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This paper analyses the volatility transmission between European Global Systemically Important Banks (GSIBs) and implied stock market volatility. A Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model is applied to determine the dynamic correlation between returns of Europe's GSIBs and the world's most prominent measure of market "fear", the CBOE Volatility Index (VIX). The results identify a higher negative co-relationship between the VIX and GSIB returns during the COVID-19 period compared with the Global Financial Crisis (GFC), with one-day lagged changes in the VIX negatively Granger-causing bank returns. The asymmetric impact of changes in implied volatility is examined by quantile regressions, with the findings showing that in the lower quartile–where extreme negative bank returns are present–jumps in the VIX are highly significant. This effect is more pronounced during COVID-19 than during the GFC. Additional robustness analysis shows that these findings are consistent during the periods of the Swine Flu and Zika virus epidemics. [ABSTRACT FROM AUTHOR]

Several recent studies suggest that the home advantage, that is, the benefit competitors accrue from performing in familiar surroundings, was—at least temporarily—reduced in games played without spectators due to the COVID-19 Pandemic. These games played without fans during the Pandemic have been dubbed 'ghost games'. However, the majority of the research to date focus on soccer and no contributions have been provided for indoor sports, where the effect of the support of the fans might have a stronger impact than in outdoor arenas. In this paper, we try to fill this gap by investigating the effect of ghost games in basketball with a special focus on the possible reduction of the home advantage due to the absence of spectators inside the arena. In particular, we test (i) for the reduction of the home advantage in basketball, (ii) whether such reduction tends to disappear over time, (iii) if the bookmakers promptly adapt to such structural change or whether mispricing was created on the betting market. The results from a large data set covering all seasons since 2004 for the ten most popular and followed basketball leagues in Europe show, on the one hand, an overall significant reduction of the home advantage of around 5% and no evidence that suggests that this effect has been reduced at as teams became more accustomed to playing without fans; on the other hand, bookmakers appear to have anticipated such effect and priced home win in basketball matches accordingly, thus avoiding creating mispricing on betting markets. [ABSTRACT FROM AUTHOR]