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Banking crises are recurrent phenomena, often induced by ex-ante excessive bank risk-taking, which may be due to behavioral reasons (over-optimistic banks neglecting risks) and to agency problems between bank shareholders with debt-holders and taxpayers (banks understand high risk-taking). We...
Persistent link: https://www.econbiz.de/10012992331
Securitization is a global multi-trillion dollar market that embodies financialization. Prior to the recent financial crisis, securitization fueled an unsustainable increase in mortgage credit. As the recent financial crisis reveals, securitization increased credit market volatility and was...
Persistent link: https://www.econbiz.de/10013011262
We test for the performance of a series of volatility forecasting models (GARCH 1,1; EGARCH 1,1; CGARCH) in the context of several indices from the two oldest cross-border exchanges (Euronext; OMX). Our findings overall indicate that the EGARCH (1,1) model outperforms the other two, both before...
Persistent link: https://www.econbiz.de/10012914779
Securitization is considered to be one of the biggest financial innovations of the last century. It is also regarded as both a catalyst and a solution to the 2008 financial crisis. Once a popular method of financing the mortgage and consumer credit markets, aspects of the global securitization...
Persistent link: https://www.econbiz.de/10013025160
We investigate herding in ten equity markets during the COVID-19 pandemic using a methodology that considers movements in assets due to changes in fundamentals. We find heterogeneous patterns in herding across the ten countries and little evidence of herding during the pandemic. The initial...
Persistent link: https://www.econbiz.de/10013311345
We report new evidence that speculation in energy and precious metal futures are more prevalent in crisis periods and even more so during the COVID-19 pandemic. In contrast, agricultural futures attract more hedging pressure. Post-GFC patterns mirror the 1980s’ recessions. Using quantile...
Persistent link: https://www.econbiz.de/10013240256
We investigate herding in eight African frontier stock markets between January 2002 and July 2015, given the limited evidence on herding in frontier markets. Herding appears significant throughout the 2002-2015 period for all markets, with smaller stocks found to enhance its magnitude. Herding...
Persistent link: https://www.econbiz.de/10012980294
This study shows that market volatility affects stock returns both directly and indirectly through its impact on liquidity provision and the negative relation between market volatility and stock returns arises not only from greater risk premiums but also greater illiquidity premiums that are...
Persistent link: https://www.econbiz.de/10012934316
The paper examines the implications arising from the effect of two cognitive biases, representativeness and conservatism, for securities price behaviour on the London Stock Exchange. In a single- and multi-factor framework of abnormal returns, the aspects of trend and consistency in the...
Persistent link: https://www.econbiz.de/10012970387
Using daily data on five sectoral indices from 2006 to 2014, this paper aims to investigate the possibility of fractional integration in sectoral returns (and their volatility measures) at Jordan's Amman stock exchange (ASE). Empirical analysis, using the Log-periodogram (LP) and Local Whittle...
Persistent link: https://www.econbiz.de/10012936336