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Financial crises and the global value premium : revisiting Fama and French
Yamani, Ehab A.; Swanson, Peggy Eubanks - In: Journal of international financial markets, … 33 (2014), pp. 115-136
Persistent link: https://www.econbiz.de/10011299862
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European equity market contagion : an empirical application to Ireland's sovereign debt crisis
Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34
sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the … this crisis. During the Irish financial crisis from 2007 to 2010, strong contagion effects are uncovered between Irish … equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the …
Persistent link: https://www.econbiz.de/10011471074
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Sovereign contagion in Europe : evidence from the CDS market
Manasse, Paolo; Zavalloni, Luca - 2013
This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more …
Persistent link: https://www.econbiz.de/10011731038
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Measuring Co-Movements of CDS Premia during the Greek Debt Crisis
Andenmatten, Sergio; Brill, Felix - Department Volkswirtschaftlehre, Universität Bern - 2011
crisis started in October 2009. We perform a bivariate test for contagion that is based on an approach proposed by Forbes and … and industrialized countries. Our results indicate that there were periods of contagion for CDS markets during the Greek … crash and their conclusion of "no contagion, only interdependence". Especially for European countries we would instead …
Persistent link: https://www.econbiz.de/10009150536
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Reviewing the Leverage Cycle
Fostel, Ana; Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2013
, including contagion, flight to collateral, and swings in the issuance volume of the highest quality debt. We explain the …
Persistent link: https://www.econbiz.de/10010895688
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European Equity Market Contagion: An Empirical Application to Ireland’s Sovereign Debt Crisis
Corbet, Shaen; Twomey, Cian - In: European Financial and Accounting Journal 10 (2015) 3, pp. 15-34
sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the … this crisis. During the Irish financial crisis from 2007 to 2010, strong contagion effects are uncovered between Irish … equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the …
Persistent link: https://www.econbiz.de/10011478761
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Measuring co-movements of CDS premia during the Greek debt crisis
Andenmatten, Sergio; Brill, Felix - 2011
crisis started in October 2009. We perform a bivariate test for contagion that is based on an approach proposed by Forbes and … and industrialized countries. Our results indicate that there were periods of contagion for CDS markets during the Greek … crash and their conclusion of no contagion, only interdependence. Especially for European countries we would instead …
Persistent link: https://www.econbiz.de/10010316042
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Measuring Financial Market Interdependence and Assessing Possible Contagion Risk in the EMEAP Region
Cheung, Lillian; Fung, Laurence; Tam, Chi-sang - Hong Kong Monetary Authority - 2008
the Lehman Brothers in September 2008. We also test for the existence of contagion, and find no significant evidence of … contagion between equity markets in the US and the EMEAP region. On the other hand, intra-regional contagion is found to be more …
Persistent link: https://www.econbiz.de/10005690175
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Interbank transactions on the intraday frequency : - different market states and the effects of the financial crisis -
Demertzidis, Anastasios - 2019
The focus of this paper lies in the study of the intraday distribution of the number of transactions and transaction volume (absolute and mean per transaction) in the interbank credit market e-MID in different market states around the events of the financial crisis of 2007. The results show that...
Persistent link: https://www.econbiz.de/10012133514
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Investors' trading behaviour and stock market volatility during crisis periods : a dual long-memory model for the Korean stock exchange
Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019
This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...
Persistent link: https://www.econbiz.de/10012138660