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Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach
Dimitriou, Dimitrios; Kenourgios, Dimitris; Simos, Theodore - In: International Review of Financial Analysis 30 (2013) C, pp. 46-56
This paper empirically investigates the contagion effects of the global financial crisis in a multivariate Fractionally … Integrated Asymmetric Power ARCH (FIAPARCH) dynamic conditional correlation (DCC) framework during the period 1997–2012. We focus … economic and a statistical approach. The empirical evidence does not confirm a contagion effect for most BRICS during the early …
Persistent link: https://www.econbiz.de/10010730277
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Returns and volatility spillover in the European banking industry during global financial crisis: Flight to perceived quality or contagion?
Choudhry, Taufiq; Jayasekera, Ranadeva - In: International Review of Financial Analysis 36 (2014) C, pp. 36-45
This paper empirically investigates return, volatility and leverage spillover effects between banking industrial stock markets of the major economies (ME) (Germany, UK and US) and the smaller stressed European Union countries (SE), (Italy, Ireland, Greece, Spain and Portugal) from 2002 to 2014...
Persistent link: https://www.econbiz.de/10011117770
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The effects of sovereign rating drifts on financial return distributions: Evidence from the European Union
Do, Hung Xuan; Brooks, Robert; Treepongkaruna, Sirimon; … - In: International Review of Financial Analysis 34 (2014) C, pp. 5-20
We develop a framework that allows a multivariate system of long memory processes to be conditional on specific regimes to investigate the effects of credit rating agencies' (CRAs) sovereign credit re-ratings on European stock and currency return distributions over the period from 1996 to 2012....
Persistent link: https://www.econbiz.de/10010931492
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Mandatory adoption of IFRS and timely loss recognition across Europe: The effect of corporate finance incentives
Chan, Ann L.-C.; Hsu, Audrey W.-H.; Lee, Edward - In: International Review of Financial Analysis 38 (2015) C, pp. 70-82
We examine whether firms have increased their timely loss recognition with the mandatory adoption of International Financial Reporting Standards (IFRS) across Europe since 2005. We estimate firm-specific asymmetric timeliness using the Khan and Watts (2009) C-score, which accounts for size,...
Persistent link: https://www.econbiz.de/10011264497
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Spillover effects of the 2008 global financial crisis on the volatility of the Indian equity markets: Coupling or uncoupling? A study on sector-based data
Dufrénot, Gilles; Keddad, Benjamin - In: International Review of Financial Analysis 33 (2014) C, pp. 17-32
This paper focuses on the following question: has the global financial stress in the US markets during the subprime crisis induced a persistent volatility of Indian equity stocks? We answer this question using sector-based data and we propose a simple stochastic volatility model augmented with...
Persistent link: https://www.econbiz.de/10010786516
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The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion
Horta, Paulo; Lagoa, Sérgio; Martins, Luís - In: International Review of Financial Analysis 35 (2014) C, pp. 140-153
test uses copula models to assess whether the correlation between the local Hurst exponents of the markets where the crises … significant increase in correlation between the local Hurst exponents of several markets, suggesting the existence of financial … contagion. We observed that the 2008 crisis had a greater impact on the memory properties of stock returns than the 2010 …
Persistent link: https://www.econbiz.de/10011077784
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Diamonds — A precious new asset?
Auer, Benjamin R.; Schuhmacher, Frank - In: International Review of Financial Analysis 28 (2013) C, pp. 182-189
During the recent turbulences in the world's financial markets, diamond companies have started advertising diamonds as a new asset that can hedge against market volatility and be a valuable portfolio component. To put this claim to the test, this article investigates (i) the performance of...
Persistent link: https://www.econbiz.de/10011056770
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Evaluating Corporate Credit Risks in Emerging Markets
Dodd, Olga - 2020
Corporate leverage among emerging market firms went up considerably after the 2007–09 Global Financial Crisis (GFC). We investigate how the increased emerging market corporate leverage in the post-GFC period (2010–15)impacted the underlying credit risk, compared to the pre-GFC (2002–2006)...
Persistent link: https://www.econbiz.de/10012853035
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Premiums, discounts and feedback trading: Evidence from emerging markets' ETFs
Charteris, Ailie; Chau, Frankie; Gavriilidis, Konstantinos - In: International Review of Financial Analysis 35 (2014) C, pp. 80-89
This study investigates the extent to which ETFs' premiums and discounts motivate feedback trading in emerging markets' ETFs. Using a sample of the first-ever launched broad-index ETFs from four emerging markets (Brazil, India, South Africa and South Korea), we produce evidence denoting that...
Persistent link: https://www.econbiz.de/10011077793
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Consumer attitudes, stock market liquidity, and the macro economy: A Canadian perspective
Smimou, K. - In: International Review of Financial Analysis 33 (2014) C, pp. 186-209
This study addresses the impact of equity market liquidity on Canadian economic growth and investigates how consumer attitudes/sentiments affect the dynamic macro-liquidity relationship. Using various market liquidity proxies (e.g., illiquidity ratio and open interest of equity futures) while...
Persistent link: https://www.econbiz.de/10011056763