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Systematic contagion effects of the global finance crisis: evidence from the world’s largest advanced and emerging equity markets.
1. Introduction
2. literature review, 2.1. definition of financial contagion, 2.2. crisis transmission mechanisms and contagion effects, 3. the modeling framework, 3.1. motivation, 3.2. the conditional factor model, 3.3. sample and data, augmented dickey–fuller (adf) test, 3.4. tests of contagion, 3.4.1. unadjusted or naive correlation test, 3.4.2. adjusted correlation test of forbes and rigobon ( 2002 ), 3.4.3. adjusted beta test of dungey et al. ( 2005 ), 3.4.4. conditional factor model-based test of dungey and renault ( 2018 ), 3.5. testing hypotheses about model identification and structural stability, 3.5.1. hansen’s j -test, 3.5.2. ghysels–hall test, 4. results and discussions, 4.1. stylized facts and summary statistics, 4.2. results from the tests of contagion, 5. conclusions, author contributions, data availability statement, conflicts of interest.
| 1 | ( ), ( ), and ( ) for limitations of the ( ) approach. |
| 2 | ( ) for a review of different correlation-based empirical methodologies. |
| 3 | ( ), ( ), ( ), ( ), and ( ) for recent advancement in contagion detection methodologies. |
| 4 | ( ) test the following hypotheses: where is the correlation coefficient based on full sample period indicating that any t-test value greater than t-test critical value at 5 percent indicates evidence of contagion while any t-test value less or equals to critical value indicates no contagion. |
| 5 | ( ) offer a similar approach to test for contagion. By relaxing the assumption in ( ) that the underlying relation between two markets remains constant, ( ) provide an adjustment in the unconditional correlation for changes in the variance ratios of the residuals (idiosyncratic factor) and the common factor during the non-crisis and crisis periods, . More specifically, the adjusted correlation coefficient during the crisis period is: Therefore, the null hypothesis of no contagion becomes . |
| 6 | ) and test for a significant increase in the conditional correlation during the crisis period ( ; ), under the null hypothesis of no contagion, . The DCC approach overcomes the endogeneity issue and omitted variable issues of the ( ) approach by computing the conditional correlation coefficient from GARCH model residuals. |
| 7 | . As postulated in ( ), the results are relatively insensitive to the choice of value for . |
| 8 | will have a constant term on the righthand side so it does not enter into the estimation process. |
