This paper aims to empirically investigate the effect of the euro on stock markets for Hungary, Poland and the UK, and also the co-movement of the stock prices with the euro-zone using the daily stock price indices. The result reveals that in order to develop the emerging stock markets, exchange...

This paper analyzes through what channels the euro crisis has affected firm valuations globally. It examines stock price responses over the past year for 3045 non-financial firms in 16 countries to three key crisis events. Using pre-crisis benchmarks, it separates effects arising from changes in...

Purpose – The aim of this paper is to examine the relevance of financial reporting. In order to achieve this, a model that includes specific ratios is developed, which have proved to be indicators of falsified financial statements in the Greek capital market, and by estimating accruals...

This paper empirically examines the inflation-hedging property of an emerging stock market, Malaysia, for full sample (1988–2008), pre-crisis sample (1988–1996) and post-crisis sample (1999–2008) by means of asymmetric cointegration and asymmetric error-correction modelling....

Applying a reduced form equation derived from a simultaneous system and the interactive dummy variable technique, this paper finds that expected real depreciation raises real output for Hungary in early years whereas expected real appreciation increases real output in later years. Hence, there...

This paper examines the response of Stock Prices (SPs) in Germany, Italy, and the UK to shocks to US Stock Prices (USSPs) using Vector Error Correction Models (VECMs) and cross-country stock return correlations. Our results yield clear implications. Positive shocks to USSPs lead to significant,...

A number of research had been carried out to forecast stock price based on technical indicators, which rely purely on historical stock price data. Nevertheless, their performance is not always satisfactory. In this paper, the effect of using hybrid market indicators of technical, fundamental...

Recent developments in stock and house prices revived the debate on the role of asset prices in the conduct of monetary policy. The article first explores the links between asset price fluctuations, macroeconomic developments and monetary policy, highlighting the possibility of asset price booms...

This paper proposes a tractable Sudden Stop model to explain the main patterns in firm level data in a sample of Southeast Asian firms during the Asian crisis. The model, which features trend shocks and financial frictions, is able to generate the main patterns observed in the sample during and...

Probability of default (PD) measures have been widely used in estimating potential losses of, and contagion among, large financial institutions. In a period of financial stress however, the existing methods to compute PDs and generate loss estimates that may vary significantly. This paper...