Essays on Market Efficiency in Bond and Equity Markets

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 V

Three Risky Decades: A Time for Econophysics?

Our Special Issue we publish at a turning point, which we have not dealt with since World War II. The interconnected long-term global shocks such as the coronavirus pandemic, the war in Ukraine, and catastrophic climate change have imposed significant humanitary, socio-economic, political, and environmental restrictions on the globalization process and all aspects of economic and social life including the existence of individual people. The planet is trapped—the current situation seems to be the prelude to an apocalypse whose long-term effects we will have for decades. Therefore, it urgently requires a concept of the planet's survival to be built—only on this basis can the conditions for its development be created. The Special Issue gives evidence of the state of econophysics before the current situation. Therefore, it can provide excellent econophysics or an inter-and cross-disciplinary starting point of a rational approach to a new era