scholarly journals Interdependence between the stock market and the bond market in one country: evidence from the subprime crisis and the European debt crisis

2017 ◽  
Vol 3 (1) ◽  
Author(s):  
Ke Cheng ◽  
Xiaoguang Yang
Keyword(s):  
Stock Market ◽  
Debt Crisis ◽  
Bond Market ◽  
Subprime Crisis ◽  
European Debt Crisis

scholarly journals Oil price risk in the Eurozone: a sectoral analysis

2017 ◽  
Vol 15 (3) ◽  
pp. 108-118 ◽  
Author(s):  
Olfa Belhassine ◽  
Amira Ben Bouzid
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Debt Crisis ◽  
Oil Price ◽  
Market Model ◽  
Additional Risk Factor ◽  
Subprime Crisis ◽  
Price Changes ◽  
Negative Effect ◽  
The Relationship

This study investigates how oil price movements impact the main Eurozone industry supersectors returns. We use a multifactor market model in which we incorporate oil price changes as an additional risk factor. In order to account for possible breaks in the relationship, we use the Bai and Perron (1998, 2003) breakpoints identification methodology. We find evidence of the presence of structural instabilities on the relationship between sector stock returns and oil price changes. Different breakpoints are identified, particularly the 2003 Iraq invasion year, the 2008 subprime crisis and the 2012 Euro debt crisis. Moreover, our results prove that stock return sensitivities to oil prices are time varying and sector dependent. Besides, the subprime financial crisis appears to induce a significantly positive effect on the oil-stock market nexus. However, the Euro debt crisis has a mostly negative effect. The other identified breakpoints do not seem to have any significant effect on the oil stock market nexus.

Characteristics and development of corporate and sovereign CDS

2014 ◽  
Vol 15 (5) ◽  
pp. 482-509 ◽  
Author(s):  
Christina E. Bannier ◽  
Thomas Heidorn ◽  
Heinz-Dieter Vogel
Keyword(s):  
Debt Crisis ◽  
Research Question ◽  
Subprime Crisis ◽  
Content Type ◽  
Main Research ◽  
Risk Hedging ◽  
Market Participants ◽  
Regulatory Changes ◽  
Broad Variety ◽  
European Debt Crisis

Purpose – This paper aims to provide an overview of the market for corporate and sovereign credit default swaps (CDS), with particular focus on Europe. It studies whether the subprime crisis of 2007/2008 and, particularly, the European debt crisis 2009/2010 led to a differential development on corporate and sovereign CDS markets and investigates the primary use (speculative risk-trading or risk-hedging) of the two markets in recent years. Design/methodology/approach – The authors use aggregate market data on the size of the respective markets and on the structure of market participants and their changes over time to assess the main research question. They enhance existing data from public sources such as the Bank for International Settlements and Depository Trust and Clearing Corporation with their own statistics on European sovereign CDS and combine their conclusions with observations regarding standardisation efforts and regulatory changes in the CDS market. Findings – The authors show that after the subprime crisis 2007/2008 and the European debt crisis 2009/2010, the corporate and sovereign CDS markets developed quite differently. They provide evidence that since mid-2010, market participants started to use the sovereign CDS market more strongly for speculative purposes than for risk-hedging. This shows both in the shift of risk-quality of sovereign CDS contracts and in the changing structure of market participants. The ongoing standardisation and regulation in the CDS market – leading to further increases in transparency and reductions in transaction costs – may be expected to trigger a similar change also for corporate CDS. Originality/value – Based on a broad variety of market infrastructure data, the authors show a diverging development of corporate and sovereign CDS markets in Europe in recent years. Particularly the sovereign CDS market appears to have shifted from a risk-hedging instrument to being used more strongly for speculative risk-trading. The authors combine their findings with recent regulatory action and market standardisation schemes and draw conclusions for the future development of CDS markets.

scholarly journals Herd behavior of pension funds in sovereign bond investments

2021 ◽  
pp. 1-27
Author(s):  
Ian Koetsier ◽  
Jacob A. Bikker
Keyword(s):  
Financial Market ◽  
Pension Fund ◽  
Debt Crisis ◽  
Pension Funds ◽  
Bond Market ◽  
Herd Behavior ◽  
Monthly Data ◽  
Sovereign Bond ◽  
Sovereign Bonds ◽  
European Debt Crisis

Abstract This study investigates herd behavior exhibited by pension funds in the sovereign bond market before, during and after the European debt crisis. It uses unique monthly data on sovereign bond holdings of pension funds and transactions between December 2008 and December 2014. The dataset covers 67 large Dutch pension funds that invest in bonds from 109 countries. We find evidence of intensive herd behavior of Dutch pension funds in sovereign bonds. We also distinguish between European countries which suffer from the European debt crisis, such as Cyprus, Greece, Ireland, Italy, Portugal and Spain, and those that have not. We find high sell herding and low buy herding for the crisis countries during the European debt crisis, whereas in the non-crisis period their herd behavior does not differ substantially from that in non-crisis countries. When we control for institutional, macroeconomic, financial market and pension fund factors, sell herding in crisis countries is still significantly higher. However, we find no evidence of destabilizing behavior with respect to bonds of crisis countries during the European debt crisis.

Same Story, Different Place?

2018 ◽  
Author(s):  
Viral V. Acharya ◽  
Tim Eisert ◽  
Christian Eufinger ◽  
Christian Hirsch
Keyword(s):  
Banking Sector ◽  
Debt Crisis ◽  
Banking System ◽  
Policy Implications ◽  
Balance Sheets ◽  
System P ◽  
Loan Supply ◽  
European Banking ◽  
European Debt Crisis

This chapter compares the recapitalizations of the Japanese banking sector in the 1990s with those in the ongoing European debt crisis. The analysis points to four main policy implications. First, recapitalizing banks by insuring or purchasing troubled assets alone is not likely to solve the problem of banks’ weak capitalization, as this measure is not able to adjust the extent of the recapitalization to the banks’ specific needs. Second, the amount of the recapitalization should be based on actual capital shortages and not risk-weighted assets to avoid banks decreasing their loan supply. Third, banks should face restrictions regarding the amount of dividends they are allowed to pay out. Finally, banks must be induced to clean up their balance sheets and reduce the amount of bad (non-performing) loans to rebuild confidence in the European banking system.

Timing Does Matter: Institutional Flaws and the European Debt Crisis

2021 ◽  
pp. 1-24
Author(s):  
Valerio Filoso ◽  
Carlo Panico ◽  
Erasmo Papagni ◽  
Francesco Purificato ◽  
Marta Vázquez Suárez
Keyword(s):  
Debt Crisis ◽  
European Debt Crisis
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