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International linkage of the Russian market and the Russian financial crisis: a multivariate GARCH analysis

Saleem, Kashif - 2008

This study considers the linkage of the Russian equity market to the world market, examin-ing the international transmission of the Russia's 1998 financial crisis utilizing the GARCH-BEKK model proposed by Engle and Kroner (1995). We find evidence of direct linkage between the Russian equity...

Persistent link: https://www.econbiz.de/10012148552

Volatility spillovers between stock market and hedge funds: Evidence from Asia Pacific region

Fatima, Sameen; Gan, Christopher; Hu, Baiding - In: Journal of Risk and Financial Management 15 (2022) 9, pp. 1-39

This paper investigates the nature of volatility spillovers between stock returns and hedge funds returns in twelve Asia Pacific countries in the 1997-2018 period. The sample period encompasses sub periods, 1997 Asia financial crisis, 2008 Global financial crisis and 2010 Eurozone crisis; these...

Persistent link: https://www.econbiz.de/10014332608

Corporate Debt and Stock Returns: Evidence from U.S. Firms During the 2020 Oil Crash

Arezki, Rabah; Cho, Caleb; Nguyen, Ha; Nguyen, Kate; … - 2022

This paper explores the effect of oil price fluctuations on the stock returns of U.S. oil firms using a strategy of identification through heteroskedasticity exploiting the 2020 oil crash. Results are twofold. First, we find that a decline in oil prices statistically significantly reduces stock...

Persistent link: https://www.econbiz.de/10013353382

The coming US interest rate tightening cycle: Smooth sailing or stormy waters?

Arteta, Carlos Ó.; Kose, M. Ayhan; Ohnsorge, Franziska; … - 2015

The U.S. Federal Reserve (Fed) is expected to start raising policy interest rates in the near term and thus commence a tightening cycle for the first time in nearly a decade. The taper tantrum episode of May-June 2013 is a reminder that even a long anticipated change in Fed policies can trigger...

Persistent link: https://www.econbiz.de/10011440126

Contagion of the subprime financial crisis on frontier stock markets: A copula analysis

Mohti, Wahbeeah; Dionísio, Andreia Teixeira Marques; … - In: Economies 7 (2019) 1, pp. 1-14

international investors interested in enlarging the geographical diversification of their portfolios, but also for the considered …

Persistent link: https://www.econbiz.de/10013199527

Earnings management in frontier market: Do institutional settings matter?

Martens, Wil; Yapa, Prem; Safari, Maryam - In: Economies 9 (2021) 1, pp. 1-19

We analyse whether differences in earnings management practices in frontier countries can be explained by institutional settings, considering their diverse corporate governance environments, legal regimes, and accounting standards. Across 22 frontier market countries from 2000-2017, we find that...

Persistent link: https://www.econbiz.de/10013199755

The impact of financial statement comparability on earnings management: Evidence from frontier markets

Martens, Wil; Yapa, Prem W. S.; Safari, Maryam - In: International Journal of Financial Studies 8 (2020) 4, pp. 1-25

This paper examined whether financial statement comparability constrains opportunistic earningsmanagement in frontiermarket countries. Using a large sample of 19 frontiermarket countries, and an accounting comparabilitymethod thatmaps comparability across several accounting standards, the...

Persistent link: https://www.econbiz.de/10013200320

Systemic Illiquidity Noise-based measure: A solution for systemic liquidity monitoring in frontier and emerging markets

Dziwok, Ewa; Kara's, Marta A. - In: Risks 9 (2021) 7, pp. 1-29

The paper presents an alternative approach to measuring systemic illiquidity applicable to countries with frontier and emerging financial markets, where other existing methods are not applicable. We develop a novel Systemic Illiquidity Noise (SIN)-based measure, using the Nelson- Siegel-Svensson...

Persistent link: https://www.econbiz.de/10013200790

The influence of domestic and foreign shocks on portfolio diversification gains and the associated risks

Narayan, Seema - In: Journal of Risk and Financial Management 12 (2019) 4, pp. 1-26

correlations between markets have implications for the gains from portfolio diversification, while correlation volatilities can be … seen as risks to portfolio diversification. Meanwhile, domestic shocks are sourced from the return and return volatility …. Domestic market shocks were significant drivers of gains from portfolio diversification most of the time, although the US …

Persistent link: https://www.econbiz.de/10012611223

Financial reporting quality and investment efficiency: A transnational evidence

Khan, Muhammad Azhar; Safdar, Nabeel; Manzoor, Wajiha - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 18 (2024) 2, pp. 285-305

In developed markets, the connection between financial reporting quality (FRQ) and enhanced investment efficiency is well-documented. However, it remains uncertain whether this relationship holds true in emerging, frontier, and various other markets. This research probes into this relationship...

Persistent link: https://www.econbiz.de/10015048537

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