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What Explains Volatility Spillovers in the Financial Systems of Emerging Market Countries : Co-Movement, Transmission, or Contagion?
Ha, Jongrim - 2020
generally consistent with findings in the literature on time-varying, asymmetric, and contagion-shift spillovers. The paper also … transmission, and contagion, by specifying alternative models that restrict the mean equation of the GARCH model. The results … about fundamentals; during crises, however, while common information plays a role, market contagion also becomes an …
Persistent link: https://www.econbiz.de/10012855235
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Bond market development in developing Asia
Burger, John D.; Warnock, Francis E.; Warnock, Veronica C. - 2015
We describe and assess two dimensions of the current state of bond market development in developing Asia: the role of bond markets in overall financial systems and a comparison of the salient features of bond market development in developing Asia and other regions. We highlight key drivers and...
Persistent link: https://www.econbiz.de/10011346220
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Non-Traditional Risk Sources and Financial System Resilience
Drost, Tim - 2015
Persistent link: https://www.econbiz.de/10013018478
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Time-varying co-movements and volatility spillovers among financial sector CDS indexes in the UK
Tamakoshi, Go; Hamori, Shigeyuki - In: Research in international business and finance 36 (2016), pp. 288-296
Persistent link: https://www.econbiz.de/10011594438
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Intraday Industry-Specific Spillover Effect in European Equity Markets
Mateus, Cesario - 2014
This paper investigates the existence of financial contagion between the US and 10 European stock markets. Using … contagion across industries is desirable instead of the use of global market indices …
Persistent link: https://www.econbiz.de/10013049503
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Intraday Industry-Specific Spillover Effect in European Equity Markets
Mateus, Cesario - 2016
This paper investigates the existence of financial contagion between the US and ten European stock markets. Using … analysis of financial contagion across different industries is desirable, using industry indices instead of global market …
Persistent link: https://www.econbiz.de/10012994332
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Banking stability, market structure and financial system in emerging countries
Wen, Shiow-ying; Yu, Jean - In: Journal of applied finance & banking 3 (2013) 3, pp. 1-13
The literature wisdom shows that both theoretical and empirical studies provide contradictory predictions about the relationship between market concentration or competiveness and financial stability in the banking system. In the past two decades, the structure of banking industry of many...
Persistent link: https://www.econbiz.de/10009743442
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Financial Regulation at the Crossroads
Delimatsis, Panos - 2011
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
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Exploring the finance-growth volatility nexus : evidience from developed, developing and transition countries
Vardar, Gülin; Coskun, Yener - In: International journal of economic perspectives : IJEP 10 (2016) 1, pp. 86-115
Persistent link: https://www.econbiz.de/10011579127
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Interbank exposures : an empirical examination of systemic risk in the Belgian banking system
Degryse, Hans; Nguyen, Grégory - 2004
interbank market is a potential important driving factor in the risk and impact of interbank contagion. We investigate the … evolution of contagion risk for the Belgian banking system over the period 1993-2002 using detailed information on aggregate … decreased the risk and impact of contagion. Moreover, an increase in the proportion of cross-border interbank assets has lowered …
Persistent link: https://www.econbiz.de/10011625775