scholarly journals Sudden Changes In Volatility In European Stock Markets

2014 ◽  
Vol 30 (6) ◽  
pp. 1567
Author(s):  
Khaled Guesmi ◽  
Frederic Teulon ◽  
Zied Ftiti
Keyword(s):  
United Kingdom ◽  
Financial Crisis ◽  
Stock Markets ◽  
Regime Switching ◽  
Currency Crisis ◽  
East Asian ◽  
Subprime Crisis ◽  
Asian Currency Crisis ◽  
European Stock Markets ◽  
The U.S

This paper studiesthe volatility in ten Europeanstock markets (Denmark, France, Germany, Ireland, Italy, Netherland, Spain, Sweden,Switzerland and United Kingdom) during the periods of financial crisis (East Asian currency crisis, Subprime crisis) from 1990 to 2012. We apply Markov Regime Switching SW-GARCHmodel. Our results show that mostof the European stock markets are closely interlinked to the U.S.

scholarly journals UNDERSTANDING FINANCIAL CRISIS: A THEORETICAL ANALYSIS

2003 ◽  
Vol 2 (1) ◽  
pp. 1-10
Author(s):  
P.K. Sudarsan
Keyword(s):  
Financial Crisis ◽  
Theoretical Analysis ◽  
Financial Crises ◽  
Currency Crisis ◽  
East Asian ◽  
Banking Crises ◽  
Policy Suggestions ◽  
Proper Diagnosis ◽  
Three Stages ◽  
Positive Results

Financial crises and their sub set banking crises have become worldwide phenomena in recent years. Understanding of financial crises assumes importance because the success of policy prescriptions to cure these crises depends to a large extent on the proper diagnosis of these crises. The objective of this paper is to provide a theoretical analysis to understand the financial crisis in a better way. The poper conjectures three stages in the financial crisis: confidence crisis, currency crisis and financial crisis. Paper shows that confidence crisis leads to the currency crisis and currency crisis in turn advances into the financial crisis. The paper also highlights the two-way linkage between currency crisis and financial crisis and its implications on policy suggestions. The two-way linkage between the currency crisis and financial crisis makes the policy prescriptions difficult. IMF policy to cure the East Asian crisis failed initially mainly because of this reason. The theoretical analysis reveals that a judicious mix of different policies would be the best remedy for the financial crisis of the type occurred in East Asia, though this would take some time to show positive results.

Financial crisis and market efficiency: evidence from European stock markets

2019 ◽  
Vol 25 (13) ◽  
pp. 1194-1210 ◽  
Author(s):  
Tung Liang Liao ◽  
Li-Chueh Tsai ◽  
Mei-Chu Ke ◽  
Yi-Chein Chiang ◽  
Chuan-Hao Hsu
Keyword(s):  
Financial Crisis ◽  
Market Efficiency ◽  
Stock Markets ◽  
European Stock Markets

scholarly journals Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis

Economies ◽  
2019 ◽  
Vol 7 (1) ◽  
pp. 15 ◽  
Author(s):  
Wahbeeah Mohti ◽  
Andreia Dionísio ◽  
Paulo Ferreira ◽  
Isabel Vieira
Keyword(s):  
Financial Crisis ◽  
Stock Markets ◽  
Large Set ◽  
Subprime Crisis ◽  
Relative Level ◽  
Copula Models ◽  
Before And After ◽  
The Usa ◽  
International Investors ◽  
Geographical Diversification

This study assesses contagion from the USA subprime financial crisis on a large set of frontier stock markets. Copula models were used to investigate the structure of dependence between frontier markets and the USA, before and after the occurrence of the crisis. Statistically significant evidence of contagion could only be found in the European region, with the markets of Croatia and Romania being affected. The remaining European markets in our sample and the others, located in America, Middle East, Africa, and Asia, appear to have been isolated from the subprime crisis impact. These results are useful for international investors interested in enlarging the geographical diversification of their portfolios, but also for the considered countries’ policymakers who should attempt to improve the attractiveness of stock markets for domestic and foreign investors while simultaneously attempting to maintain their relative level of insulation against future foreign crises.

International Trade Relations and the Contagious Effects of the Asian Financial Crisis

2000 ◽  
Vol 03 (03) ◽  
pp. 367-399 ◽  
Author(s):  
Chunchi Wu
Keyword(s):  
Financial Crisis ◽  
Financial Markets ◽  
East Asian ◽  
Asian Financial Crisis ◽  
Trade Relations ◽  
Fundamental Causes ◽  
Asian Economies ◽  
Trade Relationship ◽  
The Impact ◽  
The U.S

This paper examines the trade relationship among Pacific Rim Asian economies and the U.S. with an attempt at understanding the fundamental causes for the contagious effects of the Asian financial crisis. East Asian economies trade extensively among themselves and with the U.S. This great dependence on foreign trade and investments has considerably increased the instability of the economies and financial markets in this region. It is found that the impact of the financial crisis on a domestic economy is positively correlated with its trade relationship with foreign economies. The importance of the trade relationship is manifested in the financial markets. Results show that the returns and volatility of a stock market are significantly influenced by the markets of its major trading partners. Also, foreign exchange markets often significantly interact with stock markets, especially following the Asian financial crisis. Furthermore, the Japanese and Hong Kong markets, instead of the U.S. market, had a dominating effect on East Asian financial markets during the period of the financial crisis.

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