmetric conditional dependence between Shanghai and Hong Kong stock index returns, to assess the impact of the recent financial recession on Chinese equity markets using the Copula approach. ... -
A new attention proxy and order imbalance: Evidence from China
Vigne, Samuel; Li, Youwei; Feng, Xu; Xiong, Xiong; Gao, Ya (2019)In this paper, we propose a new direct proxy for investors' attention in the Chinese stock market: daily abnormal reading quantity of each stock's posts on the Eastmoney guba website. Using A-shares samples of the Shanghai ... -
Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity
Vigne, Samuel (2017)This paper investigates the relationship between white precious metals and gold, oil and global equity by means of spillovers and volatility transmission. Relying on the recently introduced ETFs, this study is the first ... -
Time-variation in the relationship between white precious metals and inflation: A cross-country analysis
Vigne, Samuel (2018)In recent years, as a result of an increasing financialisation of financial markets, white precious metals have slowly transformed from mere production inputs to investment assets. In order to analyse the characteristics ... -
U.S. stock prices and the dot.com-bubble: Can dividend policy rescue the efficient market hypothesis?
Vigne, Samuel (2021)This paper thoroughly integrates speculative bubbles to corporate finance literature by focusing on dividend policy issues. More specifically, we examine the importance of dividend policy when testing for speculative bubbles ... -
Uncovering long term relationships between oil prices and the economy: A time-varying cointegration analysis
Vigne, Samuel (2018)Establishing the relation between oil price movements and macroeconomic performance is of great importance for firms and policymakers, alike. Prior studies established this relation using the assumption that the long-run ... -
What is the optimal weight for gold in a portfolio?
Vigne, Samuel; Lucey, Brian; Sevic, Aleksandar (2021)We show that the statistical properties of gold are negatively correlated with equities and that including gold in a portfolio will provide diversification benefits. As there is no consensus on the proportion of gold that ...