Showing papers in "Journal of International Financial Markets, Institutions and Money in 2013"

TL;DR: In this paper, the authors estimate sudden and gradual changes in correlation between stocks, bonds and commodity futures returns driven by observable financial variables and time, using double smooth transition conditional correlation (DSTCC-GARCH) models.

TL;DR: In this article, economic policy uncertainty and oil-market specific demand shocks account for 19% and 12% of the long-run variability in real stock returns, respectively, in the U.S. and Europe, respectively.

TL;DR: In this article, Strobel et al. compare different approaches to the construction of time-varying Z-score measures, plus an alternative one, using a panelof banks for the G20 group of countries covering the period 1992{2009.

TL;DR: In this paper, the authors assess the relationship between bank efficiency, risk and capital for a sample of Chinese commercial banks employing three efficiency indexes and four risk indicators under a three stage least square method in a panel data framework.

TL;DR: In this article, the impact on financial stability of bank competition in emerging markets by taking into account crisis periods is investigated, showing that a higher degree of market power in the banking market is associated with higher capital ratios, higher income volatility and higher insolvency risk of banks.

TL;DR: In this paper, a time-varying multivariate heteroskedastic framework is employed to test the correlation between industrial sector indices and oil prices, considering the origin of the oil price shock.

TL;DR: In this paper, the authors measured the evolution of bank competition in all EU countries during the 2000s with the Lerner index and the H -statistic and found that convergence in bank competition has taken place in EU countries.

TL;DR: In this paper, the authors examined the linkages of government bond yield spreads between Euro zone countries over the period March 3, 2007 - June 18, 2012, thus considering the intriguing features of BYS spillovers during the global financial and the Euro zone debt crisis.

TL;DR: In this paper, the authors examined the relation between oil price changes and stock returns and found that there is significant time variation in the linkage between oil and equities, and that not all oil price movements are alike and, and joint rises in oil and stock market can in fact be observed.

TL;DR: In this paper, the authors proposed a dynamic herding approach which takes into account herding under different market regimes, with concentration on the Gulf Arab stock markets (Abu Dhabi, Dubai, Kuwait, Qatar and Saudi Arabia).

TL;DR: In this paper, the authors apply the asymmetric dynamic conditional correlation (A-DCC) model and employ copula functions to investigate the correlation dynamics among the Greek and European markets during the recent debt crisis.

TL;DR: In this article, the existence of herding in the global equity market is investigated and the authors apply a methodology which utilises cross-country dispersion in index returns to reveal price patterns indicative of traders' irrationality, especially in basic materials, consumer services, and oil and gas.

TL;DR: In this article, the relationship between stock prices and exchange rates in EU and USA during the period of recent financial crisis (2008-2012) and compare the results with those in a previous period where stock markets were operating under normal conditions.

TL;DR: In this article, the interdependence of US dollar exchange rates expressed in other major currencies was investigated, focusing on different phases of the Global financial crisis (GFC) and the Eurozone Sovereign Debt Crisis (ESDC), during the period 2004-2011.

TL;DR: In this article, the authors investigate the extent to which institutional herding at the industry level is motivated by intent and assess intent using both market and sector states based on three variables (returns; volatility; volume), in order to gauge whether herding intent is more relevant to conditions prevailing in a sector or the market as a whole.

TL;DR: In this paper, the contribution of efficiency to the estimation of the probability of default of cooperative banks is analyzed, and it is shown that higher efficiency levels have a positive and statistically significant link with the probability for survival of the cooperative banks.

TL;DR: This paper investigated the contagion appetite generated by the current debt crisis in Greece by focusing on six European Monetary Union bond markets, namely the Netherlands, Germany, Italy, Spain, Portugal and France.

TL;DR: In this article, the authors investigated the long-run relationship and asymmetric adjustment between the real oil prices and the real bilateral exchange rates of twelve major oil producers and consumers in the world.

TL;DR: In this paper, the dynamic interrelations among instruments of bank liquidity management are modelled in a panel Vector Autoregressive (p-VAR) framework and empirical evidence on banks' responses to wholesale funding shocks, using data of seventeen of the largest Dutch banks over the period January 2004 to April 2010.

TL;DR: In this paper, the impact of internal corporate governance on performance during the current financial crisis was studied for a comprehensive cross-country sample of 4046 publicly traded non-financial firms from the U.S. and 22 developed countries.

TL;DR: In this paper, the authors examined the impact of the Troubled Asset Relief Program (TARP) capital injections on the operational efficiency of commercial banks using a nonparametric Data Envelopment Analysis to measure bank efficiency.

TL;DR: In this paper, the authors analyze how investors' behavior differs between times of market turmoil and tranquil trading periods, and find that during periods of crisis, like the recent global financial crisis and the period after the dot.com bubble bursting, stock prices are driven by behavioral effects compared to tranquil times.

TL;DR: In this paper, a vector autoregressive model with Generalized Autoregressive Conditional Heteroskedasticity (VAR-GARCH) was used to investigate the linkages between stock and foreign exchange markets of a number of emerging economies.

TL;DR: The Self-Organizing Financial Stability Map (SOFSM) as mentioned in this paper is a methodology based on data and dimensionality reduction that can be used for mapping the state of financial stability and visualizing potential sources of systemic risks.

TL;DR: Hong and Kacperczyk as discussed by the authors found that social norms exert positive pressure on both investors and firms in the US equity market, and that the effect of social norms on stocks is negative.

TL;DR: In this paper, the authors developed a theoretical monetary model of the real exchange rate and showed that over the long run, real exchange rates are a function of real money supply, domestic and foreign interest rate, real GDP, real government expenditure, deficit per GDP, domestic debt per GDP and commodity price.

TL;DR: In this paper, the authors use recent short-term performance to better select contrarian securities that appear ready to reverse, and show that the reversal of long-term returns may be stronger and more pervasive than is generally understood.

TL;DR: The authors investigated the time series behavior of idiosyncratic volatility and its role in asset pricing in China and found no evidence of a long-term trend in the time-series behavior of I volatility and found that I volatility is best characterized by an autoregressive process with regime shifts that coincide with structural market reforms.

TL;DR: In this paper, returns and returns volatility spillovers from the U.S. and the Saudi market to equity markets in the Gulf Cooperation Council countries were investigated and concluded that the strong inter and intra diversification potential that once existed in the GCC Cooperation Council Countries has been severely impaired in recent years.

TL;DR: In this article, the authors examined the impact of bank-specific characteristics on credit supply in response to monetary policy changes in respect of involuntary excess reserves in China using a sample of 95 banks.