This paper investigates the relationship between sovereign and bank CDS spreads with reference to their ability to convey timely signals on the default risk of European sovereign countries and their banking systems. For a sample including six major European economies, we find that sovereign and...

The article presents analytical data regarding the influence of the global financial crisis on the activity of the insurance market of some countries. Special attention is given to the dynamics in the development of the insurance market of Ukraine, problems and perspectives of Ukrainian...

: We examine the volatility spillovers among major Eurozone countries employing the Diebold and Yilmaz (2012) model with time-varying conditional ranges generated from conditional autoregressive range (CARR) model of Chou (2005). The empirical findings, based on a data set covering a fifteen...

The aim of this paper is provide us with empirical evidences and theoretical knowledge about how the compelling current Sovereign Debt Crisis in the periphery Euro-zone countries was triggered according with moral hazard theory, because the implicit and explicit externalization of risk cost for...

It is well known that the capital structure arbitrage strategy generated negative Sharpe ratios over the period 2005-2009. In this paper we introduce four new alternative strategies that, while still based on the discrepancy between the CDS market spread and its equity-implied spread, exploit...

This paper studies how the presence of sponsor and external management affect leverage and debt maturity decisions in three major Asian-Pacific REIT markets: Australia, Japan and Singapore. Our empirical results indicate that sponsored REITs opt for higher levels of leverage and loans with...

Some recent writings on Islamic finance have resuscitated the old‘no risk, no gain’ precept from the earlier literature in the wake of current financial crisis. They argue that the basic reason for the recurrence of such crisesis the conventional interest-based financial system that rests...

This paper proposes a framework for modelling financial contagion that is based on SIR (Susceptible-Infected-Recovered) transmission models from epidemic theory. This class of models addresses two important features of contagion modelling, which are a common shortcoming of most existing...

We examine the existence of stock market contagion effects among three groups of countries: the Euro-periphery countries (Portugal, Ireland, Italy, Greece, Spain), the Euro-core countries (Germany, France, the Netherlands, Finland, Belgium), and the major European Union - but not euro-countries...

This paper offers an alternative consideration for the transmission process of financial crises across emerging markets. Here, we hypothesized that the interdependence effect could weaken, even disappear completely, and veer during a crisis period as a result of the contagion process. The...