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Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse
Bernstein, Asaf - 2014
Heightened counterparty risk during the recent financial crisis has raised questions about the role clearinghouses play in global financial stability. Empirical identification of the effect of centralized clearing on counterparty risk is challenging because of the co-incidence of macro-economic...
Persistent link: https://www.econbiz.de/10013047773
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Aggregate and Firm-Level Stock Returns During Pandemics, in Real Time
Alfaro, Laura - 2020
We show that unexpected changes in the trajectory of COVID-19 infections predict US stock returns, in real time. Parameter estimates indicate that an unanticipated doubling (halving) of projected infections forecasts next-day decreases (increases) in aggregate US market value of 4 to 11 percent,...
Persistent link: https://www.econbiz.de/10012837801
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The Value of Intermediation in the Stock Market
Di Maggio, Marco - 2019
Brokers play a critical role in intermediating institutional transactions in the stock market. Despite the importance of brokers, we have limited information on what drives investors' choices among them. We develop and estimate an empirical model of broker choice that allows us to quantitatively...
Persistent link: https://www.econbiz.de/10012864802
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Inside the Mind of a Stock Market Crash
Giglio, Stefano - 2020
We analyze how investor expectations about economic growth and stock returns changed during the February-March 2020 stock market crash induced by the COVID-19 pandemic, as well as during the subsequent partial stock market recovery. We surveyed retail investors who are clients of Vanguard at...
Persistent link: https://www.econbiz.de/10012832459
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Indian Equity Markets : Measures of Fundamental Value
Mehra, Rajnish - 2010
In this paper, we take a critical look at the relationship between the value of capital stock in the Indian corporate sector and the valuation of claims to this capital stock in capital markets. We address the question of whether Indian equity valuations over the period 1991- 2008 are consistent...
Persistent link: https://www.econbiz.de/10013142540
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Adaptive Control of Covid-19 Outbreaks in India : Local, Gradual, and Trigger-Based Exit Paths from Lockdown
Malani, Anup - 2020
diverse nations in the world. On May 4, 2020, India started the process of releasing its population from a national lockdown …Managing the outbreak of COVID-19 in India constitutes an unprecedented health emergency in one of the largest and most …, whereby different areas release from lockdown in potentially different gradual ways, dependent on the local progression of the …
Persistent link: https://www.econbiz.de/10012827549
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Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
Diebold, Francis X. - 2010
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...
Persistent link: https://www.econbiz.de/10012759516
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What Explains the Covid-19 Stock Market?
Cox, Josue - 2020
What explains stock market behavior in the early weeks of the coronavirus pandemic? Estimates from a dynamic asset …
Persistent link: https://www.econbiz.de/10012823756
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Thresholds in the Process of International Financial Integration
Kose, M. Ayhan - 2009
The financial crisis has re-ignited the fierce debate about the merits of financial globalization and its implications for growth, especially for developing countries. The empirical literature has not been able to conclusively establish the presumed growth benefits of financial integration....
Persistent link: https://www.econbiz.de/10013160341
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What Do Financial Markets Think of War in Iraq?
Leigh, Andrew - 2010
We analyze financial market data in order to produce an ex-ante assessment of the economic consequences of war with Iraq. The novel feature of our analysis derives from the existence of a market for Saddam Securities,' a new future traded on an online betting exchange that pays only if Saddam...
Persistent link: https://www.econbiz.de/10012762835