| 9 | |
| 10 | -values for the coefficients of Brazil and India are 0.11. |
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Click here to enlarge figure
| Country | Aggregate Equity Market | Financial Sector |
|---|---|---|
| U.S. | TOTMKUS | FINANUS |
| France | TOTMKFR | FINANFR |
| Germany | TOTMKBD | FINANBD |
| Japan | TOTMKJP | FINANJP |
| U.K. | TOTMKUK | FINANUK |
| Brazil | TOTMKBR | FINANBR |
| China | TOTMKCA | FINANCA |
| India | TOTMKIN | FINANIN |
| Russia | TOTMKRS | FINANRS |
| Statistics | Advanced Markets | Emerging Markets | |||||||
|---|---|---|---|---|---|---|---|---|---|
| U.S. | France | Germany | Japan | U.K. | Brazil | China | India | Russia | |
| Panel A: Whole sample period (2 August 2004 to 30 May 2009) | |||||||||
| Mean | −0.0106 | −0.0045 | 0.0057 | −0.0192 | 0.0027 | 0.0656 | 0.0428 | 0.0793 | 0.0460 |
| Median | 0.0488 | 0.0432 | 0.0874 | 0.0000 | 0.0417 | 0.0780 | 0.0281 | 0.1390 | 0.0612 |
| Maximum | 10.9019 | 9.9199 | 16.0461 | 12.2917 | 8.8611 | 10.8596 | 9.0409 | 15.0785 | 23.1743 |
| Minimum | −9.4087 | −8.4287 | −6.9133 | −9.6851 | −8.7142 | −9.9400 | −9.3062 | −12.1159 | −19.8503 |
| Std. Dev. | 1.4617 | 1.3285 | 1.2887 | 1.5316 | 1.3355 | 1.7157 | 1.9462 | 1.8383 | 2.4724 |
| Skewness | −0.2748 | 0.0202 | 1.2866 | −0.3039 | −0.1890 | −0.1886 | −0.2103 | −0.2509 | −0.2540 |
| Kurtosis | 14.0983 | 12.4743 | 28.9023 | 11.0001 | 12.0579 | 8.6266 | 5.9864 | 10.3122 | 19.7653 |
| ADF test | −29.7948 ** | −17.1676 ** | −37.5623 ** | −27.2110 ** | −17.3607 ** | −35.2048 ** | −35.8301 ** | −32.8214 ** | −34.9397 ** |
| Observations | 1260 | 1260 | 1260 | 1260 | 1260 | 1260 | 1260 | 1260 | 1260 |
| Panel B: Pre-crisis period (2 August 2004 to 18 July 2007) | |||||||||
| Mean | 0.0477 | 0.0721 | 0.0797 | 0.0545 | 0.0569 | 0.1300 | 0.1151 | 0.1304 | 0.1301 |
| Median | 0.0596 | 0.0910 | 0.1219 | 0.0144 | 0.0701 | 0.1144 | 0.0555 | 0.2108 | 0.1338 |
| Maximum | 2.2614 | 2.6220 | 2.7766 | 3.5518 | 2.8932 | 4.1818 | 8.0492 | 6.2996 | 9.2462 |
| Minimum | −3.4177 | −3.0584 | −4.6597 | −3.6684 | −2.8766 | −5.5808 | −9.3062 | −7.3263 | −10.7884 |
| Std. Dev. | 0.6435 | 0.7368 | 0.7241 | 0.9513 | 0.6612 | 1.1264 | 1.5497 | 1.2813 | 1.7221 |
| Skewness | −0.2474 | −0.4725 | −0.7768 | −0.3647 | −0.4476 | −0.2487 | −0.4860 | −0.7565 | −0.8911 |
| Kurtosis | 4.4435 | 5.0650 | 7.0114 | 4.7469 | 5.5629 | 4.5510 | 7.6762 | 7.3546 | 9.1114 |
| Observations | 773 | 773 | 773 | 773 | 773 | 773 | 773 | 773 | 773 |
| Panel C: Crisis period (19 July 2007 to 30 May 2009) | |||||||||
