This paper proposes a new ‘World Volatility Index’, coined WVIX, by constructing the first index that approximates the aggregate volatility level of the G20 countries. The empirical analysis makes use of the factor dynamic conditional correlation model – with an automated methodology to...

Asymmetric volatility in equity markets has been widely documented in finance, where two competing explanations, as considered in Bekaert and Wu (2000), are the financial leverage and the volatility feedback hypothesis. We explicitly test for the role of both hypotheses in explaining extreme...

Asymmetric volatility in equity markets has been widely documented in finance, where two competing explanations, as considered in Bekaert and Wu (2000), are the financial leverage and the volatility feedback hypothesis. We explicitly test for the role of both hypotheses in explaining extreme...

The volume of credit granted in the form of syndicated loans saw a marked downturn in 2008. This article seeks to understand how certain firms were nonetheless able to benefit from larger facilities or a lower interest rate than others. Using a sample of syndicated loans issued in 2008 in North...

Banking relationship has been showed to be important in lending, especially in small business lending. Few studies focus on banking relationship in syndicated loan, although they have became a major way of financing. The last financial crisis has clearly shown credit rationing, and credit...

As a stock exchange dedicated to small and medium enterprises (SMEs), the success of the Alternative Investment Market (AIM) has established this segment of the London Stock Exchange as the benchmark, of which the Alternext is considered a flawed copy. This article aims to invalidate this...

We use several measures to compare the performance of a large set of Dow Jones Islamic indexes to selected benchmarks. We test the performance over the whole period and then focus on extreme events. We identify extreme events as the 100 lowest and the 100 highest conventional World Indexes daily...

Depuis une vingtaine d'années, le domaine des mathématiques qui servent aux métiers de la finance s'est considérablement étendu. Intégrant tous les développements récents, ce livre prend le parti de présenter ces outils mathématiques en liaison avec l'application à laquelle ils sont...

This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...

The research shows that banking relationships are important to lending. However, few studies focus on the banking relationships in syndicated loans, although these loans have became a major source of financing. The last financial crisis clearly shows the impacts of credit rationing and...