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  1. Article ; Online: The European Financial Market Stress Index

    Shaen Corbet

    International Journal of Economics and Financial Issues, Vol 4, Iss

    2014  Volume 1

    Abstract: This research constructs and develops a financial stress index based on European financial markets. The integration of numerous sovereign states has created difficulty identifying stress in any one single financial component, but incorporating twenty- ... ...

    Abstract This research constructs and develops a financial stress index based on European financial markets. The integration of numerous sovereign states has created difficulty identifying stress in any one single financial component, but incorporating twenty-three headline European stress indicators across equities, bonds and currencies, in terms of both spreads and levels offer substantial explanatory benefits. The incorporation of a logistical framework specifically analysing the levels, volatility and co-movement of the included standardised series enables the creation of an index that adequately represents financial market stress in European. Using periods of pre-defined crisis in a logistic regression framework also aids the development of the index. The results provide evidence that the European-specific sovereign crises from 2010 to present, with particular emphasis on the mid-2011 period, have significantly over-shadowed any event that the financially-integrated Europe has previously experienced. Keywords: European financial crisis; financial market stress indicator; liquidity; stock markets. JEL Classifications: G01; G15
    Keywords Business ; HF5001-6182 ; Economics as a science ; HB71-74
    Subject code 332
    Language English
    Publishing date 2014-01-01T00:00:00Z
    Publisher EconJournals
    Document type Article ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

    Full text online

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    Inter-library loan at ZB MED

    Your chosen title can be delivered directly to ZB MED Cologne location if you are registered as a user at ZB MED Cologne.

  2. Article ; Online: The European Financial Market Stress Index

    Shaen Corbet

    International Journal of Economics and Financial Issues, Vol 4, Iss 1, Pp 217-

    2014  Volume 230

    Abstract: This research constructs and develops a financial stress index based on European financial markets. The integration of numerous sovereign states has created difficulty identifying stress in any one single financial component, but incorporating twenty- ... ...

    Abstract This research constructs and develops a financial stress index based on European financial markets. The integration of numerous sovereign states has created difficulty identifying stress in any one single financial component, but incorporating twenty-three headline European stress indicators across equities, bonds and currencies, in terms of both spreads and levels offer substantial explanatory benefits. The incorporation of a logistical framework specifically analysing the levels, volatility and co-movement of the included standardised series enables the creation of an index that adequately represents financial market stress in European. Using periods of pre-defined crisis in a logistic regression framework also aids the development of the index. The results provide evidence that the European-specific sovereign crises from 2010 to present, with particular emphasis on the mid-2011 period, have significantly over-shadowed any event that the financially-integrated Europe has previously experienced.
    Keywords european financial crisis ; financial market stress indicator ; liquidity ; stock markets ; Business ; HF5001-6182 ; Economics as a science ; HB71-74
    Subject code 332
    Language English
    Publishing date 2014-03-01T00:00:00Z
    Publisher EconJournals
    Document type Article ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

    Full text online

    More links

    Kategorien

    Inter-library loan at ZB MED

    Your chosen title can be delivered directly to ZB MED Cologne location if you are registered as a user at ZB MED Cologne.

  3. Article ; Online: The European Financial Market Stress Index

    Shaen Corbet

    International Journal of Economics and Financial Issues, Vol 4, Iss

    2014  Volume 1

    Abstract: This research constructs and develops a financial stress index based on European financial markets. The integration of numerous sovereign states has created difficulty identifying stress in any one single financial component, but incorporating twenty- ... ...