| Mean | −0.1032 | −0.1259 | −0.1117 | −0.1361 | −0.0833 | −0.0367 | −0.0721 | −0.0019 | −0.0874 |
| Median | 0.0000 | −0.0189 | 0.0021 | 0.0000 | −0.0002 | 0.0000 | 0.0000 | 0.0161 | −0.0008 |
| Maximum | 10.9019 | 9.9199 | 16.0461 | 12.2917 | 8.8611 | 10.8596 | 9.0409 | 15.0785 | 23.1743 |
| Minimum | −9.4087 | −8.4287 | −6.9133 | −9.6851 | −8.7142 | −9.9400 | −8.0253 | −12.1159 | −19.8503 |
| Std. Dev. | 2.2052 | 1.9198 | 1.8565 | 2.1486 | 1.9783 | 2.3650 | 2.4445 | 2.4770 | 3.3310 |
| Skewness | −0.0823 | 0.2220 | 1.3498 | −0.1035 | −0.0082 | −0.0435 | 0.0061 | −0.0274 | 0.0146 |
| Kurtosis | 6.9832 | 7.2817 | 17.4736 | 7.0402 | 6.3743 | 5.8098 | 4.2753 | 7.2795 | 14.5368 |
| Observations | 487 | 487 | 487 | 487 | 487 | 487 | 487 | 487 | 487 |
| Equity Market | France | Germany | Japan | U.K. | Brazil | China | India | Russia | |
|---|---|---|---|---|---|---|---|---|---|
| Panel A. Correlation coefficients | |||||||||
| Pre-crisis period | 0.64 | 0.69 | 0.28 | 0.62 | 0.65 | 0.07 | 0.27 | 0.31 | |
| Crisis period: naive | 0.75 | 0.77 | 0.41 | 0.74 | 0.75 | 0.12 | 0.40 | 0.48 | |
| Crisis period: adjusted | 0.34 | 0.37 | 0.14 | 0.34 | 0.34 | 0.04 | 0.14 | 0.17 | |
| Unadjusted correlation test: | t-stat | 3.63 | 3.20 | 2.64 | 3.89 | 3.36 | 0.82 | 2.63 | 3.42 |
| p-value | 0.02 | 0.03 | 0.04 | 0.02 | 0.02 | 0.24 | 0.04 | 0.02 | |
| Adjusted correlation test: | t-stat | −7.04 | −7.99 | −2.40 | −6.62 | −7.32 | −0.60 | −2.32 | −2.58 |
| p-value | 0.00 | 0.00 | 0.05 | 0.00 | 0.00 | 0.30 | 0.05 | 0.04 | |
| Panel B. Regression coefficients | |||||||||
| Pre-crisis period | 0.74 | 0.78 | 0.41 | 0.64 | 1.17 | 0.19 | 0.55 | 0.81 | |
| se | 0.03 | 0.03 | 0.05 | 0.03 | 0.05 | 0.08 | 0.07 | 0.09 | |
| t-stat | 23.87 | 26.94 | 8.26 | 22.68 | 24.34 | 2.29 | 7.92 | 9.42 | |
| Crisis period: naive | 0.69 | 0.68 | 0.43 | 0.70 | 0.86 | 0.15 | 0.51 | 0.81 | |
| se | 0.03 | 0.03 | 0.04 | 0.03 | 0.03 | 0.05 | 0.05 | 0.07 | |
| t-stat | 25.20 | 27.16 | 10.01 | 24.67 | 25.26 | 2.78 | 9.78 | 12.15 | |
| Crisis period: adjusted | 0.26 | 0.26 | 0.16 | 0.26 | 0.32 | 0.06 | 0.19 | 0.31 | |
| se | 0.01 | 0.01 | 0.02 | 0.01 | 0.01 | 0.02 | 0.02 | 0.03 | |
| t-stat | 25.20 | 27.16 | 10.01 | 24.67 | 25.26 | 2.78 | 9.78 | 12.15 | |
| Panel C: Factor loadings | |||||||||
| Pre-crisis | 2.03 | 1.92 | 2.73 | 1.84 | 3.00 | 0.90 | 4.36 | 4.99 | |
| se | 0.02 | 0.03 | 0.09 | 0.02 | 0.05 | 0.25 | 0.54 | 0.82 | |
| t-stat | 96.68 | 69.54 | 29.87 | 90.32 | 58.33 | 3.68 | 8.15 | 6.08 | |
| Crisis period | 0.91 | 1.15 | 1.29 | 0.90 | 1.05 | 1.16 | 1.57 | 1.31 | |
| se | 0.15 | 0.39 | 0.56 | 0.33 | 0.49 | 0.35 | 0.75 | 1.66 | |
