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Analysis Of Contagion In Financial Markets Based On The Gradient Measurement Of The Growth In Financial Markets And Conditional Copula Functions
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Book Synopsis Analysis of Contagion in Financial Markets Based on the Gradient Measurement of the Growth in Financial Markets and Conditional Copula Functions by : Rafał Siedlecki
Download or read book Analysis of Contagion in Financial Markets Based on the Gradient Measurement of the Growth in Financial Markets and Conditional Copula Functions written by Rafał Siedlecki and published by . This book was released on 2013 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: We define contagion in financial markets as a significant increase in cross-market linkages after a shock to one country (or group of countries). Contagion occurs if cross-market co-movement increases significantly after the shock.The main goal of this paper is to analyse changes in dependence between a chosen world stock market and the constructed synthetic index. Subsequently the research hypothesis will be verified: dependence between the synthetic stock market index and other stock markets is increasing in periods of a rapid decrease in value of stock market indexes. Positive verification of this hypothesis means that there is a contagion in financial markets.
Book Synopsis Contagion Phenomena with Applications in Finance by : Serge Darolles
Download or read book Contagion Phenomena with Applications in Finance written by Serge Darolles and published by Elsevier. This book was released on 2015-08-26 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: Much research into financial contagion and systematic risks has been motivated by the finding that cross-market correlations (resp. coexceedances) between asset returns increase significantly during crisis periods. Is this increase due to an exogenous shock common to all markets (interdependence) or due to certain types of transmission of shocks between markets (contagion)? Darolles and Gourieroux explain that an attempt to convey contagion and causality in a static framework can be flawed due to identification problems; they provide a more precise definition of the notion of shock to strengthen the solution within a dynamic framework. This book covers the standard practice for defining shocks in SVAR models, impulse response functions, identitification issues, static and dynamic models, leading to the challenges of measurement of systematic risk and contagion, with interpretations of hedge fund survival and market liquidity risks Features the standard practice of defining shocks to models to help you to define impulse response and dynamic consequences Shows that identification of shocks can be solved in a dynamic framework, even within a linear perspective Helps you to apply the models to portfolio management, risk monitoring, and the analysis of financial stability
Book Synopsis Financial Market Dynamics after COVID 19 by : Stéphane Goutte
Download or read book Financial Market Dynamics after COVID 19 written by Stéphane Goutte and published by Springer Nature. This book was released on 2022-04-27 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book analyses the impact of the COVID-19 pandemic in different areas of Finance emphasizing the contagion effect in capital markets. The volume presents evidence-based case studies from the global financial crisis that followed after the onset of the pandemic in March 2020.
Book Synopsis Correlation Analysis of Financial Contagion by : Giancarlo Corsetti
Download or read book Correlation Analysis of Financial Contagion written by Giancarlo Corsetti and published by . This book was released on 2003 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper builds a general test of contagion in financial markets based on bivariate correlation analysis - a test that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in the data generating process of rates of return. Using a factor model of returns as theoretical framework, we nest leading contributions in the literature as special cases of our test. We show that, while the literature on correlation analysis of contagion is successful in controlling for a potential bias induced by changes in the variance of global shocks, current tests are conditional on a specific yet arbitrary assumption about the variance of country specific shocks. Our results suggest that, for a number of pairs of country stock markets, the hypothesis of 'no contagion' can be rejected only if the variance of country specific shocks is set to levels that are not consistent with the evidence.
