‘Too central to fail’ firms in bi-layered financial networks: linkages in the US corporate bond and stock markets

2021 ◽  
pp. 1-29
Author(s):  
Abinash Mishra ◽  
Pranjal Srivastava ◽  
Anindya S. Chakrabarti
Keyword(s):  
Stock Markets ◽  
Corporate Bond ◽  
Financial Networks ◽  
The Us

scholarly journals How financial products organize spatial networks: Analyzing collateralized debt obligations and collateralized loan obligations as “networked products”

2021 ◽  
pp. 0308518X2110296
Author(s):  
Jonathan Beaverstock ◽  
Adam Leaver ◽  
Daniel Tischer
Keyword(s):  
Financial Networks ◽  
Regulatory Regime ◽  
Collateralized Debt Obligations ◽  
The Us ◽  
Collateralized Debt Obligation ◽  
Role Based ◽  
Collateralized Debt ◽  
Collateralized Loan Obligation ◽  
Debt Obligation ◽  
Peak Value

During the 2010s, collateralized loan obligations rapidly became a trillion-dollar industry, mirroring the growth profile and peak value of its cousin—collateralized debt obligations—in the 2000s. Yet, despite similarities in product form and growth trajectory, surprisingly little is known about how these markets evolved spatially and relationally. This paper fills that knowledge gap by asking two questions: how did each network adapt to achieve scale at speed across different jurisdictions; and to what extent does the spatial and relational organization of today's collateralized loan obligation structuration network, mirror that of collateralized debt obligations pre-crisis? To answer those questions, we draw on the global financial networks approach, developing our own concept of the networked product to explore the agentic qualities of collateralized debt obligations and collateralized loan obligations—specifically how their technical and regulatory “needs” shape the roles and jurisdictions enrolled in a global financial network. We use social network analysis to map and analyze the evolving spatial and relational organization that nurtured this growth, drawing on data harvested from offering circulars. We find that collateralized debt obligations spread from the US to Europe through a process of transduplication—that similar role-based network relations were reproduced from one regulatory regime to another. We also find a strong correlation between pre-crisis collateralized debt obligation- and post-crisis collateralized loan obligation-global financial networks in both US$- and €-denominations, with often the same network participants involved in each. We conclude by reflecting on the prosaic way financial markets for ostensibly complex products reproduce and the capacity for network stabilities to produce market instabilities.

scholarly journals Which global stock indices trigger stronger contagion risk in the Vietnamese stock market? Evidence using a bivariate analysis

2013 ◽  
Vol 60 (4) ◽  
pp. 473-497 ◽  
Author(s):  
Kuan-Min Wang ◽  
Hung-Cheng Lai
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Correlation Coefficients ◽  
Bivariate Analysis ◽  
Contagion Effects ◽  
Daily Data ◽  
The Us ◽  
Egarch Model ◽  
Bivariate Egarch Model ◽  
Contagion Risk

This paper extends recent investigations into risk contagion effects on stock markets to the Vietnamese stock market. Daily data spanning October 9, 2006 to May 3, 2012 are sourced to empirically validate the contagion effects between stock markets in Vietnam, and China, Japan, Singapore, and the US. To facilitate the validation of contagion effects with market-related coefficients, this paper constructs a bivariate EGARCH model of dynamic conditional correlation coefficients. Using the correlation contagion test and Dungey et al.?s (2005) contagion test, we find contagion effects between the Vietnamese and four other stock markets, namely Japan, Singapore, China, and the US. Second, we show that the Japanese stock market causes stronger contagion risk in the Vietnamese stock market compared to the stock markets of China, Singapore, and the US. Finally, we show that the Chinese and US stock markets cause weaker contagion effects in the Vietnamese stock market because of stronger interdependence effects between the former two markets.

scholarly journals On the factors of Bitcoin’s value at risk

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Ji Ho Kwon
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Trading Volume ◽  
Corporate Bond ◽  
Policy Uncertainty ◽  
Chinese Stock Market ◽  
Stock Market Index ◽  
Market Index ◽  
The Us ◽  
Search Index