| t-stat | 6.31 | 2.94 | 2.30 | 2.76 | 2.15 | 3.36 | 2.11 | 0.79 | |
| T-test: | t-stat | −170.53 | −43.35 | −56.83 | −64.26 | −88.89 | 14.56 | −72.25 | −45.74 |
| p-value | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |
| Panel D: Hansen’s J-test for identification | |||||||||
| Pre-crisis | 0.19 | 0.18 | 0.27 | 0.22 | 0.21 | 0.52 | 0.30 | 0.28 | |
| p-value | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | |
| Crisis | 0.59 | 1.05 | 0.72 | 0.64 | 0.73 | 0.48 | 0.80 | 0.88 | |
| p-value | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | |
| Panel E. Tests for structural stability | |||||||||
| Ghysels–Hall test | 110.90 | 108.47 | 88.99 | 121.95 | 106.39 | 84.90 | 106.60 | 109.65 | |
| p-value | 0.07 | 0.09 | 0.51 | 0.01 | 0.11 | 0.63 | 0.11 | 0.08 | |
| Break in factor loadings | 195.86 | 102.28 | 111.27 | 153.25 | 158.50 | 72.79 | 109.34 | 75.09 | |
| p-value | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |
| Break in number of factors | 0.59 | 1.05 | 0.72 | 0.64 | 0.73 | 0.48 | 0.80 | 0.88 | |
| p-value | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | |
| Equity Market | France | Germany | Japan | U.K. | Brazil | China | India | Russia | |
|---|---|---|---|---|---|---|---|---|---|
| Panel A. Correlation coefficients | |||||||||
| Pre-crisis period | 0.57 | 0.60 | 0.19 | 0.53 | 0.50 | 0.13 | 0.20 | 0.16 | |
| Crisis period: naive | 0.63 | 0.68 | 0.33 | 0.65 | 0.62 | 0.09 | 0.35 | 0.40 | |
| Crisis period: adjusted | 0.17 | 0.19 | 0.08 | 0.17 | 0.16 | 0.02 | 0.08 | 0.09 | |
| Unadjusted correlation test: | t-stat | 1.78 | 2.45 | 2.49 | 3.22 | 3.07 | −0.76 | 2.99 | 4.64 |
| p-value | 0.09 | 0.05 | 0.04 | 0.02 | 0.03 | 0.25 | 0.03 | 0.01 | |
| Adjusted correlation test: | t-stat | −8.23 | −8.74 | −2.16 | −7.18 | −6.68 | −1.98 | −2.09 | −1.18 |
| p-value | 0.00 | 0.00 | 0.06 | 0.00 | 0.00 | 0.07 | 0.06 | 0.16 | |
| Panel B. Regression coefficients | |||||||||
| Pre-crisis period | 0.73 | 0.68 | 0.37 | 0.57 | 0.99 | 0.34 | 0.47 | 0.51 | |
| se | 0.04 | 0.03 | 0.06 | 0.03 | 0.06 | 0.09 | 0.08 | 0.10 | |
| t-stat | 19.77 | 21.67 | 5.8 | 18.01 | 16.35 | 3.98 | 5.79 | 4.96 | |
| Crisis period: naive | 0.52 | 0.44 | 0.28 | 0.56 | 0.47 | 0.07 | 0.36 | 0.49 | |
| se | 0.03 | 0.02 | 0.04 | 0.03 | 0.03 | 0.03 | 0.04 | 0.05 | |
| t-stat | 18.15 | 20.89 | 7.73 | 19.02 | 17.58 | 2.05 | 8.46 | 9.81 | |
| Crisis period: adjusted | 0.12 | 0.10 | 0.07 | 0.13 | 0.11 | 0.02 | 0.08 | 0.11 | |
| se | 0.01 | 0.00 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | |
| t-stat | 18.15 | 20.89 | 7.73 | 19.02 | 17.58 | 2.05 | 8.46 | 9.81 | |
| Panel C: Factor loadings | |||||||||
