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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

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

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 … economic and a statistical approach. The empirical evidence does not confirm a contagion effect for most BRICS during the early … show a pattern of contagion for all BRICSs' markets that could be attributed to their common trade and financial …

Persistent link: https://www.econbiz.de/10010730277

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

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

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

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

Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets

Gupta, Rakesh; Guidi, Francesco - In: International Review of Financial Analysis 21 (2012) C, pp. 10-22

This paper aims to explore links between the Indian stock market and three developed Asian markets (i.e. Hong Kong, Japan and Singapore) using cointegration methodologies in order to explore interdependence. We further estimate the time-varying conditional correlation relationships among these...

Persistent link: https://www.econbiz.de/10010582648

Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets

Bekiros, Stelios D. - In: International Review of Financial Analysis 33 (2014) C, pp. 58-69

Even though the global contagion effects of the financial crisis have been well documented, the transmission mechanism … internationally integrated after the US financial crisis and contagion is further substantiated. Moreover, no consistent evidence in …

Persistent link: https://www.econbiz.de/10011056765

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

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