This paper examines the stock market integration between frontier and leading markets, focusing on the periods of pre and post global financial crisis. Using time-series analysis, the results mostly support leading markets can Granger-cause frontier markets. Frontier markets in different regions...

The recent sub-prime financial crisis initially affected the Asian economy to a degree comparable to that of the downturn in the Asian financial crisis; however, the recovery in Asia took place at a much faster pace than during the Asian financial crisis. We investigate whether the effects of...

After the financial crisis originating from the collapse of the US housing market in 2007, financial markets, including stock markets and foreign exchange markets, experienced drastic fluctuations during an adjustment stage. We examine how the financial crisis affected the linkage between...

This study examines the lead-lag-relationship between European equity and CDS markets in the context of the financial crisis. Previous research identified the stock market to lead the CDS market in an ordinary economic environment. Against the background of our study this lead-lag-relationship...

Based on a review of international and regional responses to the global financial and economic crisis and its implications for finance in Asia, Douglas Arner and Lotte Schou-Zibell draw lessons for Asian financial systems with regard to the scope of regulation; financial standards; supervision,...

The global financial and economic crisis marks an important turning point for finance and the Asian growth model. Regional consensus is now supporting economic rebalancing away from the dominant focus on exports to developed markets and towards more a more balanced economic structure supported...

This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...

We combine recent developments on extracting jumps from high frequency stock index data with the literature on option pricing with time varying volatility to model S&P 500 index returns from 2005. We compare the fit of several GARCH models, with and without jumps, from the historical return...

This paper describes a quantitative, data-driven method to assess vulnerabilities in a range of countries. We provide country-level vulnerability indices which can be used to gauge the level of fragility at any point in time. In particular, our results suggest that in the run-up to the Global...