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Dimitrios Dimitriou - One of the best experts on this subject based on the ideXlab platform.
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contagion channels of the usa Subprime Financial Crisis
Journal of Financial Economic Policy, 2013Co-Authors: Dimitrios Dimitriou, Theodore SimosAbstract:Purpose – The purpose of this paper is to investigate empirically contagion channels of the 2007 US Subprime Financial Crisis by employing a multivariate GARCH model for four major, international equity markets, namely the USA, EMU, China and Japan.Design/methodology/approach – In this study, contagion channels of the 2007 US Subprime Financial Crisis are investigated empirically by employing a multivariate GARCH model for four major, international equity markets, namely the USA, EMU, China and Japan.Findings – There is empirical evidence of contagion in all markets with the US market through various channels, which have not been discussed in other related studies. Specifically, the empirical results suggest that Japanese and EMU markets have been directly affected from the Crisis. However, while China's equity market has been mainly unaffected by the US Subprime Crisis, has been affected indirectly through Japan. Moreover, the Japanese equity market exhibits positive and significant spillovers effects wi...
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contagion channels of the usa Subprime Financial Crisis evidence from usa emu china and japan equity markets
Social Science Research Network, 2013Co-Authors: Dimitrios Dimitriou, Theodore SimosAbstract:Purpose – The purpose of this paper is to investigate empirically contagion channels of the 2007 US Subprime Financial Crisis by employing a multivariate GARCH model for four major, international equity markets, namely the USA, EMU, China and Japan.Design/methodology/approach – In this study, contagion channels of the 2007 US Subprime Financial Crisis are investigated empirically by employing a multivariate GARCH model for four major, international equity markets, namely the USA, EMU, China and Japan.Findings – There is empirical evidence of contagion in all markets with the US market through various channels, which have not been discussed in other related studies. Specifically, the empirical results suggest that Japanese and EMU markets have been directly affected from the Crisis. However, while China’s equity market has been mainly unaffected by the US Subprime Crisis, has been affected indirectly through Japan. Moreover, the Japanese equity market exhibits positive and significant spillovers effects with China and EMU, revealing an indirect volatility transmission channel of US Subprime Crisis.Research limitations/implications – Further research could consider the asymmetric effects on conditional covariance through, for example, asymmetric generalized dynamic conditional correlation models. All under examination markets show evidence of contagion through different channels.Practical implications – Despite the Financial advices for diversification, since the increasing globalization and stock market interdependence throughout the last 15 years, through the US Subprime Crisis equity investors had fewer opportunities for diversification. From policy makers’ perspective, they should carefully examine and uncover possible decoupling strategies to insulate these economies from contagion in future crises.Social implications – This study provides useful information to international organizations, such as World Bank and World Trade Organization (WTO) in order to protect markets from contagion during future crises.Originality/value – A novel finding of this paper is the indirect channel of contagion (i.e. Japanese market) for Chinese market. This indirect channel may help explain why China’s equity market performed badly in 2008 after the Subprime Crisis in the USA emerged.
Theodore Simos - One of the best experts on this subject based on the ideXlab platform.
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contagion channels of the usa Subprime Financial Crisis
Journal of Financial Economic Policy, 2013Co-Authors: Dimitrios Dimitriou, Theodore SimosAbstract:Purpose – The purpose of this paper is to investigate empirically contagion channels of the 2007 US Subprime Financial Crisis by employing a multivariate GARCH model for four major, international equity markets, namely the USA, EMU, China and Japan.Design/methodology/approach – In this study, contagion channels of the 2007 US Subprime Financial Crisis are investigated empirically by employing a multivariate GARCH model for four major, international equity markets, namely the USA, EMU, China and Japan.Findings – There is empirical evidence of contagion in all markets with the US market through various channels, which have not been discussed in other related studies. Specifically, the empirical results suggest that Japanese and EMU markets have been directly affected from the Crisis. However, while China's equity market has been mainly unaffected by the US Subprime Crisis, has been affected indirectly through Japan. Moreover, the Japanese equity market exhibits positive and significant spillovers effects wi...
