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Dynamic linkages between Thai and international stock markets

Valadkhani, Abbas; Chancharat, Surachai - In: Journal of Economic Studies 35 (2008) October, pp. 425-441

market price indices of Thailand and its major trading partners (Australia, Hong Kong, Indonesia, Japan, Korea, Malaysia, the … (allowing for one structural break) provide no evidence of a long-run relationship between the stock prices of Thailand and … of Hong Kong, the Philippines and the UK to those of Thailand, pair-wise. Furthermore, there are two unidirectional …

Persistent link: https://www.econbiz.de/10005081184

Convergence in institutions and market outcomes: cross-country and time-series evidence from the business environment and enterprise performance surveys in transition economies

Mitra, Pradeep; Muravyev, Alexander; Schaffer, Mark E. - Economics Research, World Bank Group - 2009

This paper uses firm-level data from the Business Environment and Enterprise Performance Surveys to study the process of convergence of transition countries with developed market economies. The study focuses on competition and market structure, finance and the structure of lending to firms, and...

Persistent link: https://www.econbiz.de/10005106885

Greed, financial innovation or laxity of regulation?: A close look into the 2007-2009 financial crisis and stock market volatility

Mazumder, M. Imtiaz; Ahmad, Nazneen - In: Studies in Economics and Finance 27 (2010) June, pp. 110-134

Purpose – The purpose of this paper is to shed light on the causes of the 2007-2009 mortgage crisis, liquidity crisis, stock market volatility in the USA and their spillover effects on the global economy. Design/methodology/approach – The paper critically reviews the 2007-2009 financial...

Persistent link: https://www.econbiz.de/10009392973

Financial Stability Reports:What Are they Good for?

Muñoz, Sònia; Jahjah, Samir; Cihák, Martin; … - International Monetary Fund (IMF) - 2012

The global financial crisis has renewed policymakers' interest in improving the policy framework for financial stability, and an open question is to what extent and in what form should financial stability reports be part of it. We examine the recent experience with central banks' financial...

Persistent link: https://www.econbiz.de/10009401194

Individual stock market risk and price valuation: the case of Titan S.A.

Maniatis, Paraschos - In: Managerial Finance 37 (2011) April, pp. 347-361

Purpose – The purpose of this study is twofold: to test the hypothesis that the closing prices of Titan S.A. stock can be approximated by a random walk; and to valuate the risk associated to this stock. The first question is equivalent to the efficient market hypothesis (EMH) and, therefore,...

Persistent link: https://www.econbiz.de/10009275398

Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance

Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006

This paper reviews a number of different techniques for estimating default probabilities from the prices of publicly traded securities. These techniques are useful for assessing credit exposure, systemic risk, and stress testing financial systems. The choice of techniques was guided by their...

Persistent link: https://www.econbiz.de/10005826641

Managing Risks in Financial Market Development; The Role of Sequencing

International Monetary Fund (IMF); International … - 2003

This paper proposes an integrated and risk-based approach to the sequencing and coordination of reforms to develop domestic financial markets. The paper argues that there is a hierarchy of financial markets that reflects the complexity of risks in each market and the interlinkages among markets....

Persistent link: https://www.econbiz.de/10005768863

Contagion Risk in the International Banking System and Implications for London As a Global Financial Center

Chan-Lau, Jorge A.; Mitra, Srobona; Ong, Li L. - International Monetary Fund (IMF) - 2007

In this paper, we use the extreme value theory (EVT) framework to analyze contagion risk across the international banking system. We test for the likelihood that an extreme shock affecting a major, systemic U.K. bank would also affect another large local or foreign counterpart, and vice-versa....

Persistent link: https://www.econbiz.de/10005768965

Investorsâ€™ Risk Appetite and Global Financial Market Conditions

González-Hermosillo, Brenda - International Monetary Fund (IMF) - 2008

A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress in the last decade. The model identifies and quantifies the contribution on bond spreads from global market...

Persistent link: https://www.econbiz.de/10005769174

Can You Map Global Financial Stability?

Puig, Jaume; Miyajima, Ken; McCaughrin, Rebecca; … - International Monetary Fund (IMF) - 2010

The Global Financial Stability Map was developed as a tool to interpret the risks and conditions that impact financial stability in a graphical manner. It complements other existing tools for assessing financial stability, and seeks to overcome some of the drawbacks of earlier approaches. This...

Persistent link: https://www.econbiz.de/10008542981

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