| Pre-crisis | 1.63 | 1.49 | 1.63 | 1.40 | 2.35 | 0.66 | 2.99 | 2.97 | |
| se | 0.06 | 0.05 | 0.15 | 0.04 | 0.19 | 0.46 | 0.42 | 1.98 | |
| t-stat | 26.1 | 30.22 | 10.62 | 38.59 | 12.31 | 1.43 | 7.05 | 1.5 | |
| Crisis period | 0.91 | 0.87 | 1.17 | 0.99 | 0.62 | 0.75 | 1.18 | 1.15 | |
| se | 0.6 | 0.42 | 0.99 | 0.62 | 0.54 | 0.83 | 1.13 | 2.06 | |
| t-stat | 1.52 | 2.06 | 1.19 | 1.59 | 1.17 | 0.91 | 1.05 | 0.56 | |
| T-test: | t-stat | −26.47 | −32.44 | −10.06 | −14.62 | −68.85 | 2.27 | −33.89 | −15.62 |
| p-value | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.05 | 0.00 | 0.00 | |
| Panel D: Hansen’s J-test for identification | |||||||||
| Pre-crisis | 0.21 | 0.19 | 0.35 | 0.22 | 0.23 | 0.46 | 0.35 | 0.43 | |
| p-value | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | |
| Crisis | 0.64 | 0.87 | 0.81 | 0.6 | 0.79 | 0.71 | 0.65 | 0.82 | |
| p-value | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | |
| Panel E. Tests for structural stability | |||||||||
| Ghysels-Hall test | 117.31 | 111.19 | 98.09 | 127.19 | 119.28 | 112.23 | 111.62 | 123.49 | |
| p-value | 0.03 | 0.06 | 0.26 | 0.01 | 0.02 | 0.06 | 0.06 | 0.01 | |
| Break in factor loadings: Hall test | 139.76 | 119.73 | 110.03 | 150.6 | 148.48 | 80.89 | 118.36 | 50.17 | |
| p-value | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.05 | 0.00 | 0.00 | |
| Break in number of factors | 0.64 | 0.87 | 0.81 | 0.6 | 0.79 | 0.71 | 0.65 | 0.82 | |
| p-value | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | |
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Gajurel, D.; Dungey, M. Systematic Contagion Effects of the Global Finance Crisis: Evidence from the World’s Largest Advanced and Emerging Equity Markets. J. Risk Financial Manag. 2023 , 16 , 182. https://doi.org/10.3390/jrfm16030182
Gajurel D, Dungey M. Systematic Contagion Effects of the Global Finance Crisis: Evidence from the World’s Largest Advanced and Emerging Equity Markets. Journal of Risk and Financial Management . 2023; 16(3):182. https://doi.org/10.3390/jrfm16030182
Gajurel, Dinesh, and Mardi Dungey. 2023. "Systematic Contagion Effects of the Global Finance Crisis: Evidence from the World’s Largest Advanced and Emerging Equity Markets" Journal of Risk and Financial Management 16, no. 3: 182. https://doi.org/10.3390/jrfm16030182
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Essays on international financial markets, firms’ capital structure and exporting decisions
Bose, Udichibarna (2016) Essays on international financial markets, firms’ capital structure and exporting decisions. PhD thesis, University of Glasgow.
