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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. - 2002

This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility … ""stock market correction"" period. There is also evidence of structural breaks in the stock price and volatility dynamics …

Persistent link: https://www.econbiz.de/10014399563

Price Volatility and Financial Instability

Leon, H. L. - 2001

indicate that GARCH models of volatility could be potentially useful in assessing financial soundness. Daily data are more …Statistical measures of the volatility of exchange rates, interest rates, and stock prices are estimated for a number … of countries. Periods of high volatility are identified and compared with periods of financial difficulty. The results …

Persistent link: https://www.econbiz.de/10014399985

Asia’s stock markets : are there crouching tigers and hidden dragons?

Lipinsky, Fabian; Ong, Li Lian - 2014

Persistent link: https://www.econbiz.de/10010359852

Asia’s Stock Markets : Are There Crouching Tigers and Hidden Dragons?

Lipinsky, Fabian - 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/10014411156

Stock Market Liberalizations : Financial and Macroeconomic Implications

Funke, Norbert - 2001

Using a panel of 27 countries, we analyze the effects of stock market liberalization on financial and macroeconomic development. We find that liberalization is associated with a short-term increase in real private investment growth of about 14 percentage points cumulatively in the four years...

Persistent link: https://www.econbiz.de/10014401151

Short-Run Pain, Long-Run Gain : The Effects of Financial Liberalization

Schmukler, Sergio L. - 2003

We examine the short- and long-run effects of financial liberalization on capital markets. To do so, we construct a new comprehensive chronology of financial liberalization in 28 mature and emerging market economies since 1973. We also construct an algorithm to identify booms and busts in stock...

Persistent link: https://www.econbiz.de/10014404015

Additions to market indices and the comovement of stock returns around the world

Claessens, Stijn; Yāfe, Yišay - 2011

Persistent link: https://www.econbiz.de/10009487130

Pricing protest : the response of financial markets to social unrest

Barrett, Philip; Bondar, Mariia; Chen, Sophia; … - 2021

Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative abnormal returns over a two-week event window....

Persistent link: https://www.econbiz.de/10012518928

Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk

Chan-Lau, Jorge A. - 2021

This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...

Persistent link: https://www.econbiz.de/10012613371

Additions to Market Indices and the Comovement of Stock Returns Around the World

Yafeh, Yishay - 2011

Using newly-constructed data covering the last decade, we document that, in most of forty markets, when added to the main index, firms’ returns experience an increase in comovement with the rest of the index, reflected in higher beta and greater explanatory power of the market return. Stock...

Persistent link: https://www.econbiz.de/10014402208

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