Book Synopsis A New Approach to Measuring Financial Contagion by : Kee-Hong Bae
Download or read book A New Approach to Measuring Financial Contagion written by Kee-Hong Bae and published by . This book was released on 2000 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a new approach to evaluate contagion in financial markets. Our measure of contagion captures the co-incidence of extreme return shocks across countries within a region and across regions that cannot be explained by linear propagation models of shocks. We characterize the extent of contagion, its economic significance, and its determinants using a multinomial logistic regression model. Applying our approach to daily returns of emerging markets during the 1990s, we find that contagion, when measured by the co-incidence within and across regions of extreme return shocks, is predictable and depends on regional interest rates, exchange rate changes, and conditional stock return volatility. Evidence that contagion is stronger for extreme negative returns than for extreme positive returns is mixed
Book Synopsis Bubbles and Contagion in Financial Markets, Volume 2 by : Eva R. Porras
Download or read book Bubbles and Contagion in Financial Markets, Volume 2 written by Eva R. Porras and published by Springer. This book was released on 2017-10-31 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on extending the models and theories (from a mathematical/statistical point of view) which were introduced in the first volume to a more technical level. Where volume I provided an introduction to the mathematics of bubbles and contagion, volume II digs far more deeply and widely into the modeling aspects.
Book Synopsis Research on Volatility and Contagion Effect in Stock Market by : Dexiang Mei
Download or read book Research on Volatility and Contagion Effect in Stock Market written by Dexiang Mei and published by Scientific Research Publishing, Inc. USA. This book was released on 2020-12-06 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volatility has been one of the cores of the financial theory research, in addition to the stock markets is an important part of modern financial markets. Research on volatility and contagion effect in stock market is an important part of the theory of financial markets research. This book in-cludes the following four parts.
Book Synopsis A New Approach to Measuring Financial Contagion by : Kee-Hong Bae
Download or read book A New Approach to Measuring Financial Contagion written by Kee-Hong Bae and published by . This book was released on 2010 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a new approach to evaluate contagion in financial markets. Our measure of contagion captures the co-incidence of extreme return shocks across countries within a region and across regions that cannot be explained by linear propagation models of shocks. We characterize the extent of contagion, its economic significance, and its determinants using a multinomial logistic regression model. Applying our approach to daily returns of emerging markets during the 1990s, we find that contagion, when measured by the co-incidence within and across regions of extreme return shocks, is predictable and depends on regional interest rates, exchange rate changes, and conditional stock return volatility. Evidence that contagion is stronger for extreme negative returns than for extreme positive returns is mixed.
Book Synopsis Framework for Analyzing Spatial Contagion between Financial Markets by : Brendan Bradley
Download or read book Framework for Analyzing Spatial Contagion between Financial Markets written by Brendan Bradley and published by . This book was released on 2005 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present an alternative definition of contagion between financial markets, which is based on a measure of local correlation. We say that there is contagion from market X to market Y if there is more dependence between X and Y when X is doing badly than when X exhibits typical performance, that is, if there is more dependence at the loss tail distribution of X than at its center. The dependence is measured by the local correlation between X and Y. This yields a test for contagion, which does not require the specification of crisis and normal periods. As such, it avoids difficulties associated with testing for correlation breakdown, such as hand picking subsets of the data, and it provides a better understanding of the degree of dependence between financial markets.
Book Synopsis Contagion in Experimental Financial Markets by : Suren Vardanyan
Download or read book Contagion in Experimental Financial Markets written by Suren Vardanyan and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Extreme Contagion in Equity Markets by : Jorge A. Chan-Lau
Download or read book Extreme Contagion in Equity Markets written by Jorge A. Chan-Lau and published by . This book was released on 2006 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study uses bivariate extremal dependence measures, based on the number of equity return co-exceedances in two markets, to quantify both negative and positive equity returns contagion in mature and emerging equity markets during the past decade. The results indicate (a) higher contagion for negative returns than for positive returns; (b) a secular increase in contagion in Latin America not matched in other regions; (c) global increases in contagion following the 1998 financial crises; and (d) that the use of simple correlations as a proxy for contagion could be misleading, as the former exhibit low correlation with extremal dependence measures of contagion.
