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Time-varying financial stress linkages: Evidence from the LIBOR-OIS spreads

Ji, Philip Inyeob - In: Journal of International Financial Markets, … 22 (2012) 4, pp. 647-657

The present article studies the dynamic linkages between the LIBOR-OIS spreads of major currencies for the period of March 1, 2006 to November 12, 2008. The Dynamic Conditional Correlation model is employed to examine the impact of the global financial crisis on the cross-currency correlations...

Persistent link: https://www.econbiz.de/10010702756

Financial crises and dynamic linkages among international currencies

Dimitriou, Dimitrios; Kenourgios, Dimitris - In: Journal of International Financial Markets, … 26 (2013) C, pp. 319-332

This paper investigates the interdependence of US dollar exchange rates expressed in other major currencies. Focusing on different phases of the Global financial crisis (GFC) and the Eurozone Sovereign Debt Crisis (ESDC), we adopt a dynamic conditional correlation model into a multivariate...

Persistent link: https://www.econbiz.de/10010702762

Who moves East Asian stock markets? The role of the 2007–2009 global financial crisis

Wang, Lihong - In: Journal of International Financial Markets, … 28 (2014) C, pp. 182-203

This paper examines the integration and causality of interdependencies among six major East Asian stock exchanges, while also considering their interactions with the USA before and during the 2007–2009 global financial crisis. The data reveal that the global financial crisis has strengthened...

Persistent link: https://www.econbiz.de/10010729423

Factor reversal in the euro zone stock returns: Evidence from the crisis period

Chou, Hsin-I; Zhao, Jing; Suardi, Sandy - In: Journal of International Financial Markets, … 33 (2014) C, pp. 28-55

The adoption of the euro led to a shift in importance from country to industry effects in euro zone stock returns. For the first time, this paper shows that country effects have regained importance in the recent spate of crises. This euro-wide factor reversal is driven by countries with poor...

Persistent link: https://www.econbiz.de/10011189469

Is corporate governance relevant during the financial crisis?

Gupta, Kartick; Krishnamurti, Chandrasekhar; … - In: Journal of International Financial Markets, … 23 (2013) C, pp. 85-110

We study the impact of internal corporate governance on performance during the current financial crisis for a comprehensive cross-country sample of 4046 publicly traded non-financial firms from the U.S. and 22 developed countries. Using a broad-based index of corporate governance quality, we...

Persistent link: https://www.econbiz.de/10010603088

A cross-country analysis of herd behavior in Europe

Mobarek, Asma; Mollah, Sabur; Keasey, Kevin - In: Journal of International Financial Markets, … 32 (2014) C, pp. 107-127

This paper examines country specific herding behavior in European liquid constituent indices for the period of 2001–2012. While we report insignificant results for the whole period, we document significant herding behavior during crises and asymmetric market conditions. Particularly, herding...

Persistent link: https://www.econbiz.de/10010906341

Bank earnings forecasts, risk and the crisis

Anolli, Mario; Beccalli, Elena; Molyneux, Philip - In: Journal of International Financial Markets, … 29 (2014) C, pp. 309-335

This paper explores the ability of financial analysts to gauge the risk taken by banks and investigates the impact of … forecasting abilities are negatively influenced by bank-specific risks, except market risk. We also find that forecasting … crisis all risk indicators significantly reduce forecasting abilities of both types of analysts (optimistic and pessimistic …

Persistent link: https://www.econbiz.de/10010743655