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Persistent link: https://www.econbiz.de/10014284247
A stable financial system is a prerequisite for well-functioning market exchanges, which, in turn, allow reaping the benefits of economic specialisation and trade. In many countries around the world, the benefits of modern finance are taken for granted. Financial stability comes to the forefront...
Persistent link: https://www.econbiz.de/10013131383
The global financial crisis (2007-2009) saw sharp declines in stock markets around the world, affecting both advanced and emerging markets. In this paper we test for the existence of equity market contagion originating from the US to advanced and emerging markets during the crisis period. Using...
Persistent link: https://www.econbiz.de/10013013005
This paper examines transmission of shocks between the U.S. and foreign markets to delineate interdependence from contagion of the U.S. financial crisis by constructing shock models for partially-overlapping and non-overlapping markets. There exists important bi-directional, yet asymmetric,...
Persistent link: https://www.econbiz.de/10013037982
This paper examines the contagion effects of the U.S. subprime crisis on international stock markets using a DCC-GARCH model on 38 country data. We find evidence of financial contagion not only in emerging markets but also in developed markets during the U.S. subprime crisis. We also find...
Persistent link: https://www.econbiz.de/10013149007
This study assesses contagion from the USA subprime financial crisis on a large set of frontier stock markets. Copula models were used to investigate the structure of dependence between frontier markets and the USA, before and after the occurrence of the crisis. Statistically significant...
Persistent link: https://www.econbiz.de/10012020525
looks at systemic banking risk or contagion risk in Australia and attempts to determine if this risk has increased with the …
Persistent link: https://www.econbiz.de/10013134423
Using the longest data set on foreign exchange (FX) order flow to date, along with the broadest coverage of currencies to date, we examine the effect of FX order flow on exchange rates across small and large currencies, currencies with floating or fixed regimes, and across both tranquil and...
Persistent link: https://www.econbiz.de/10013082832
Persistent link: https://www.econbiz.de/10011562431
three major Asian-Pacific REIT markets: Australia, Japan and Singapore. Our empirical results indicate that sponsored REITs …
Persistent link: https://www.econbiz.de/10010462573