Book Synopsis Testing for Contagion by : Guglielmo Maria Caporale
Download or read book Testing for Contagion written by Guglielmo Maria Caporale and published by . This book was released on 2004 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis No Contagion, Only Interdependence by : Kristin Forbes
Download or read book No Contagion, Only Interdependence written by Kristin Forbes and published by . This book was released on 1999 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines stock market co-movements. It begins with a discussion of several conceptual issues involved in measuring these movements and how to test for contagion. Standard tests examine if cross-market correlation in stock market returns increase during a period of crisis. The measure of cross-market correlations central to this standard analysis, however, is biased. The unadjusted correlation coefficient is conditional on market movements over the time period under consideration, so that during a period of turmoil when stock market volatility increases, standard estimates of cross-market correlations will be biased upward. It is straightforward to adjust the correlation coefficient to correct for this bias. The remainder of the paper applies these concepts to test for stock market contagion during the 1997 East Asian crises, the 1994 Mexican peso collapse, and the 1987 U.S. stock market crash. In each of these cases, tests based on the unadjusted correlation coefficients find evidence of contagion in several countries, while tests based on the adjusted coefficients find virtually no contagion. This suggests that high market co-movements during these periods were a continuation of strong cross-market linkages. In other words, during these three crises there was no contagion, only interdependence.
Book Synopsis How to Estimate Spatial Contagion between Financial Markets by : Brendan Bradley
Download or read book How to Estimate Spatial Contagion between Financial Markets written by Brendan Bradley and published by . This book was released on 2005 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: A definition of contagion between financial markets based on local correlation was introduced in Bradley and Taqqu (2004) and a test for contagion was proposed. For the test to be implemented, local correlation must be estimated. This paper describes an estimation procedure based on nonparametric local polynomial regression. The procedure is illustrated on the US and French equity market data.
Book Synopsis Some Contagion, Some Interdependence by : Giancarlo Corsetti
Download or read book Some Contagion, Some Interdependence written by Giancarlo Corsetti and published by . This book was released on 2008 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper builds on a standard factor model of stock market returns to reconsider recent empirical literature on contagion in financial markets based on bivariate correlation analysis. According to this literature, contagion is defined as a structural break in the linear transmission mechanism of financial shocks. Using our framework, we show that the result of 'no contagion, only interdependence' stressed by recent contributions is due to arbitrary and unrealistic restrictions on the variance of country-specific shocks. We focus on the international effects of the Hong Kong stock market crisis of October 1997 as a case study. For plausible values of the variance of country-specific shocks in Hong Kong, current tests cannot reject the null of interdependence for 16 countries out of a sample of 17. Our analysis strongly questions such conclusion, finding evidence of 'contagion' for at least five countries.
Book Synopsis Contagion in Financial Markets: Two Statistical Approaches by :
Download or read book Contagion in Financial Markets: Two Statistical Approaches written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial markets in different countries undergo crises at one point in time or another. These crises can have different causes but they could affect other markets due to trade relations and capital mobility. Some crises affect markets in other countries more than what market fundamentals would dictate. We will model this phenomenon, also defined as contagion, using two approaches viz., one-factor model and volatility spillover, and compare these approaches.
Book Synopsis Simulation of Contagion in the Stock Markets Using Cross-Shareholding Networks by : Hossein Dastkhan
Download or read book Simulation of Contagion in the Stock Markets Using Cross-Shareholding Networks written by Hossein Dastkhan and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, simulation of contagion in financial markets is one of the main concerns of the economic and finance researchers and policy makers in order to analyze the effects of different shocks on the contagion. In this paper, we introduce a simulation model to analyze the contagion in financial markets based on the cross-shareholding network of firms. In order to validate the proposed model, we investigate the results of a real dataset from an emerging market. According to different kinds of idiosyncratic and aggregate shocks to the system, we analyze the probability and the extent of contagion. Moreover, to study the effect of market structure, the results of different null models are compared with the real network. The results show that the proposed simulation model and the cross-shareholding network are effectively appropriate in the analysis of contagion and systemic risk in the financial systems. The results of null models indicate that the structural characteristics of the financial networks have significant role in the spread of shocks and financial crisis. The results also reveal that for the networks with homogeneity for degree and weights underestimates the number of infected firms and overestimates the loss percents.
