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The financial costs of the U.S.-China trade tensions : evidence from East Asian stock markets

De Nicola, Francesca; Kessler, Martin; Nguyen, Ha - 2019

This paper examines the impacts of U.S.-China trade tensions via the lens of East Asian stock markets. Studying 10 indices of the main East Asian stock markets, it finds that announcements of "trade war" escalation translated into 50 to 60 percent of the total declines in two major Chinese stock...

Persistent link: https://www.econbiz.de/10012167933

Banking sector performance during the COVID-19 crisis

Demirgüç-Kunt, Asli; Pedraza, Alvaro; Ruiz-Ortega, Claudia - 2020

This paper analyzes bank stock prices around the world to assess the impact of the COVID-19 pandemic on the banking … policy announcements on the performance of bank stocks. Overall, the results suggest that the crisis and the countercyclical … lending role that banks are expected to play have put banking systems under significant stress, with bank stocks …

Persistent link: https://www.econbiz.de/10012297394

Enhancing the efficiency of securities markets in East Asia

Ghosh, Swati R.; Revilla, Ernesto - 2007

Persistent link: https://www.econbiz.de/10003423271

What explains stock markets’ vulnerability to the 2007 – 2008 crisis?

Didier, Tatiana; Love, Inessa; Martínez Pería, María … - 2010

Persistent link: https://www.econbiz.de/10003942088

Assessing the international comovement of equity returns

Abate, Girum Dagnachew; Servén, Luis - 2018

The international comovement of equity returns has been viewed as reflecting either pervasive common shocks or local linkages between countries. This paper brings these perspectives together by assessing the comovement of equity returns in a dynamic model that allows for both common factors and...

Persistent link: https://www.econbiz.de/10011902919

A new tail-based correlation measure and its application in global equity markets

Liu, Jinjing - 2019

The co-dependence between assets tends to increase when the market declines. This paper develops a correlation measure focusing on market declines using the expected shortfall (ES), referred to as the ES-implied correlation, to improve the existing value at risk (VaR)-implied correlation....

Persistent link: https://www.econbiz.de/10012004764