scholarly journals Did Foreign Investors Destabilize the Korean Equity Market during the Asian Crisis?

2006 ◽  
Vol 7 (1) ◽  
pp. 75-86 ◽  
Author(s):  
Gab-Je Jo
Keyword(s):  
Financial Crisis ◽  
Equity Market ◽  
Asian Crisis ◽  
Domestic Investment ◽  
Investment Activity ◽  
Foreign Investors ◽  
Equity Investment ◽  
Crisis Period ◽  
Empirical Results ◽  
Korean Market

This paper investigates the behavior of foreign equity investment in the Korean market over the period of 1995 through 2001. The main questions examined in this paper are: Is foreign equity investment is relatively more reversible than domestic investment in the wake of financial crisis? And do foreign equity investors tend to increase the volatility of the market more than domestic investors? The empirical results indicate that equity investment activity by foreigners was more reversible than domestic investment for the duration of financial crisis period. Furthermore, I have found evidence that foreign equity investors tend to cause higher volatility in the market than domestic investors.

An Analysis on the Stochastic Process underlying KOSPI200 Index Oprions Focused on Jumps Process

2015 ◽  
Vol 23 (2) ◽  
pp. 183-205
Author(s):  
Young Ho Eom ◽  
Woon Wook Jang
Keyword(s):  
Stochastic Process ◽  
Financial Crisis ◽  
Option Pricing ◽  
Stochastic Processes ◽  
Stochastic Volatility ◽  
Good Option ◽  
Index Options ◽  
Crisis Period ◽  
Empirical Results

This paper investigates empirically the modelling issues for the stochastic processes underlying KOSPI200 index options. Empirical results show that we need to incorporate two factor stochastic volatility processes to have a good option pricing performance. However, the number of the leverage channel is not an important issue for the modelling of the KOSPI200 index options. Our results also show that the models with finite activity large jumps outperform that with infinite activity small jumps for the financial crisis period. On the while, for the pre-crisis period, there is no clear superiority or inferiority between both jumps models.

scholarly journals Excessive credit growth or the catching up process: The case of central, eastern, and southeastern European countries

2015 ◽  
Vol 60 (206) ◽  
pp. 7-44
Author(s):  
Dusan Stojanovic ◽  
Danilo Stojanovic
Keyword(s):  
Financial Crisis ◽  
Private Sector ◽  
Empirical Analysis ◽  
Credit Growth ◽  
Crisis Period ◽  
Empirical Results ◽  
Catching Up ◽  
Out Of Sample ◽  
Hp Filter ◽  
Strong Expansion

Most CESEE countries had an impressive credit growth prior to the outbreak of the financial crisis in 2008. Nevertheless, that experience has taught us that the strong expansion of private sector credit must not be ignored. In an attempt to investigate whether the rapid credit growth was a result of the catching-up process or was a risky process with well-known consequences, we performed empirical analysis by applying statistical (HP filter) and econometric (pooled OLS, fixed effect OLS, and PMG) approaches. The empirical results of both out-of-sample and in-sample approaches suggest that in the pre-crisis period excessive credit growth in terms of higher actual than estimated credit growth was recorded for the majority of the countries observed. Compared to the out of-sample approach, in-sample estimates, which turned out to be more reliable, indicate that the pre-crisis growth was less pronounced and that over the post-crisis period actual credit growth fluctuated around the estimated growth, pointing to the fact that the former was in line with movements in its fitted values.

The Determinants of Merger Withdrawals’ Abnormal Returns in The Australian Market

2015 ◽  
pp. 89-110 ◽  
Author(s):  
Thuy Nguyen Thu ◽  
Giang Dao Thi Thu ◽  
Hoang Truong Huy
Keyword(s):  
Financial Crisis ◽  
Event Study ◽  
Abnormal Returns ◽  
Market Response ◽  
Crisis Period ◽  
Valuation Effects ◽  
Event Study Method ◽  
Private And Public ◽  
Method Of Payment ◽  
The Impact

This paper examines the abnormal returns in merger withdrawals in Australia, especially distinguishing the market response between private and public targets. We also study the determinants of those abnormal returns, including the method of payment and the impact of financial crisis periods. Using the event study method, we document that in the Australian context, the announced withdrawal of mergers involving private targets creates significantly negative valuation effects in comparison with the valuation effects in withdrawal of mergers involving public targets. We also find that a financial crisis period strongly affects abnormal returns of merger withdrawals. However, the method of payment does not have any impact on the abnormal returns.

Examining the Hedging Effectiveness of Futures Contracts over Pre and Post Financial Crisis Period: Evidence from National Stock Exchange of India

2015 ◽  
Vol 3 (2) ◽  
Author(s):  
Kapil Gupta ◽  
Mandeep Kaur
Keyword(s):  
Financial Crisis ◽  
Stock Exchange ◽  
Futures Contracts ◽  
Price Risk ◽  
Hedge Ratio ◽  
Crisis Period ◽  
Hedging Effectiveness ◽  
Hedge Ratios ◽  
Time Invariant

Present study examines the efficiency of futures contracts in hedging unwanted price risk over highly volatile period i.e. June 2000 - December 2007 and January 2008 – June 2014, pre and post-financial crisis period, by using S&PC NXNIFTY, CNXIT and BANKNIFTY for near month futures contracts. The hedge ratios have been estimated by using five methods namely Ederingtons Model, ARMA-OLS, GARCH (p,q), EGARCH (p,q) and TGARCH (p,q). The study finds that hedging effectiveness increased during post crisis period for S&PC NXNIFTY and BANKNIFTY. However, for CNXIT hedging effectiveness was better during pre-crisis period than post crisis. The study also finds that time-invariant hedge ratio is more efficient than time-variant hedge ratio.

scholarly journals Do investors value frequent issuers in securitization?