AbstractThis study investigates the factors of Bitcoin’s tail risk, quantified by Value at Risk (VaR). Extending the conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential drivers of Bitcoin’s 5% and 1% VaR. For the 5% VaR, quantity variables, such as Bitcoin trading volume and monetary policy rate, were positively significant, but these effects were attenuated when new samples were added. The 5% VaR responds positively to the Internet search index and negatively to the fluctuation of returns on commodity variables and the Chinese stock market index. For the 1% VaR, variables related to the macroeconomy play a key role. The consumer sentiment index exerts a strong positive effect on the 1% VaR. I also find that the 1% VaR has positive relationships with the US economic policy uncertainty index and the fluctuation of returns on the corporate bond index.

scholarly journals Influence of world stock markets on the development of the stock market in Ukraine

2021 ◽  
Vol 18 (4) ◽  
pp. 223-240
Author(s):  
Inna Shkolnyk ◽  
Serhiy Frolov ◽  
Volodymyr Orlov ◽  
Viktoriia Dziuba ◽  
Yevgen Balatskyi
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Mutual Influence ◽  
Stock Exchanges ◽  
World Federation ◽  
Pairwise Correlation ◽  
Stock Market Performance ◽  
The Us ◽  
The World ◽  
Global Stock Markets

Viewing the development of the stock market in Ukraine, the economy, which world financial organizations characterize as small and open, is largely determined by the trends formed by the global stock markets and leading stock exchanges. Therefore, the study aims to analyze Ukraine’s stock market, the world stock market, stock markets in the regions, and to assess their mutual influence. The study uses the data of the World Federation of Exchanges and National Securities and Stock Market Commission (Ukraine) from 2015 to 2020. Stock market performance forecasts are built using triple exponential smoothing. Based on pairwise correlation coefficients, the existence of a significant dependence in the development of the world stock market on the development of the American stock market was determined. Regarding the Ukrainian stock exchanges, only SE “PFTS” demonstrated its dependence on the US stock market. The results of the regression model based on an exponentially smoothed series of trading volumes in all markets showed that variations in the volume of trading on the world stock market are due to the situation on the US stock markets. Trading volume dynamics on Ukrainian stock exchanges such as SE “PFTS” and SE “Perspektiva” is almost 50% determined by the development of stock markets in the American region. Although Ukraine is geographically located in Europe, the results show a lack of significant links and the impacts of stock markets in this region on the major Ukrainian stock exchanges and the stock market as a whole.

Analysing time varying comovements among the US and BRICS stock markets

2022 ◽  
Vol 8 (1) ◽  
pp. 1
Author(s):  
Lakshmi P ◽  
S. Visalakshmi ◽  
Jeevananthan Manickavasagam
Keyword(s):  
Stock Markets ◽  
Time Varying ◽  
The Us

Generalized Cumulative Residual Entropy of Time Series Based on Permutation Patterns

2021 ◽  
pp. 2150055
Author(s):  
Qin Zhou ◽  
Pengjian Shang
Keyword(s):  
Time Series ◽  
Stock Markets ◽  
Multiple Scales ◽  
Permutation Entropy ◽  
Residual Entropy ◽  
Permutation Patterns ◽  
Cumulative Residual Entropy ◽  
The Us ◽  
Cumulative Residual ◽  
Different Characteristics

Cumulative residual entropy (CRE) has been suggested as a new measure to quantify uncertainty of nonlinear time series signals. Combined with permutation entropy and Rényi entropy, we introduce a generalized measure of CRE at multiple scales, namely generalized cumulative residual entropy (GCRE), and further propose a modification of GCRE procedure by the weighting scheme — weighted generalized cumulative residual entropy (WGCRE). The GCRE and WGCRE methods are performed on the synthetic series to study properties of parameters and verify the validity of measuring complexity of the series. After that, the GCRE and WGCRE methods are applied to the US, European and Chinese stock markets. Through data analysis and statistics comparison, the proposed methods can effectively distinguish stock markets with different characteristics.

Sign in / Sign up

Export Citation Format

Share Document