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contagion channels of the usa Subprime Financial Crisis evidence from usa emu china and japan equity markets
Social Science Research Network, 2013Co-Authors: Dimitrios Dimitriou, Theodore SimosAbstract:Purpose – The purpose of this paper is to investigate empirically contagion channels of the 2007 US Subprime Financial Crisis by employing a multivariate GARCH model for four major, international equity markets, namely the USA, EMU, China and Japan.Design/methodology/approach – In this study, contagion channels of the 2007 US Subprime Financial Crisis are investigated empirically by employing a multivariate GARCH model for four major, international equity markets, namely the USA, EMU, China and Japan.Findings – There is empirical evidence of contagion in all markets with the US market through various channels, which have not been discussed in other related studies. Specifically, the empirical results suggest that Japanese and EMU markets have been directly affected from the Crisis. However, while China’s equity market has been mainly unaffected by the US Subprime Crisis, has been affected indirectly through Japan. Moreover, the Japanese equity market exhibits positive and significant spillovers effects with China and EMU, revealing an indirect volatility transmission channel of US Subprime Crisis.Research limitations/implications – Further research could consider the asymmetric effects on conditional covariance through, for example, asymmetric generalized dynamic conditional correlation models. All under examination markets show evidence of contagion through different channels.Practical implications – Despite the Financial advices for diversification, since the increasing globalization and stock market interdependence throughout the last 15 years, through the US Subprime Crisis equity investors had fewer opportunities for diversification. From policy makers’ perspective, they should carefully examine and uncover possible decoupling strategies to insulate these economies from contagion in future crises.Social implications – This study provides useful information to international organizations, such as World Bank and World Trade Organization (WTO) in order to protect markets from contagion during future crises.Originality/value – A novel finding of this paper is the indirect channel of contagion (i.e. Japanese market) for Chinese market. This indirect channel may help explain why China’s equity market performed badly in 2008 after the Subprime Crisis in the USA emerged.
Peter Carayannopoulos - One of the best experts on this subject based on the ideXlab platform.
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Diversification through Catastrophe Bonds: Lessons from the Subprime Financial Crisis
The Geneva Papers on Risk and Insurance - Issues and Practice, 2015Co-Authors: Peter Carayannopoulos, M Fabricio PerezAbstract:Are catastrophe bonds (CAT bonds) zero-beta investments? Are they a valuable new source of diversification for investors? We study these questions by analysing the dynamic relations of CAT bond returns and the returns of the stock, corporate bond and government bond markets. Our multivariate GARCH model results provide evidence that CAT bonds are zero-beta assets only in non-Crisis periods. We document that CAT bonds were not immune to the effects of the recent Financial Crisis. With the collapse of Lehman Brothers, CAT bond returns became significantly correlated with the market. However, the relatively small effect of the Crisis on CAT bonds compared with other asset classes make them a valuable source of diversification for investors. Finally, it seems that the improved structures for new CAT bonds issued since 2009 have been positively received by the market, as CAT bond betas returned to pre-Crisis levels.
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diversification through catastrophe bonds lessons from the Subprime Financial Crisis
Social Science Research Network, 2013Co-Authors: Marcos Fabricio Perez, Peter CarayannopoulosAbstract:Are Catastrophe bonds (CAT bonds) zero beta investments? Are they a valuable new source of diversification for investors? We study these questions by analyzing the dynamic relations of CAT bond returns and the returns of the stock, corporate bond and government bond markets. Our multivariate GARCH model results provide evidence that CAT bonds are zero beta assets only in non-Crisis periods. We document that CAT bonds were not immune to the effects of the recent Financial Crisis. With the collapse of Lehman Brothers CAT bond returns became significantly correlated with the market. However the relatively small effect of the Crisis on CAT bonds compared with other asset classes make them a valuable source of diversification for investors. Finally, the improved structures for new CAT bonds issued since 2009 seem to be positively received by the market, as CAT bond betas returned to pre-Crisis levels.
Claudia Reyes - One of the best experts on this subject based on the ideXlab platform.