    Abstract This research constructs and develops a financial stress index based on European financial markets. The integration of numerous sovereign states has created difficulty identifying stress in any one single financial component, but incorporating twenty-three headline European stress indicators across equities, bonds and currencies, in terms of both spreads and levels offer substantial explanatory benefits. The incorporation of a logistical framework specifically analysing the levels, volatility and co-movement of the included standardised series enables the creation of an index that adequately represents financial market stress in European. Using periods of pre-defined crisis in a logistic regression framework also aids the development of the index. The results provide evidence that the European-specific sovereign crises from 2010 to present, with particular emphasis on the mid-2011 period, have significantly over-shadowed any event that the financially-integrated Europe has previously experienced. Keywords: European financial crisis; financial market stress indicator; liquidity; stock markets. JEL Classifications: G01; G15
    Keywords Business ; HF5001-6182 ; Economics as a science ; HB71-74
    Subject code 332
    Language English
    Publishing date 2014-01-01T00:00:00Z
    Publisher EconJournals
    Document type Article ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

    Full text online

    More links

    Kategorien

    Inter-library loan at ZB MED

    Your chosen title can be delivered directly to ZB MED Cologne location if you are registered as a user at ZB MED Cologne.

  4. Article ; Online: The Contagion Effects of Sovereign Downgrades

    Shaen Corbet

    International Journal of Economics and Financial Issues, Vol 4, Iss 1, Pp 83-

    Evidence from the European Financial Crisis

    2014  Volume 92

    Abstract: This research examines the effects of sovereign downgrades on European financial markets between 2005 and 2012. Vector Autoregression (VAR) techniques are used to investigate the presence of contagion effects after a sovereign downgrade across equity ... ...

    Abstract This research examines the effects of sovereign downgrades on European financial markets between 2005 and 2012. Vector Autoregression (VAR) techniques are used to investigate the presence of contagion effects after a sovereign downgrade across equity indices, five year Credit Default Swaps (CDS) and ten year government bonds of the investigated European states. Sovereign downgrades are found to be associated with an increase in equity returns, and cause significant increases in the cost of insuring debt through CDS and the yield of government debt. The Greek and Irish downgrades are to found to have significant reverberations throughout European financial markets. German CDS spreads are found to increase when a European state is downgraded, signalling their use by investors as a barometer of European-wide defaults. Though credit rating agencies clearly missed the European sovereign crisis prior to 2007, their rating downgrades are still found to cause significant effects within European financial markets.
    Keywords sovereign ratings ; var ; contagion ; financial crisis ; stock markets ; Business ; HF5001-6182 ; Economics as a science ; HB71-74
    Subject code 332
    Language English
    Publishing date 2014-03-01T00:00:00Z
    Publisher EconJournals
    Document type Article ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

    Full text online

    More links

    Kategorien

    Inter-library loan at ZB MED

    Your chosen title can be delivered directly to ZB MED Cologne location if you are registered as a user at ZB MED Cologne.

  5. Article ; Online: The European Financial Market Stress Index

    Shaen Corbet

    International Journal of Economics and Financial Issues, Vol 4, Iss

    2014  Volume 1

    Abstract: This research constructs and develops a financial stress index based on European financial markets. The integration of numerous sovereign states has created difficulty identifying stress in any one single financial component, but incorporating twenty- ... ...

    Abstract This research constructs and develops a financial stress index based on European financial markets. The integration of numerous sovereign states has created difficulty identifying stress in any one single financial component, but incorporating twenty-three headline European stress indicators across equities, bonds and currencies, in terms of both spreads and levels offer substantial explanatory benefits. The incorporation of a logistical framework specifically analysing the levels, volatility and co-movement of the included standardised series enables the creation of an index that adequately represents financial market stress in European. Using periods of pre-defined crisis in a logistic regression framework also aids the development of the index. The results provide evidence that the European-specific sovereign crises from 2010 to present, with particular emphasis on the mid-2011 period, have significantly over-shadowed any event that the financially-integrated Europe has previously experienced. Keywords: European financial crisis; financial market stress indicator; liquidity; stock markets. JEL Classifications: G01; G15
    Keywords Business ; HF5001-6182 ; Economics as a science ; HB71-74
    Subject code 332
    Language English
    Publishing date 2014-01-01T00:00:00Z
    Publisher EconJournals
    Document type Article ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

    Full text online

    More links

    Kategorien

    Inter-library loan at ZB MED

    Your chosen title can be delivered directly to ZB MED Cologne location if you are registered as a user at ZB MED Cologne.

