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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
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Globalization, financial crisis and contagion: time-dynamic evidence from financial markets of developing countries
Asongu, Asongu Simplice - African Governance and Development Institute (AGDI) - 2011
examines whether equity markets in emerging countries were vulnerable to contagion during the recent financial meltdown …
Persistent link: https://www.econbiz.de/10010693303
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Financial contagion and the real economy
Baur, Dirk G. - In: Journal of Banking & Finance 36 (2012) 10, pp. 2680-2692
financial contagion across countries and sectors and finds that the crisis led to an increased co-movement of returns among …
Persistent link: https://www.econbiz.de/10010595301
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Globalization, financial crisis and contagion: time-dynamic evidence from financial markets of developing countries
Simplice A, Asongu - Volkswirtschaftliche Fakultät, … - 2011
examines whether equity markets in emerging countries were vulnerable to contagion during the recent financial meltdown …
Persistent link: https://www.econbiz.de/10008924837
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Government intervention in Russian bourse: a case of financial contagion
Khan, Salman; Batteau, Pierre - In: Journal of Financial Economic Policy 4 (2012) 4, pp. 320-339
used to establish the time varying linkages in order to verify the contagion effect. In the final step the Markowitz mean …
Persistent link: https://www.econbiz.de/10010616662
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Transparency, Liberalization and Financial Crises
Mehrez, Gil; Kaufmann, Daniel - EconWPA - 2003
We investigate the effect of financial liberalization on the probability of a banking crises in economies with poor transparency We construct a model with imperfect information where banks cannot distinguish between aggregate shocks on the one hand, and government’s policy and firms’...
Persistent link: https://www.econbiz.de/10005561599
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The more contagion effect on emerging markets: The evidence of DCC-GARCH model
Celık, Sibel - In: Economic Modelling 29 (2012) 5, pp. 1946-1959
The paper aims to test the existence of financial contagion between foreign exchange markets of several emerging and … developed countries during the U.S. subprime crisis. As a result of DCC-GARCH analysis, we find the evidence of contagion during … be the most influenced by the contagion effects during U.S. subprime crisis. Since financial contagion is important for …
Persistent link: https://www.econbiz.de/10011048686
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Hits and runs: Determinants of the cross-country variation in the severity of impact from the 2008–09 financial crisis
Dwyer, Shane; Tan, Chih Ming - In: Journal of Macroeconomics 42 (2014) C, pp. 69-90
Recent empirical work on the 2008–09 financial crisis has found mixed results on the usefulness of indicators to explain the cross-country variation in the incidence of the crisis in non-originating countries. While some authors have found success with various indicators, Rose and Spiegel...
Persistent link: https://www.econbiz.de/10011117985
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Modelling stock volatilities during financial crises: A time varying coefficient approach
Karanasos, Menelaos; Paraskevopoulos, Alexandros G.; … - In: Journal of Empirical Finance 29 (2014) C, pp. 113-128
We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in the volatility dynamics, including the...
Persistent link: https://www.econbiz.de/10011116282
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Propagation of Financial Tensions from Developed Economies to Emerging Economies
MUNTEAN, Mihaela-Carmen; NISTOR, Costel; NISTOR, Rozalia; … - In: Economics and Applied Informatics (2011) 1, pp. 81-90
This paper aims to present the effect they have financial tensions in countries with developed economies on emerging economies. Because many economies have entered into recession, this has resulted in significant slowing of economic growth. The paper’s objectives are related to the...
Persistent link: https://www.econbiz.de/10010858421