This article examines the magnitude of stock market reactions around European Central Bank (ECB) monetary policy announcements. Since the introduction of ECB, the declining absolute abnormal returns have been compatible with stock market learning from ECB monetary policy making. The Eurozone...

There is a broad consensus that the quality of the political system and its institutions are fundamental for a country's prosperity. The paper focuses on political events in Italy over the past 35 years and asks whether the adoption of the euro in 1999 has helped insulate Italy's financial...

Following Bali and Weinbaum (2005) and Maillet et al. (2010), we present several estimates of volatilities computed with high- and low-frequency data and complement their results using additional measures of risk and several alternative methods for Tail-index estimation. The aim here is to...

We show that (electronic) designated market makers are not necessarily beneficial to the stock market during ash crashes. They actually consume liquidity when it is most needed, even if they are rewarded by the exchange to provide immediacy. This behavior exacerbates the transient price impact,...

The latest financial crisis has been impressive for strength, impact, duration and reduced efficacy of the economic and financial policies adopted by the Authorities. We use an original information risk model to contribute to the analysis of the crisis and to suggest some approaches for a...

This multi-faceted analysis of institutional investment defines fiduciary finance institutions as the third pillar of the financial system, alongside banks and insurers. It documents the role played by investment funds and the money management industry during the recent financial crisis, and...

We investigate the role of financial ratios in Japan's construction firms in explaining the propagation of financial shocks during the 2007 to 14 financial crisis. For our analysis, we applied the new approach of contagion test developed by Fry-McKibbin et al (2016) to test for contagion effect...

An empirical examination of the effect of the 2007 to 2009 financial crisis on the US tourism industry using equity price returns and firm performance ratios for 30 US tourism firms is undertaken in three parts. The joint test of financial market contagion proposed by Fry-McKibbin, Hsiao and...