  6. Article ; Online: The Contagion Effects of Sovereign Downgrades

    Shaen Corbet

    International Journal of Economics and Financial Issues, Vol 4, Iss

    Evidence from the European Financial Crisis

    2013  Volume 1

    Abstract: This research examines the effects of sovereign downgrades on European financial markets between 2005 and 2012. Vector Autoregression (VAR) techniques are used to investigate the presence of contagion effects after a sovereign downgrade across equity ... ...

    Abstract This research examines the effects of sovereign downgrades on European financial markets between 2005 and 2012. Vector Autoregression (VAR) techniques are used to investigate the presence of contagion effects after a sovereign downgrade across equity indices, five year Credit Default Swaps (CDS) and ten year government bonds of the investigated European states. Sovereign downgrades are found to be associated with an increase in equity returns, and cause significant increases in the cost of insuring debt through CDS and the yield of government debt. The Greek and Irish downgrades are to found to have significant reverberations throughout European financial markets. German CDS spreads are found to increase when a European state is downgraded, signalling their use by investors as a barometer of European-wide defaults. Though credit rating agencies clearly missed the European sovereign crisis prior to 2007, their rating downgrades are still found to cause significant effects within European financial markets. Keywords: Sovereign ratings; VAR; contagion; financial crisis; stock markets. JEL Classifications: G01; G15
    Keywords Business ; HF5001-6182 ; Economics as a science ; HB71-74
    Subject code 332
    Language English
    Publishing date 2013-11-01T00:00:00Z
    Publisher EconJournals
    Document type Article ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

    Full text online

    More links

    Kategorien

    Inter-library loan at ZB MED

    Your chosen title can be delivered directly to ZB MED Cologne location if you are registered as a user at ZB MED Cologne.

  7. Article ; Online: The Contagion Effects of Sovereign Downgrades

    Shaen Corbet

    International Journal of Economics and Financial Issues, Vol 4, Iss

    Evidence from the European Financial Crisis

    2013  Volume 1

    Abstract: This research examines the effects of sovereign downgrades on European financial markets between 2005 and 2012. Vector Autoregression (VAR) techniques are used to investigate the presence of contagion effects after a sovereign downgrade across equity ... ...

    Abstract This research examines the effects of sovereign downgrades on European financial markets between 2005 and 2012. Vector Autoregression (VAR) techniques are used to investigate the presence of contagion effects after a sovereign downgrade across equity indices, five year Credit Default Swaps (CDS) and ten year government bonds of the investigated European states. Sovereign downgrades are found to be associated with an increase in equity returns, and cause significant increases in the cost of insuring debt through CDS and the yield of government debt. The Greek and Irish downgrades are to found to have significant reverberations throughout European financial markets. German CDS spreads are found to increase when a European state is downgraded, signalling their use by investors as a barometer of European-wide defaults. Though credit rating agencies clearly missed the European sovereign crisis prior to 2007, their rating downgrades are still found to cause significant effects within European financial markets. Keywords: Sovereign ratings; VAR; contagion; financial crisis; stock markets. JEL Classifications: G01; G15
    Keywords Business ; HF5001-6182 ; Economics as a science ; HB71-74
    Subject code 332
    Language English
    Publishing date 2013-11-01T00:00:00Z
    Publisher EconJournals
    Document type Article ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

    Full text online

    More links

    Kategorien

    Inter-library loan at ZB MED

    Your chosen title can be delivered directly to ZB MED Cologne location if you are registered as a user at ZB MED Cologne.

  8. Article ; Online: The Contagion Effects of Sovereign Downgrades

    Shaen Corbet

    International Journal of Economics and Financial Issues, Vol 4, Iss

    Evidence from the European Financial Crisis

    2013  Volume 1

    Abstract: This research examines the effects of sovereign downgrades on European financial markets between 2005 and 2012. Vector Autoregression (VAR) techniques are used to investigate the presence of contagion effects after a sovereign downgrade across equity ... ...

