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Transparency, Liberalization and Financial Crises

Mehrez, Gil; Kaufmann, Daniel - EconWPA - 2003

We investigate the effect of financial liberalization on the probability of a banking crises in economies with poor transparency We construct a model with imperfect information where banks cannot distinguish between aggregate shocks on the one hand, and government’s policy and firms’...

Persistent link: https://www.econbiz.de/10005561599

Towards Transparency in Finance and Governance

Vishwanath, Tara; Kaufmann, Daniel - EconWPA - 2003

The study of transparency is increasingly a more topical, broadly relevant, but also more under-researched enterprise. The Asian financial crisis has highlighted not only the welfare consequences of financial sector transparency, sparking a series of yet unresolved debates, but has also linked...

Persistent link: https://www.econbiz.de/10005561607

Spillovers across High Yield Markets

Moschitz, Julius - EconWPA - 2004

This paper studies the time-variant interactions among US stocks, emerging market bonds and US low-grade corporate bonds. All of these assets are characterized by a similar average return, but returns are far from being perfectly correlated. Therefore, investing in these different assets...

Persistent link: https://www.econbiz.de/10005413232

Is there a difference in treatment between solicited and unsolicited bank ratings and, if so, why?

Roy, Patrick Van - EconWPA - 2005

This paper analyses the effect of soliciting a rating on the rating outcome of banks. This type of analysis sheds light on an important policy question, namely whether there is a difference in treatment between banks which request a rating and those which do not. Using a sample of Asian banks...

Persistent link: https://www.econbiz.de/10005134763

Economic evaluation of bank exit regimes in US, EU and Japanese financial centres

Granlund, Peik - EconWPA - 2004

This paper evaluates bank exit regimes in selected financial centres using econometric methods. The focus is on bank exit regimes applicable to commercial banks in New York, London, Frankfurt, Helsinki and Tokyo in 1998–2002. Bank exit regimes are studied from the perspective of bank creditors...

Persistent link: https://www.econbiz.de/10005134896

Persistence Characteristics of the Chinese Stock Markets

Los, Cornelis A.; Yu, Bing - EconWPA - 2005

This paper identifies such fundamental characteristics as the lack of ergodicity, stationarity, and independence, and it identifies the degree of initial persistence of the Chinese stock markets when they were more regulated. The index series are from the Shanghai (SHI) stock market and Shenzhen...

Persistent link: https://www.econbiz.de/10005561572

Another Look at Option Listing Effects

Mayhew, Stewart; Mihov, Vassil - EconWPA - 2000

Previous research has documented that the introduction of options seems to affect the volatility, liquidity, price and … that were eligible but not listed. We find that firm size, volume, and volatility are positively related to the probability … selected. Contrary to previous research, we find that in recent subperiods, volatility increases with option listing …

Persistent link: https://www.econbiz.de/10005134669

The Degree of Stability of Price Diffusion

Los, Cornelis A. - EconWPA - 2005

distributions retain their shape, but not their localization (mean ) or size (volatility ) as the classical Gaussian distributions … time T and frequency . For example, the volatility of the lognormal financial price distribution, derived from the … generally, the volatility of the price return distributions of Calvet and Fisher's (2002) Multifractal Model for Asset Returns …

Persistent link: https://www.econbiz.de/10005134704

The Impact of the Suspension of Opening and Closing Call

Camilleri, Silvio John; Green, Christopher J. - EconWPA - 2005

India in 1999. We compare volatility, efficiency and liquidity (VEL) of securities before and after suspension, and estimate …

Persistent link: https://www.econbiz.de/10005134759

Disclosure to an Audience with Limited Attention

Hirshleifer, David; LIM, SONYA SEONGYEON; Teoh, Siew Hong - EconWPA - 2004

In our model, informed players decide whether or not to disclose, and observers allocate attention among disclosed signals, and toward reasoning through the implications of a failure to disclose. In equilibrium disclosure is incomplete, and observers are unrealistically optimistic. Nevertheless,...

Persistent link: https://www.econbiz.de/10005407521

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