scholarly journals Arbitrage-Free Pricing of Credit Index Options: The No-Armageddon Pricing Measure and the Role of Correlation after the Subprime Crisis

2007 ◽  
Author(s):  
Damiano Brigo ◽  
Massimo Morini
Keyword(s):  
Subprime Crisis ◽  
Index Options ◽  
Pricing Measure

The Informational Role of Trade Duration: The Case of an Index Options Market

2013 ◽  
Author(s):  
Doojin Ryu ◽  
Kee H. Chung
Keyword(s):  
Options Market ◽  
Index Options

Diffusion of crisis signals across the world: evidence from subprime crisis of 2008-2009

2018 ◽  
Vol 13 (2) ◽  
pp. 410-430 ◽  
Author(s):  
Sruthi Rajan ◽  
Shijin Santhakumar
Keyword(s):  
Ordinary Least Squares ◽  
Stock Index ◽  
Subprime Crisis ◽  
Policy Makers ◽  
Content Type ◽  
Crisis Period ◽  
Economic Fundamentals ◽  
The World ◽  
The Impact

Purpose The innovations in fundamentals coupled with noise traders induce co-movement in diverse markets. This co-movement in equity markets which is evidenced higher during the turmoil period influences economic fundamentals of a country dissimilar in nature. The purpose of this paper is to examine whether economic fundamentals or investors’ behavior attributable to disturbances across the world are the rationale behind the crisis transmission, and thereby distinguish fundamental-based contagion from investor-induced contagion. Design/methodology/approach Initially, the study investigates the role of macroeconomic fundamentals and stock returns on crisis occurrence using panel probit estimates. Additionally, ordinary least squares estimates controlling the influence of fundamentals on domestic return capture the discrete country effect measuring the influence of domestic as well as foreign economic fundamentals along with foreign returns on the domestic stock index. Findings The empirical results reveal that foreign country stock index returns are having a significant influence on domestic returns besides a prominent role in crisis occurrence. The binary probit model confirmed the influence of both macroeconomic factors and foreign returns in crisis occurrence. The OLS estimates found evidence for investor-induced contagion in the crisis period where the effects of economic fundamentals are small in comparison to foreign market returns that are mainly dominant in pre- and post-crisis period. Research limitations/implications The propagation of crisis from one market to other would enable the policy makers to make clear regulations at right time to control for the crisis in future. The results can help the policy makers as well as investors in reducing the impact of the crisis in future by clearly monitoring the behavior of the factors under study. Originality/value The current study addresses the role of macro fundamentals and investors influence in crisis propagation. Adopting subprime crisis of 2008-2009 as a reference point and separating the sample period into pre-crisis, crisis and post-crisis period, the study explains how badly the other 30 markets impacted the crisis that emerged in the USA.

On profitability of volatility trading on S&P 500 equity index options: The role of trading frictions

2018 ◽  
Vol 55 ◽  
pp. 295-307 ◽  
Author(s):  
Hui Hong ◽  
Hao-Chang Sung ◽  
Jingjing Yang
Keyword(s):  
Index Options ◽  
Equity Index

The Role of Housing and Mortgage Markets in the Financial Crisis

2018 ◽  
Vol 10 (1) ◽  
pp. 25-41 ◽  
Author(s):  
Manuel Adelino ◽  
Antoinette Schoar ◽  
Felipe Severino
Keyword(s):  
Financial Crisis ◽  
Middle Class ◽  
House Price ◽  
Mortgage Lending ◽  
Subprime Crisis ◽  
Price Expectations ◽  
The Great Recession ◽  
Widespread Agreement ◽  
House Price Expectations

Ten years after the financial crisis of 2008, there is widespread agreement that the boom in mortgage lending and its subsequent reversal were at the core of the Great Recession. We survey the existing evidence, which suggests that inflated house-price expectations across the economy played a central role in driving both the demand for and the supply of mortgage credit before the crisis. The great misnomer of the 2008 crisis is that it was not a subprime crisis but rather a middle-class crisis. Inflated house-price expectations led households across all income groups, especially the middle class, to increase their demand for housing and mortgage leverage. Similarly, banks lent against increasing collateral values and underestimated the risk of defaults. We highlight how these emerging facts have essential implications for policy.

scholarly journals The Role of Mortgage Brokers in the Subprime Crisis

2010 ◽  
Author(s):  
Antje Berndt ◽  
Burton Hollifield ◽  
Patrik Sandås
Keyword(s):  
Subprime Crisis

scholarly journals Doctrine of public good in banking versus state intervention

Equilibrium ◽  
2015 ◽  
Vol 10 (1) ◽  
pp. 55
Author(s):  
Piotr Masiukiewicz
Keyword(s):  
Public Good ◽  
State Intervention ◽  
State Regulation ◽  
Government Support ◽  
Subprime Crisis ◽  
Real Economy ◽  
Banking Supervision ◽  
Social Functions ◽  
Banking Development

This article has the following thesis: changes in banking and the role of banks in real economy in recent years give an argument for treating banks as a public good. Banks received great support from governments as a result of the subprime crisis. G-20 and European Commission recommended new regulations for this sector after the crisis. As a consequence of banking development, more than 90% of the population use banking services in many countries. New social functions of banks have appeared. Doctrines about recovery and government support for banks were changed in parallel (e.g. LoLR). Presently, there are some arguments for recognition of public good doctrine in banking such as: a very big area for state regulation, state banking supervision, state system of deposits insurance, realization of task delegated by the state, social responsibility of banks and others. These arguments confirm that banks’ activity has a particular importance for the society and the economy, and would be public good.

Understanding the Paradigm Shift in Strategy of M&As in India in a Volatile Period Through Motive Analysis: Evidences from the IT Industry

2019 ◽  
pp. 097215091987929
Author(s):  
Amit Soni ◽  
Rabi N. Kar ◽  
Niti Bhasin
Keyword(s):  
Paradigm Shift ◽  
Reform Process ◽  
Subprime Crisis ◽  
It Industry ◽  
Competitive Edge ◽  
Cross Border ◽  
Reform Period ◽  
Merger And Acquisitions ◽  
International Sector

The reform period in India led to corporate restructuring, including mergers and acquisitions (M&As). Specifically, the reform process helped the Indian information technology (IT) sector to gain a competitive edge. With the gain in competitive edge, IT companies experienced the foreign-led rapid organic and inorganic growth. However, the subprime crisis of 2008–2009 not only caused a decline in inorganic investment but also caused a shift in preference from the international sector to the domestic sector. This study provides evidence of the paradigm shift in merger and acquisitions (M&A) strategies of Indian IT companies through motive analysis (2000–2015). In that context, this article explores the trend and pattern of motives for both domestic and cross-border M&As (CBMAs) by Indian IT firms and specifically seeks to investigate the main motives of CBMAs. The empirical evidence suggests a marked difference and dynamism in the pattern of motives for domestic and CBMAs across different sub-time periods. Furthermore, it indicates that the market and efficiency-seeking motives seem to be the dominant drivers of IT sector firms for emerging countries like India, whereas the role of efficiency-seeking motive became more prominent after the period of subprime crisis.

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