    Abstract This research examines the effects of sovereign downgrades on European financial markets between 2005 and 2012. Vector Autoregression (VAR) techniques are used to investigate the presence of contagion effects after a sovereign downgrade across equity indices, five year Credit Default Swaps (CDS) and ten year government bonds of the investigated European states. Sovereign downgrades are found to be associated with an increase in equity returns, and cause significant increases in the cost of insuring debt through CDS and the yield of government debt. The Greek and Irish downgrades are to found to have significant reverberations throughout European financial markets. German CDS spreads are found to increase when a European state is downgraded, signalling their use by investors as a barometer of European-wide defaults. Though credit rating agencies clearly missed the European sovereign crisis prior to 2007, their rating downgrades are still found to cause significant effects within European financial markets. Keywords: Sovereign ratings; VAR; contagion; financial crisis; stock markets. JEL Classifications: G01; G15
    Keywords Business ; HF5001-6182 ; Economics as a science ; HB71-74
    Subject code 332
    Language English
    Publishing date 2013-11-01T00:00:00Z
    Publisher EconJournals
    Document type Article ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

    Full text online

    More links

    Kategorien

    Inter-library loan at ZB MED

    Your chosen title can be delivered directly to ZB MED Cologne location if you are registered as a user at ZB MED Cologne.

  9. Article ; Online: An index of financial market stress for the United Kingdom

    Shaen Corbet / Cian Twomey

    Economics and Business Letters, Vol 3, Iss 2, Pp 127-

    2014  Volume 133

    Abstract: We construct and develop a new financial market stress index using twenty-three headline U.K. financial data series. A logistic regression framework provides a parsimonious representation of financial market stress in the U.K. based on the market ... ...

    Abstract We construct and develop a new financial market stress index using twenty-three headline U.K. financial data series. A logistic regression framework provides a parsimonious representation of financial market stress in the U.K. based on the market dynamics around the time of Bank of England crisis-alleviating economic interventions. Our results present clear evidence that the Bank of England’s swift and decisive actions stemmed financial market stress as measured by the stress index.
    Keywords financial crises ; financial markets ; financial stress indicator ; Business ; HF5001-6182 ; Commerce ; HF1-6182 ; Social Sciences ; H
    Language English
    Publishing date 2014-06-01T00:00:00Z
    Document type Article ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

    Full text online

    More links

    Kategorien

    Inter-library loan at ZB MED

    Your chosen title can be delivered directly to ZB MED Cologne location if you are registered as a user at ZB MED Cologne.

  10. Article ; Online: Have Exchange Traded Funds Influenced Commodity Market Volatility?

    Shaen Corbet / Cian Twomey

    International Journal of Economics and Financial Issues, Vol 4, Iss

    2014  Volume 2

    Abstract: Exchange Traded Funds (ETFs) have existed since the late 1980s, but were first traded on commodity markets in the early 2000s. Their inception has been linked by some market analysts with the large commodity price increases and volatility evident between ...

    Abstract Exchange Traded Funds (ETFs) have existed since the late 1980s, but were first traded on commodity markets in the early 2000s. Their inception has been linked by some market analysts with the large commodity price increases and volatility evident between 2007 and 2009. This research analyses forty-four ETFs across seventeen commodity markets and focuses on the role that the product has played, either as an accelerant for mispricing in international commodity markets, or as a mechanism for liquidity improvements, thereby increasing the speed of the transfer of information. An EGARCH model is used to investigate whether the volatility and liquidity effects are more pronounced in larger or smaller sized commodity markets. The results indicate that larger market-proportional ETF holdings are associated with higher EGARCH volatility. Smaller commodity markets are found to have increased liquidity flows, indicating benefits from ETF investment. The findings in this paper support calls for more intense regulation of the ETF industry and more investigation into the investment practices and rebalancing processes of the funds in question. The need for regulation of investment size and the imposition of market ownership caps cannot be rejected. Keywords: Exchange Traded Funds (ETFs); commodity markets; volatility. JEL Classifications: G12; G15.
    Keywords Business ; HF5001-6182 ; Economics as a science ; HB71-74
    Subject code 330
    Language English
    Publishing date 2014-03-01T00:00:00Z
    Publisher EconJournals
    Document type Article ; Online
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

    Full text online

    More links

    Kategorien

    Inter-library loan at ZB MED

    Your chosen title can be delivered directly to ZB MED Cologne location if you are registered as a user at ZB MED Cologne.

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