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desempeno de estilos de inversion en los mercados accionarios europeos en los periodos previo durante y post Crisis Subprime investment styles performance in european stock markets before during and after Subprime Financial Crisis
Social Science Research Network, 2012Co-Authors: Eduardo Sandoval, Claudia ReyesAbstract:Spanish Abstract: En este articulo investigamos el desempeno de los estilos de inversion Value y Growth en los mercados accionarios europeos de acuerdo a la clasificacion de MSCI en los subperiodos previo, durante y post Crisis financiera Subprime. El desempeno se mide a traves del alfa de Jensen. Como benchmark o modelo generador de retornos de equilibrio se usa un APT con tres factores de riesgo sistematicos de mercado, ortogonales entre si, basados en el comportamiento del mercado accionario de; Estados Unidos, Europa desarrollada y Europa emergente. Los resultados muestran que el mercado de Belgica fue el mas expuesto a destruir riqueza en el periodo de la Crisis. Por el contrario, Rusia presento la mayor fortaleza relativa exhibiendo el mas alto desempeno. En el periodo previo a la Crisis, Grecia es el que mas destaca mientras que el periodo post Crisis lo es Turquia. Se concluye que existe la necesidad de que Estados Unidos perfeccione su gobierno corporativo a fin de minimizar problemas de riesgo moral que se traspasan a los mercados accionarios de los paises de Europa desarrollada al momento de presentarse eventos de Crisis financiera global.English Abstract: This paper investigates the performance of two investment styles; Value and Growth, respectively, in European stock markets, according to the MSCI classification for the subperiods before, during and after Subprime Financial Crisis. Performance is measured by Jensen's alpha. In the estimates we use an APT with three systematic market risk factors, orthogonal to each other, based on the stock markets behavior of: The United States, developed Europe as well as emerging Europe. The results show that the Belgium stock market was the most exposed to wealth destruction during the Crisis. By contrast, Russia had the highest relative strength and exhibited the highest performance. In the pre-Crisis period, Greece was the most prominent, while in the post Crisis period it was Turkey. We conclude that the United States must perfect its corporate governance in order to minimize moral hazard problems that are transferred to the stock markets of developed European countries when a global Financial Crisis occurs.
Eduardo Sandoval - One of the best experts on this subject based on the ideXlab platform.
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desempeno de estilos de inversion en los mercados accionarios europeos en los periodos previo durante y post Crisis Subprime investment styles performance in european stock markets before during and after Subprime Financial Crisis
Social Science Research Network, 2012Co-Authors: Eduardo Sandoval, Claudia ReyesAbstract:Spanish Abstract: En este articulo investigamos el desempeno de los estilos de inversion Value y Growth en los mercados accionarios europeos de acuerdo a la clasificacion de MSCI en los subperiodos previo, durante y post Crisis financiera Subprime. El desempeno se mide a traves del alfa de Jensen. Como benchmark o modelo generador de retornos de equilibrio se usa un APT con tres factores de riesgo sistematicos de mercado, ortogonales entre si, basados en el comportamiento del mercado accionario de; Estados Unidos, Europa desarrollada y Europa emergente. Los resultados muestran que el mercado de Belgica fue el mas expuesto a destruir riqueza en el periodo de la Crisis. Por el contrario, Rusia presento la mayor fortaleza relativa exhibiendo el mas alto desempeno. En el periodo previo a la Crisis, Grecia es el que mas destaca mientras que el periodo post Crisis lo es Turquia. Se concluye que existe la necesidad de que Estados Unidos perfeccione su gobierno corporativo a fin de minimizar problemas de riesgo moral que se traspasan a los mercados accionarios de los paises de Europa desarrollada al momento de presentarse eventos de Crisis financiera global.English Abstract: This paper investigates the performance of two investment styles; Value and Growth, respectively, in European stock markets, according to the MSCI classification for the subperiods before, during and after Subprime Financial Crisis. Performance is measured by Jensen's alpha. In the estimates we use an APT with three systematic market risk factors, orthogonal to each other, based on the stock markets behavior of: The United States, developed Europe as well as emerging Europe. The results show that the Belgium stock market was the most exposed to wealth destruction during the Crisis. By contrast, Russia had the highest relative strength and exhibited the highest performance. In the pre-Crisis period, Greece was the most prominent, while in the post Crisis period it was Turkey. We conclude that the United States must perfect its corporate governance in order to minimize moral hazard problems that are transferred to the stock markets of developed European countries when a global Financial Crisis occurs.
