The recent crisis has demonstrated the close linkages between various asset classes within a country as well as the association between assets internationally. The aim of this research is to provide for a better understanding of some of these linkages by conducting an empirical investigation of...

This study examines financial contagion in stock markets of India, Sri Lanka and Pakistan during various financial crises. These markets represent a significant part of South Asian economies; therefore, the results obtained can be generalized to the region. The paper employs an Exponential GARCH...

Standard credit risk models cannot explain the observed clustering of default, sometimes described as "credit contagion." This paper provides the first empirical analysis of credit contagion via direct counterparty effects. We examine the wealth effects of bankruptcy announcements on creditors...

At the onset of the Global Financial Crisis in 2007-2008, majority of the analysts and policymakers have anticipated contagion from the markets volatility in the advanced economies (AEs) to the emerging markets (EMs). This chapter examines the volatility spillovers from the AEs' equity markets...

Earlier research documented that cryptocurrencies, including Bitcoin, have experienced dramatic fluctuations in both market capitalization and market share in recent years. Unsurprisingly, Bitcoin returns exhibit higher volatility than traditional G-10 currencies. Our paper extends earlier...

This study will investigate the effect of changes in monetary policy variables on the South African stock market. The component variable under study is the JSE ALSI and its responsiveness to movements in interest rates, money supply and the rand-dollar exchange rates. The Capital Asset Pricing...

In this paper, we investigate the dynamics of contagion from the US low grade asset-backed securities (ABSs) market to UK financial markets during the 2007 subprime mortgage crisis and identify the contagion channels using both a single-state vector autoregressive (VAR) model and a...

The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including the US, UK, Euro Zone and BRICS (Brazil, Russia,...

Capital constraints of financial intermediaries can affect liquidity provision. We investigate whether these constraints spillover and consequently cause contagion in the degree of market efficiency across assets managed by a common intermediary. Specifically, we provide evidence of strong...

In a model where investors disagree about the fundamentals of two stocks, the state price density depends on investor disagreements for both stocks, especially the larger stock. This implies that disagreement among investors in a large firm has a spillover effect on the pricing of other stocks...