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Price Discovery in Emerging Financial Markets during the Global Mortgage Crisis

Aktug, Erdem - 2011

Focusing on five major emerging markets (EM), I investigate the interactions between credit default swap (CDS) premiums, foreign exchange (FX) parities, local currency government bond (LCB) spreads, and national stock market indices over the period 4/2/2007 to 8/27/2009. Empirical analysis...

Persistent link: https://www.econbiz.de/10013128666

Financial Markets and International Risk Sharing in Emerging Market Economies

Schmitz, Martin - 2012

In light of rapidly increasing foreign equity liability positions of emerging market economies, we test for a necessary condition of international risk sharing, namely for systematic patterns between idiosyncratic output fluctuations and financial market developments. Panel analysis of 22...

Persistent link: https://www.econbiz.de/10013104147

Financial Markets and the Financing Choice of Firms : Empirical Analysis of Emerging Market Countries JKM

Masoud, Najeb - 2014

This study attempts to extend knowledge of the role of financial market development in the financing choice of firms in developing countries using cross-sectional regression estimator with a dynamic-panel approach for 219 firms listed on the three emerging countries during the period 1990-2012....

Persistent link: https://www.econbiz.de/10013054905

Financial Globalization in Emerging Economies : Much Ado About Nothing?

Levy-Yeyati, Eduardo Levy - 2014

globalization for local market deepening, international risk diversification, financial contagion, and financial dollarization, and …

Persistent link: https://www.econbiz.de/10013068213

Effects of Emerging Market Asset Purchase Program Announcements on Financial Markets During the COVID-19 Pandemic

Sever, Can; Goel, Rohit; Drakopoulos, Dimitrios; … - 2021

The COVID-19 pandemic led many emerging market central banks to adopt, for the first time, unconventional policies in the form of asset purchase programs. In this study, we analyze the effects of these announcements on domestic financial markets using both event studies and local projections...

Persistent link: https://www.econbiz.de/10013250070

To what extent are stock returns driven by mean and volatility spillover effects? : evidence from eight European stock markets

Alikhanov, Abdulla - In: Národohospodářský obzor : časopis věnovaný … 13 (2013) 1, pp. 3-29

Persistent link: https://www.econbiz.de/10010193320

Testing for financial spillovers in calm and turbulent periods

Aliyu, Shehu U. R.; Abdulsalam, Nafiu B.; Bawa, Sani - In: West African journal of monetary and economic integration 18 (2018) 2, pp. 1-27

, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese … spillover and contagion effects from and across the financial markets as well. Posterior estimates show that the behavior of the … to turbulent regimes. Invariably, this validates the expectation that contagion is transmitted from the stronger markets …

Persistent link: https://www.econbiz.de/10013348418

The 2011 Japanese earthquake, tsunami and nuclear crisis: Evidence of contagion from international financial markets

Asongu, Simplice A. - In: Journal of Financial Economic Policy 4 (2012) 4, pp. 340-353

study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and … heteroscedasticity biases based on correlation coefficients to examine if any contagion occurred across financial markets after the March … foreign exchange markets suffered from contagion, stock markets of Taiwan, Bahrain, Saudi Arabia and South Africa witnessed a …

Persistent link: https://www.econbiz.de/10010814920

The 2011 Japanese earthquake, tsunami and nuclear crisis : evidence of contagion from international financial markets

Asongu, Simplice A. - 2011

Persistent link: https://www.econbiz.de/10011410521

Examining evidence of "shift-contagion" in African stock markets : a CoVaR-copula approach

Boako, Gideon; Alagidede, Paul - In: Review of development finance 7 (2017) 2, pp. 142-156

This paper examines for the first time contagion to African stock markets with particular attention to the …, during (both turmoil and acute), and post periods of the 2007-2009 global financial crisis. We analyzed contagion by … successive periods and tested for significance of contagion using the Kolmogorov-Smirnoff (KS) bootstrap technique. We used the …

Persistent link: https://www.econbiz.de/10011779566