We apply computational linguistic text mining (TM) analysis to extract and quantify relevant Chinese financial news in an attempt to further develop the classical early warning models of financial distress. Extending the work of Demers and Vega (2011), we propose a measure of the degree of...

Purpose – The intervalling effect bias of beta refers to the sensitivity of beta estimation with respect to the reference time interval on which returns are measured and its manifestation may indicate the degree of market inefficiencies. The purpose of this paper is to study the intervalling...

Purpose - The intervalling effect bias of beta refers to the sensitivity of beta estimation with respect to the reference time interval on which returns are measured and its manifestation may indicate the degree of market inefficiencies. The purpose of this paper is to study the intervalling...

The purpose of this paper is the construction of an early warning indicator for systemic risk using entropy measures. The analysis is based on the cross-sectional distribution of marginal systemic risk measures such as Marginal Expected Shortfall, Delta CoVaR and network connectedness. These...

On September 3-4, 2009 SUERF and Utrecht University School of Economicsorganized the Colloquium "The Quest for Stability" in Utrecht, the Netherlands. The papers included in this SUERF Study are based on contributions to the Colloquium.

This study addresses the question of whether the adaptive market hypothesis provides a better description of the behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically. The linear tests show a cyclical pattern in linear...

Short sellers are routinely blamed for destabilizing stock markets by exacerbating deviations from fundamental values. In response, regulators periodically impose short sale constraints aimed at preventing excessive stock market declines. One explanation is that policy makers regard short...

L’évaluation du prix des actifs est un problème récurrent en économie. Cette question se pose dans le domaine de l’immobilier comme dans d’autres domaines. Après une très forte phase de croissance, le marché immobilier américain a été touché à partir du mois de juin 2007 par...

This paper investigates the relationship between sovereign and bank CDS spreads with reference to their ability to convey timely signals on the default risk of European sovereign countries and their banking systems. By using a sample of six major European economies, we find that sovereign and...

We study the relative and absolute pricing of CMBX contracts (commercial real estate derivatives) during the recent financial crisis. Using a structural CMBX pricing model, we find little systematic mispricing relative to REIT equity and options. We do find short-term deviations from this...