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Is the Central and Eastern European banking systems stable? Evidence from the recent financial crisis
Karkowska, Renata - Volkswirtschaftliche Fakultät, … - 2014
Systemic risk is a very important but very complex notion in banking and how to measure it adequately is challenging. We introduce a new framework for measuring systemic risk by using a risk-adjusted balance sheet approach. The measure models credit risk of banks as a put option on bank assets,...
Persistent link: https://www.econbiz.de/10011108947
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Market Procyclicality and Systemic Risk
Tasca, Paolo; Battiston, Stefano - Volkswirtschaftliche Fakultät, … - 2013
We model the systemic risk associated with the so-called balance-sheet amplification mechanism in a system of banks with interlocked balance sheets and with positions in real-economy-related assets. Our modeling framework integrates a stochastic price dynamics with an active balance-sheet...
Persistent link: https://www.econbiz.de/10011110094
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Leverage, Sensitivity to Market Risk and Contagion: A Multi-Country Analysis for Shari’ah(Islamic) Stock Screening
el Alaoui, AbdelKader; Masih, Mansur; Bacha, Obiyathulla; … - Volkswirtschaftliche Fakultät, … - 2014
impacted by the financial crisis in terms of contagion in leverage with implications for portfolio diversification. Our …
Persistent link: https://www.econbiz.de/10011109107
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Comovement and resiliency of Islamic equity market: Evidence from GCC Islamic equity index based on wavelet analysis
Dewandaru, Ginanjar; Alaoui, Abdelkader; Masih, A. Mansur M. - Volkswirtschaftliche Fakultät, … - 2013
Co-movements in equity markets may reflect either financial contagion or stock market integration. While the former …
Persistent link: https://www.econbiz.de/10011110107
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Leverage, return, volatility and contagion: Evidence from the portfolio framework
el Alaoui, AbdelKader; Masih, Mansur; Bacha, Obiyathulla; … - Volkswirtschaftliche Fakultät, … - 2014
When regulating the financial system, the volatility phenomenon seems to emerge, practically, as a phenomenon which is intrinsic to the capital market behaviour. Theoretically, the leverage of the firms appears to be a major determinant of the volatility of prices and returns. At the same time,...
Persistent link: https://www.econbiz.de/10011110266
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The Effect of Recent Financial Crisis over Global Portfolio Diversification Opportunities – Empirical Evidence A Comparative Multivariate GARCH-DCC, MODWT and Wavelet Correlation A...
Yildirim, Ramazan; Masih, A. Mansur M. - Volkswirtschaftliche Fakultät, … - 2014
The purpose of this paper is to analyze the possible portfolio diversification opportunities between Asian Islamic Market and other regions‟ Islamic Markets; namely USA, Europe and BRIC. This study makes the initial attempt to fill in the gaps of previous studies by focusing on the proxies of...
Persistent link: https://www.econbiz.de/10011110953
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Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis
Saiti, Buerhan; Bacha, Obiyathulla; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2014
observed stock market fluctuations are due mainly to contagion or fundamentals. This is due to the fact that if the … fluctuations are mainly due to a contagion, then it is something like a ‘virus’ which would disappear after a few days. In contrast … for a long time. This study is the first attempt at testing whether there has been any contagion among the Shari …
Persistent link: https://www.econbiz.de/10011111090
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Stock Market Co-movement and Shock Transmission: Islamic versus Conventional Equity Indices
Dewandaru, Ginanjar; Alaoui, AbdelKader; Bacha, Obiyathulla - Volkswirtschaftliche Fakultät, … - 2014
Our study measures co-movements in Islamic and conventional equity markets, to discover contagion and to measure … crisis generates fundamental-based contagion for both markets. The less exposure for some Islamic indices can be due to low …
Persistent link: https://www.econbiz.de/10011113785
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Are investments in islamic REITs susceptible to forex uncertainty: wavelet analysis
Mokhtar, Maznita; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2013
Since its debut into the islamic capital markets landscape in 2005, islamic Real Estate Investment Trusts (REITs) have not shown significant progress in attracting foreign investment, limiting their potential as the ideal asset class for the Shariah compliant investor. It was suggested that a...
Persistent link: https://www.econbiz.de/10011207083
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Mergers and acquisitions transactions strategies in diffusion - type financial systems in highly volatile global capital markets with nonlinearities
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014
The M&A transactions represent a wide range of unique business optimization opportunities in the corporate transformation deals, which are usually characterized by the high level of total risk. The M&A transactions can be successfully implemented by taking to an account the size of investments,...
Persistent link: https://www.econbiz.de/10011259891