Purpose – This paper aims to open a dialogue between academic accounts of the subprime crisis and The Life of Timon of Athens by William Shakespeare. Design/methodology/approach – Andre Orlean’s analysis of the crisis published in 2009 is closely examined to trace the ways in which it...

Purpose – This paper aims to examine the contagion effects of Greece, Ireland, Portugal, Spain and Italy (GIPSI) and US stock markets on seven Eurozone and six non-Eurozone stock markets. Design/methodology/approach – In this paper, a dynamic conditional correlation (DCC) model popularly...

Purpose – The purpose of this study is to construct a financial conditions index (FCI) for the South African economy to enable the gauging of financial conditions and to better understand the macro-financial linkages in the country. The global financial crisis that began in 2007-2008...

Purpose – The purpose of this paper is to: investigate whether the foreign institutional investors in Taiwan herd towards the stocks in the same industry; identify the causes of industrial herding; analyze whether herding behavior impacts future industrial returns; and trace the changing...

Purpose – The purpose of this paper is to focus on the performance of three alternative value‐at‐risk (VaR) models to provide suitable estimates for measuring and forecasting market risk. The data sample consists of five international developed and emerging stock market indices over the...

Purpose – The purpose of this paper is to investigate whether corporate dividend policy changed during the financial crisis. Design/methodology/approach – For this study, a life‐cycle model is used to predict the probability that a firm pays a dividend. The data sample for this research...

Purpose – This paper aims to assess the impact of the global financial crisis of 2007‐09 on the risk structure of S&P 500 firms by examining their market, active, and residual risks before and during the crisis. Design/methodology/approach – The classic one‐factor model is estimated for...