Sökning: "financial contagion"

Visar resultat 1 - 5 av 11 avhandlingar innehållade orden financial contagion.

  1. 1. Essays in Financial Economics

    Författare :Emanuel Alfranseder; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; GARCH; Spillover; Contagion; Financial Distress; Financial Constraints; Financial Crisis; Behavioral Finance; Equity Premium; Doubt; Pessimism;

    Sammanfattning : Chapter 1 develops a framework to investigate the impact of the financial crisis starting in 2007 and employs an extended GARCH model to test for spillover and contagion effects originating from the financial sector. We find that the financial crisis affects financially distressed firms more heavily than non-distressed firms. LÄS MER

  3. 2. Essays on Financial Risks and the Subprime Crisis

    Författare :Emanuel Alfranseder; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; GARCH; Spillover; Contagion; Financial Distress; Financial Constraints; Financial Crisis; Equity Premium; Doubt; Pessimism; ; Investment; Capital Structure; Bankruptcy Risk;

    Sammanfattning : This thesis covers the impact of the financial crisis of 2007-2009, the non-linearity in the impact of bankruptcy risk on leverage and the effect of pessimism and doubt on the equity premium. It consists of four self-contained essays. LÄS MER

  4. 3. Essays on Information Transmission and Crisis Spillover in the Financial Markets

    Författare :Dinh-Vinh Vo; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Central bank communication; ECB; exchange rates; sentiment; LDA; textual analysis; cross-section of stock returns; news-implied volatility; financial contagion; interdependence; global banking system;

    Sammanfattning : This doctoral dissertation comprises three independent essays on information transmission and crisis spillover in the financial markets. The research questions are examined in the context of the foreign exchange market, the stock market and the global banking system. LÄS MER

  5. 4. Changing the Rules of the Game : A Market Microstructure Perspective on the Effects of Regulating Financial Markets

    Författare :Ester Félez Viñas; Björn Hagströmer; Caihong Xu; Mathijs van Dijk; Stockholms universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Market fragmentation; liquidity; resiliency; short selling ban; commonality in liquidity; financial contagion; call auction; market integrity; auction attractiveness; price efficiency; företagsekonomi; Business Administration;

    Sammanfattning : This dissertation contains four articles that examine the effects brought about by the implementation of new regulations and changes in the trading landscape on different facets of market quality and integrity.Article I studies how the fragmentation of equity markets affects the speed of recovery of the market, both under normal market conditions and in times of stress. LÄS MER

  7. 5. Essays on stochastic volatility

    Författare :Marcus Nossman; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; volatility; Contagion; jumps; risk premium; MCMC;

    Sammanfattning : This dissertation consists of five papers concerned with the estimation and analysis of financial price processes. The first paper develops a stock price model and analyzes the impact of the US and the regional European stock markets on the local European countries’ stock markets. LÄS MER