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Volatility transmission and herding contagion during the global financial crisis

Abbes, Mouna Boujelbène - In: International Journal of Managerial and Financial Accounting 5 (2013) 2, pp. 138-161

the volatility of US stock market during the subprime crisis is significantly transmitted to Asian and European financial … markets. Moreover, UK and Swiss financial markets present an important role in emitting volatility to Asian markets. In …. All residuals showed enhanced volatility during the financial crisis period of mid 2007-2008. Moreover, the cross …

Persistent link: https://www.econbiz.de/10010754852

Modelling volatility during the current financial crisis: an empirical analysis of the US and the UK stock markets

Tampakoudis, Ioannis A.; Subeniotis, Demetres N.; … - In: International Journal of Trade and Global Markets 5 (2012) 3/4, pp. 171-194

The overarching aim of the present paper is to investigate the pattern of returns and volatility in the US and the UK …

Persistent link: https://www.econbiz.de/10010670368

Driving Factors of the Subprime Crisis and Some Reform Proposals

Rudolph, Bernd; Scholz, Julia - In: CESifo DICE Report 6 (2008) 3, pp. 14-19

Persistent link: https://www.econbiz.de/10005056452

The Financial Crisis in Japan – Are There Similarities to the Current Situation?

Mayr, Johannes - In: CESifo Forum 9 (2008) 4, pp. 64-68

Persistent link: https://www.econbiz.de/10004998593

Market interdependence before, during, and after the 2007 US subprime crisis: evidence from index futures markets

Bagchi, Debasis; Ryu, Doojin - In: Afro-Asian Journal of Finance and Accounting 2 (2011) 3, pp. 230-247

This study investigates the market interdependence among the Dow Jones (USA), Nikkei225 (Japan), and KOSPI200 (Korea …

Persistent link: https://www.econbiz.de/10009352987

The doomsday cycle turns: who's next?

Boone, Peter; Johnson, Simon - Centre for Economic Performance, LSE - 2012

Peter Boone and Simon Johnson believe that there are more and worse financial crises to come.

Persistent link: https://www.econbiz.de/10010571390

Spillover effects between US and major European stock markets

Al-Zeaud, Hussein Ali - In: American Journal of Finance and Accounting 3 (2014) 2/3/4, pp. 172-184

market to New York, Pairs and Frankfurt stock markets. Within the European stock markets, there are unidirectional volatility … spillover effects from Frankfurt to Paris and from Paris to London. Volatility increases induced by bad news are transmitted … more strongly than volatility declines. …

Persistent link: https://www.econbiz.de/10010816696

The financial contagion effects of the subprime crisis on BRIC countries

Hmida, Mourad - In: International Journal of Managerial and Financial Accounting 6 (2014) 3, pp. 175-188

phenomenon between the financial markets of the USA, Brazil, Russia, India and China during the current crisis. …

Persistent link: https://www.econbiz.de/10010944841

The role of timing at Mergers and Acquisitions in the banking industry

Mueller, Luisa; Schiereck, Dirk - In: International Journal of Monetary Economics and Finance 4 (2011) 1, pp. 49-76

We identify 72 bank Mergers and Acquisitions (M&As), in which US banks acquired other financial institutions. We focus on the role of timing at M&A in the context of boom phase and financial crisis. Applying event study methodology, we examine: value generation to bank shareholders; value...

Persistent link: https://www.econbiz.de/10009352489

US and European stock market crashes: Any evidence of interdependence?

Sooreea, Rajeev; Wheeler, Mark - In: International Journal of Monetary Economics and Finance 4 (2011) 4, pp. 372-389

This paper examines the response of Stock Prices (SPs) in Germany, Italy, and the UK to shocks to US Stock Prices (USSPs) using Vector Error Correction Models (VECMs) and cross-country stock return correlations. Our results yield clear implications. Positive shocks to USSPs lead to significant,...

Persistent link: https://www.econbiz.de/10009352498

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