Narrow search
Showing 1 - 10 of 33,388
Cover Image
The Time Varying Properties of Credit and Liquidity Components of CDS Spreads
Coro, Filippo; Dufour, Alfonso; Varotto, Simone - Henley Business School, University of Reading - 2012
This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during normal and crisis periods. We find that liquidity risk is more important than credit risk regardless of market conditions. Moreover, in the period prior to the recent ‘Great...
Persistent link: https://www.econbiz.de/10010937354
Cover Image
Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets
Duncan, Andrew Stuart; Kabundi, Alain - Economic Research Southern Africa (ERSA) - 2011
This paper studies volatility comovement in world equity markets between 1994 and 2008. Global volatility factors are …-8). Emerging markets are less syncrhonised with world volatility than are developed markets. In particular, we observe decoupling … between emerging and world volatilities between 2001 and 2007. Recoupling occurs during 2008, thus identifying emerging market …
Persistent link: https://www.econbiz.de/10009358927
Cover Image
Stock market correlations during the financial crisis of 2008–2009: Evidence from 50 equity markets
Kotkatvuori-Örnberg, Juha; Nikkinen, Jussi; Äijö, Janne - In: International Review of Financial Analysis 28 (2013) C, pp. 70-78
Using data from 50 equity markets we examine conditional and unconditional correlations around two major banking events during the financial crisis of 2008–09. To measure the value of covariance information on the augmented DCC model used in the study, a portfolio in-sample estimation is...
Persistent link: https://www.econbiz.de/10011056767
Cover Image
Credit and liquidity components of corporate CDS spreads
Corò, Filippo; Dufour, Alfonso; Varotto, Simone - In: Journal of Banking & Finance 37 (2013) 12, pp. 5511-5525
This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during normal and crisis periods. We find that liquidity risk is more important than firm-specific credit risk regardless of market conditions. Moreover, in the period prior to the recent...
Persistent link: https://www.econbiz.de/10011065649
Cover Image
GLOBAL STOCK PRICE LINKAGES AROUND THE US FINANCIAL CRISIS: EVIDENCE FROM INDONESIA
Herwany, Aldrin; Febrian, Erie - In: Global Journal of Business Research 7 (2013) 5, pp. 35-45
Monetary authorities in Indonesia, as well as some academicians believe the absence of a long run relation between the Indonesian stock market and developed markets prevents this emerging market from being deeply affected by the US downturn. Nevertheless, this hypothesis may not apply to the...
Persistent link: https://www.econbiz.de/10011205698
Cover Image
Classifying Returns as Extreme: European Stock and Bond Markets
Christiansen, Charlotte - School of Economics and Management, University of Aarhus - 2013
I consider the stock and bond markets of 14 EU countries. I use two classifi?cation schemes for de?fining extreme returns: One, the existing univariate classi?fication scheme which considers each market separately. Two, the new multivariate classi?fication scheme that considers all the markets...
Persistent link: https://www.econbiz.de/10010851280
Cover Image
LIBOR: origins, economics, crisis, scandal and reform
Skeie, David Hou David - Palgrave Macmillan
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable rate mortgage and student loans....
Persistent link: https://www.econbiz.de/10010861107
Cover Image
Classifying returns as extreme: European stock and bond markets
Christiansen, Charlotte - In: International Review of Financial Analysis 34 (2014) C, pp. 1-4
I consider extreme returns for the stock and bond markets of 14 EU countries using two classification schemes: One, the univariate classification scheme from the previous literature that classifies extreme returns for each market separately, and two, a novel multivariate classification scheme...
Persistent link: https://www.econbiz.de/10010931487
Cover Image
LIBOR: origins, economics, crisis, scandal, and reform
Skeie, David R.; Hou, David - Federal Reserve Bank of New York - 2014
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans....
Persistent link: https://www.econbiz.de/10010757406
Cover Image
Dynamic Correlation Analysis of Financial Spillover to Asian and Latin American Markets in Global Financial Turmoil
Yiu, Matthew S.; Ho, Wai-Yip Alex; Jin, Lu - Hong Kong Monetary Authority - 2010
This paper investigates the spillover of financial crises by studying the dynamics of correlation between eleven Asian and six Latin American stock markets vis-¨¤-vis the US stock market. A regional factor that drives common movements of stock markets in each region is identified for the...
Persistent link: https://www.econbiz.de/10008635814