We extend the Pukthuanthong and Roll (2009) measure of integration to provide an estimate of systemic risk within international equity markets. Our measure indicates an increasing likelihood of market crashes. The conditional probability of market crashes, especially across markets, increases...

Previous literature has argued that high brand equity helps stabilize financial returns and reduce share price volatility. This research investigates how some of the strongest brands in the U.S. market fared in terms of financial performance during the Fall 2008 stock market downturn. Initial...

A striking and unexpected feature of the financial crisis has been the sharp appreciation of the US dollar against virtually all currencies globally. The paper finds that negative US-specific macroeconomic shocks during the crisis have triggered a significant strengthening of the US dollar,...