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Competition Among Exchanges and Enforcement Policy
Pescatori, Andrea - 2013
incomplete and investors do not have perfect information about the monitoring efficiency, competition among exchanges induces a …
Persistent link: https://www.econbiz.de/10013086309
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Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia
Chan-Lau, Jorge A. - 2006
This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility spillovers to stock markets in the Asian region during three different periods in the last decade: the pre-Long Term Capital Management crisis period the tech bubble period, and the...
Persistent link: https://www.econbiz.de/10012735587
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Have Institutional Investors Destabilized Emerging Markets?
Aitken, Brian - 2006
In the past few years there has been a large increase in portfolio capital flows into emerging markets, mostly fueled by mutual funds and other institutional investors. Based on a simple variance ratio test, this paper finds that emerging stock markets as a group experienced a sharp increase in...
Persistent link: https://www.econbiz.de/10012782065
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The End : A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability
Chan-Lau, Jorge A. - 2006
constructed using information implied by financial securities prices. Using equity prices and balance-sheet data, we calculate the …
Persistent link: https://www.econbiz.de/10012783331
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Asia's Stock Markets : Are There Crouching Tigers and Hidden Dragons?
Ong, Li - 2014
Stock markets play a key role in corporate financing in Asia. However, despite their increasing importance in terms of size and cross-border investment activity, the region's markets are reputed to be more “idiosyncratic” and less reliant on economic and corporate fundamentals in their...
Persistent link: https://www.econbiz.de/10013056805
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Asset Bubbles : Re-Thinking Policy for the Age of Asset Management
Jones, Bradley - 2015
In distilling a vast literature spanning the rational — irrational divide, this paper offers reflections on why asset bubbles continue to threaten economic stability despite financial markets becoming more informationally-efficient, more complete, and more heavily influenced by sophisticated...
Persistent link: https://www.econbiz.de/10013026923
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March Madness in Wall Street : (What) Does the Market Learn from Stress Tests?
Fernandes, Marcelo - 2016
investigate their capital market implications in the United States by looking at price and trade reactions, information asymmetry … information in stress tests, especially at times of financial distress. Moreover, public disclosure seems to help reduce … private incentives to generate information or to have led to distorted incentives …
Persistent link: https://www.econbiz.de/10012999744
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The Role of Risk and Information for International Capital Flows : New Evidence from the SDDS
Hashimoto, Yuko - 2012
In this paper we investigate whether better information about the macroeconomic environment of an economy has a … explicitly quantify information asymmetries by compliance with the IMF's Special Data Dissemination Standard (SDDS). For FDI, we …
Persistent link: https://www.econbiz.de/10013098566
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Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis
Chan-Lau, Jorge A. - 2012
This study finds that equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by deteriorating funding conditions and investor sentiment....
Persistent link: https://www.econbiz.de/10013098630
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Cds Spreads in European Periphery - Some Technical Issues to Consider
Bilal, Mohsan - 2012
This paper looks at some technical issues when using CDS data, and if these are incorporated, the analysis or regression results are likely to benefit. The paper endorses the use of stochastic recovery in CDS models when estimating probability of default (PD) and suggests that stochastic...
Persistent link: https://www.econbiz.de/10013108609