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International finance studies the dynamics in the areas such as international portfolio diversification, foreign investments, global financial systems, exchange rates, etc. This thesis brings together a set of chapters that summarises and synthesises varied areas of international finance maintaining a balance between the micro- and macro-level studies. This thesis is composed of three main empirical chapters contributing to varied aspects of international finance, mainly the areas of international portfolio diversification and home bias puzzle; development of bond markets and access to external finance; exchange rate uncertainties, output volatility and exports. Chapter 1 provides an outline and introduction of the thesis. Chapter 2 provides an extensive literature review on home-bias puzzle, explains the evolution and existence of home-bias puzzle, and gives various institutional and behavioural-based explanations which are considered as the main reasons for the existence of this puzzle. It discusses the advantages of international portfolio diversification and also the disadvantages of under-diversification in international portfolios. It gives a detailed empirical literature on the home bias puzzle and the relation between education and portfolio diversification. Further, this chapter empirically analyses a panel of 38 countries over a period of 2001-2010 to study the impact of different levels of education on home bias and international portfolio diversification. The results highlight that education is crucial in reducing equity home bias. After dividing the countries on the basis of their stock market capitalisation the results show that less developed countries with more university graduates have lower equity home bias. Finally, the results show that the benefits of education are larger during the recent financial crisis for the less financially developed economies. Chapter 3 provides a detailed analysis of the trends in Asian financial markets since the 1990s. It provides the main objectives of the Asian bond market policy initiatives. It also gives a detailed empirical literature of external finance, bond market development across the world and external finance-investment spending nexus. This chapter empirically analyses the impact of policy initiatives co-ordinated by Asian national governments on firms' access to external finance by using a unique firm-level database of eight Asian countries- Hong Kong SAR, Indonesia, Korea, Malaysia, Philippines, Singapore, Taiwan and Thailand over the period of 1996-2012. Using difference-in-differences approach and controlling for firm-level and macroeconomic factors the results show a significant impact of policy on firms' access to external finance. After splitting firms into constrained and unconstrained, using several criteria, the results document that unconstrained firms benefited significantly in obtaining external finance as compared to their constrained counterparts. Finally, the results show that the increase in access to external finance, after the policy initiative, helped firms to raise their investment spending, especially for unconstrained firms. Chapter 4 focuses on how exporting decision of firms are affected by volatility at the macro and micro levels, using a rich dataset of UK manufacturing firms for the period of 1990-2009. The results show that both types of volatility have an adverse impact on firms’ real export sales. After taking into account firm-level heterogeneity, the results show that the negative impact of exchange rate and firm volatility on exports is higher for constrained firms as compared to unconstrained firms. Further, this chapter considers the European Exchange Rate Mechanism (ERM) crisis of early 1990s and the global financial crisis of 2008. The results indicate that during the ERM crisis constrained firms face a significant adverse impact of exchange rate volatility on exports, while the impact of firm-level volatility is mostly insignificant. On the contrary, during the global financial crisis, constrained firms face a significant negative impact of firm-level volatility on exports and an insignificant impact of exchange rate volatility on exports. Finally, Chapter 5 provides the conclusion of the thesis highlighting the contributions, implications and future research avenues of each empirical chapter.
| Item Type: | Thesis (PhD) | ||||||||||||||||||||||||||||||||||||||||||
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| Qualification Level: | Doctoral | ||||||||||||||||||||||||||||||||||||||||||
| Additional Information: | I appreciatively acknowledge financial support from the Economic and Social Research Council (ESRC) for my PhD studies. Attending conferences could not have been possible but for the generosity extended by the Scottish Institute for Research in Economics (SIRE) and Royal Economic Society (RES) in granting me financial support. | ||||||||||||||||||||||||||||||||||||||||||
| Keywords: | International finance, capital structure, exporting decisions, emerging markets finance, equity home-bias | ||||||||||||||||||||||||||||||||||||||||||
| Subjects: | > > > | ||||||||||||||||||||||||||||||||||||||||||
| Colleges/Schools: | > > | ||||||||||||||||||||||||||||||||||||||||||
| Supervisor's Name: | MacDonald, Prof. Ronald and Tsoukas, Dr. Serafeim | ||||||||||||||||||||||||||||||||||||||||||
| Date of Award: | 2016 | ||||||||||||||||||||||||||||||||||||||||||
| Depositing User: | |||||||||||||||||||||||||||||||||||||||||||
| Unique ID: | glathesis:2016-7117 | ||||||||||||||||||||||||||||||||||||||||||
| Copyright: | Copyright of this thesis is held by the author. | ||||||||||||||||||||||||||||||||||||||||||
| Date Deposited: | 11 Mar 2016 09:34 | ||||||||||||||||||||||||||||||||||||||||||
| Last Modified: | 25 Mar 2016 13:19 | ||||||||||||||||||||||||||||||||||||||||||
