The objective of this study is to test the presence of the contagion phenomenon during the US subprime crisis. We adopt the test of adjusted correlation coefficients between markets and propose a new procedure that involves testing the non-linearity of the propagation mechanism shocks, estimated...

The financial markets' deregulation and globalisation have highlighted the banking systems' fragility in the presence of financial crises. Indeed, both conventional and Islamic banks have been affected by the recently witnessed international financial crisis. In this context, an attempt has been...

Chairman statement in the corporate annual report is classified as narrative accounting and until today it remains as voluntary disclosure. Without guidelines by the accounting standards setters and close monitoring by the regulators, it is hypothesised that company management may exaggerate the...

In this article, we test the presence of financial contagion during the subprime mortgage crisis of 2007. For this purpose, we propose a new procedure for testing the non-linearity of the mechanisms of the shock distribution estimated through a model of long-term interdependence. We apply this...

This study offers a new perspective on crisis transmission through an examination of herding contagion during 2008-global financial crisis across Asian and European financial markets. Using a bivariate GARCH-BEKK model, results show that the volatility of US stock market during the subprime...