2021 ◽  
Author(s):  
Solomon Y. Deku ◽  
Alper Kara ◽  
Nodirbek Karimov
Keyword(s):  
Financial Crisis ◽  
Foreign Banks ◽  
Yield Spread ◽  
Information Asymmetries ◽  
Crisis Period ◽  
Credit Quality ◽  
Initial Yield ◽  
Mortgage Backed Securities ◽  
Lending Standards ◽  
Credit Cycle

AbstractWe assess the value of frequent issuers to investors in securitization markets by examining the initial yield spread of 6132 European mortgage-backed securities (MBS), covering a 20-year period between 1999 and 2018. We find that frequent issuers have certification value, and it increases as the credit cycle approaches its peak, as lending standards loosen, and information asymmetries in securitization markets increase. Investors value frequent issuers more favourably on riskier, difficult to evaluate MBS. We find that after the great financial crisis (GFC), investors began to attribute more value to frequent issuers, regardless of MBS credit quality. We also find that in the pre-crisis period, investors required higher yields to compensate for perceived rating shopping, which is not observed after the GFC. Finally, we show that investors expect higher yields on deals closed by subsidiaries of foreign banks.

Global financial crisis, ownership structure and firm financial performance

2017 ◽  
Vol 34 (4) ◽  
pp. 447-465 ◽  
Author(s):  
Ali Salman Saleh ◽  
Enver Halili ◽  
Rami Zeitun ◽  
Ruhul Salim
Keyword(s):  
Financial Crisis ◽  
Financial Performance ◽  
Ownership Structure ◽  
Family Firms ◽  
Global Financial Crisis ◽  
Ownership Concentration ◽  
Financial Leverage ◽  
Content Type ◽  
Crisis Period ◽  
The Global Financial Crisis

Purpose This paper aims to investigate the financial performance of listed firms on the Australian Securities Exchange (ASX) over two sample periods (1998-2007 and 2008-2010) before and during the global financial crisis periods. Design/methodology/approach The generalized method of moments (GMM) has been used to examine the relationship between family ownership and a firm’s performance during the financial crisis period, reflecting on the higher risk exposure associated with capital markets. Findings Applying firm-based measures of financial performance (ROA and ROE), the empirical results show that family firms with ownership concentration performed better than nonfamily firms with dispersed ownership structures. The results also show that ownership concentration has a positive and significant impact on family- and nonfamily-owned firms during the crisis period. In addition, financial leverage had a positive and significant effect on the performance of Australian family-owned firms during both periods. However, if the impact of the crisis by sector is taking into account, the financial leverage only becomes significant for the nonmining family firms during the pre-crisis period. The results also reveal that family businesses are risk-averse business organizations. These findings are consistent with the underlying economic theories. Originality/value This paper contributes to the debate whether the ownership structure affects firms’ financial performance such as ROE and ROA during the global financial crisis by investigating family and nonfamily firms listed on the Australian capital market. It also identifies several influential drivers of financial performance in both normal and crisis periods. Given the paucity of studies in the area of family business, the empirical results of this research provide useful information for researchers, practitioners and investors, who are operating in capital markets for family and nonfamily businesses.

scholarly journals Value relevance of accounting data and financial crisis in Europe: an empirical analysis

2012 ◽  
Vol 2 (2) ◽  
pp. 201 ◽  
Author(s):  
Alain Devalle
Keyword(s):  
Financial Crisis ◽  
Positive Impact ◽  
Value Relevance ◽  
Net Income ◽  
Accounting Data ◽  
Book Value ◽  
Crisis Period ◽  
Comprehensive Income ◽  
The Impact ◽  
The Relationship

This paper aims at verifying the relationship between book value and  market value for a four years period (2006-2009) in Europe, under IFRS. In particular, I used value relevance approach to measure whether net income or comprehensive income are more useful to understand the relationship between market data and financial data. Moreover, the paper analyzes the impact of financial crisis on the value relevance of accounting data. The examination period runs from a pre-crisis period (2006-2007) to an in-crisis period (2008-2009). Results shows that comprehensive income is more value relevant than net income. Furthermore, the financial crisis has a positive impact on value relevance.  

Are Busy Directors Harmful or Helpful? Evidence from the Great Recession

2018 ◽  
Vol 18 (2) ◽  
Author(s):  
Pradit Withisuphakorn ◽  
Pornsit Jiraporn
Keyword(s):  
Standard Deviation ◽  
Financial Crisis ◽  
Great Recession ◽  
Firm Value ◽  
Costs And Benefits ◽  
Governance Mechanisms ◽  
Great Caution ◽  
Crisis Period ◽  
The Great Recession

Abstract We contribute to the debate on the costs and benefits of busy directors by investigating the effect of busy directors on firm value during a stressful time, i. e. during the Great Recession. Our results show that busy directors improve firm value significantly during the financial crisis. In particular, a rise in directors’ busyness by one standard deviation results in an improvement in Tobin’s q by 6.41 %. Directors with multiple board seats appear to help firms navigate the crisis more successfully, supporting the notion that multiple board seats signal higher quality. Outside the crisis period, however, we find that busy directors reduce firm value, consistent with many prior studies. Our results are crucial as they show that governance mechanisms function differently during stressful times than they do during normal times. Firms should exercise great caution before imposing limits on outside board seats on their directors.

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