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| (2015) PhD thesis, London School of Economics and Political Science. This thesis examines the emergence of risk oversight since the global financial crisis, considering how different actors construct the idea of oversight and examining multi-level accountabilities that make it an organisational reality. The practice of oversight is assessed by 61 interviews and 17 weeks of field immersion in major financial institutions in London. The research questions are: ‘How does the practice of risk oversight differ from management?’, ‘How has the concept of oversight evolved?’, ‘Where exactly within financial organisations does risk oversight happen?’, and ‘How do Risk Committee members operationalise their risk oversight role?’ Tentative conclusions are also drawn on the extent to which enhancements in risk oversight since the crisis have strengthened financial institutions’ ability to manage risk. The first empirical chapter considers the evolution of regulatory attitudes to risk oversight before and after the financial crisis, and discusses the changing role of non-executives. The second empirical chapter on board risk committees discusses their accountability and relationships, both within and outside the firm. It shows board risk committee members to be an important part of the fabric of oversight who are still ‘feeling their way’ towards a stable definition of their roles and functions. The third empirical chapter discusses how oversight is organised within financial institutions. This is now commonly done through the ‘Three Lines of Defence’ framework. This is an idealised framework for risk governance that delineates how three layers of risk involvement (production, risk management and internal audit) are differentiated and also defined by their relations of oversight to each other. The last chapter discusses information intermediaries: the people within firms who create information flows within the oversight structures. Information is at the core of any oversight practice and this chapter shows that providing it to risk overseers, accurately and comprehensively, is a continuous struggle for the various parties involved.
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 Downloads per month over past year View more statistics The deposit insurance system after the global financial crisis: A comparative study between the US, the UK and China--> Ye, Ningyao (2020) The deposit insurance system after the global financial crisis: A comparative study between the US, the UK and China. PhD thesis, University of Leeds.
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Risk communication and culture in banking: What has changed since the global financial crisis?This thesis was inspired by the events of, and subsequent responses to the global financial crisis of 2008. In analysing these, it takes a specific interest in the communication and culture of systemically important banks. In particular, it seeks to assess the development of the risk communication of such banks, both as a ‘standalone’ contributory factor in the crisis’ formation, but also crucially for its value as an indicator of underlying culture in banking. The work is comprised of four main chapters. Its initial aim is to assess the overall response to the crisis by comparing its various identified causes with the measures that have subsequently been taken to address them. This assessment is contained in the thesis first major chapter; a substantial literature review that explores the crisis at a general level, and more specifically how a selection of its major causal factors have been addressed in the post-crisis period. The results guide the thesis in the direction of risk communication and industry culture, as factors that should have underpinned industry robustness to many of the difficulties encountered. The thesis next aims to assess the development of the public communication, and specific risk communication, of global systemically important banks. This involves a comparative analysis of a dataset comprising of 129 annual report documents. The research first measures and compares overall communication volumes before and after the crisis. It then extracts and measures the risk-specific content of this communication. This finds bank communication to have increased substantially by volume at both the headline and risk-specific levels since the occurrence of the crisis. Further, it finds risk-specific communication to have increased as a proportion of the wider annual report document. This line of inquiry is continued in the second empirical chapter, as the risk-specific communication extracted from the wider dataset is examined in further detail. This involves the performance of word-count analyses, again making comparison of practice before and after the crisis. This facilitates comparison among individual risk subsets, and judgement over whether any of the major crisis-related issues might remain potentially under-addressed in the post-crisis era. Ultimately, despite the previously identified substantial volume increases, little change is observed in the relative content of post-crisis risk communication when compared to the pre-crisis period. The final research chapter is based around an original, semi-structured interview study with 11 senior industry professionals, seeking further insights into how the major causes of the crisis have been addressed in the years since it occurred. Specifically, it seeks end-user viewpoints on the effectiveness of post-crisis risk communication in the industry and the extent of general post-crisis progress. Among other insights, it establishes a substantial level of industry agreement with the academic view of industry culture as a contributing factor in the formation of the global financial crisis.
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 The Global Financial Crisis in the USA and The Failure of Central BanksMasters Thesis
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EXTERNAL DEBT AND CURRENCY CRISIS: A GLOBAL PERSPECTIVE. Liumin Chen, B.S. Thesis Advisor: John Hisnanick, Ph.D. ABSTRACT. The history of financial crisis since the 1980s tells us that a high level of external debt. usually makes countries more vulnerable to capital outflows and exchange rate.
Global financial crisis (GFC) and its manageability in the corporate sector are important and beneficial for investors. The GFC has badly affected the performance of the firms. ... Islamic banking financing an alternative solution to global financial crises. PhD thesis. University of Abu-Bakr Belqayd Tlemcen. Google Scholar.
IV DECLARATION Chapter 4 entitled òHave Cash Holdings Changed by the Global Financial Crisis?A Cross-country Analysis has been presented at the following conference: FMA Europe 2018 Conference, Kristiansand, Norway Chapter 5 entitled òThe Effect of Agency Problems and Global Financial Crisis on Dividend Payouts: Evidence Across Countries has been presented at the following
Financial integration has progressively increased over the past decade. Following the global financial crisis and the turmoil that ensued, external financing conditions changed. The global financial architecture went through significant adjustments consequently affecting global financing conditions. Emergent issues in response to the evolving ...
research is still unable to quantify the determinants of severity of crisis across countries. This thesis contributes to knowledge in this area by investigating the impact of the Global Financial Crisis (GFC) on European transition countries. In analysing the transmission of the GFC to these countries and the nature and severity ...
the severity of the financial crisis became evident, economists and policy- makers significantly underestimated its ultimate impact on the real economy, as measured by indicators like GDP growth ...
This paper examines the systematic contagion effects of the global financial crisis of 2007-2009 on the world's largest advanced and emerging equity markets, using the conditional factor model of Dungey and Renault (2018) and and the adjusted correlation coefficient approach of Forbes and Rigobon (2002). Our findings indicate that when applying the Forbes and Rigobon approach, no evidence ...
On the contrary, during the global financial crisis, constrained firms face a significant negative impact of firm-level volatility on exports and an insignificant impact of exchange rate volatility on exports. Finally, Chapter 5 provides the conclusion of the thesis highlighting the contributions, implications and future research avenues of ...
Financial crisis : origins, macroeconomic consequences and policy response. KOPIEC, Paweł. Florence : European University Institute, 2016, EUI, ECO, PhD Thesis. Cite. The global financial crisis of 2007-2008 is considered to have been the worst economic recession since the Great Depression. Its beginning is associated with the bursting of the ...
I, Sarah Cameron, declare that this PhD thesis entitled Citizen Responses to the Global Financial Crisis: A Comparative Study of Participation and Democratic Sup-port contains no material that has been submitted previously, in whole or in part, for the award of any other academic degree or diploma. Except where otherwise
This thesis examines the emergence of risk oversight since the global financial crisis, considering how different actors construct the idea of oversight and examining multi-level accountabilities that make it an organisational reality. The practice of oversight is assessed by 61 interviews and 17 weeks of field immersion in major financial institutions in London.
Since 2008, the global financial crisis (GFC) has, and continues to have, profound effects on all sectors, across all economies. As shown in the literatures, small- and medium-sized enterprises (SMEs) have been particularly affected by the financial crisis: demand has fallen, suppliers are less likely to sell on credit;
Ye, Ningyao (2020) The deposit insurance system after the global financial crisis: A comparative study between the US, the UK and China. PhD thesis, University of Leeds.
57 Avaliabl e at: www.ijssers.org. Global Financial Crisis (GFC) and I ts I mplication on COVID- 19 Pandemic. Crisis. Derwin Tambunan. School of Political Science and International Studies, T he ...
The global financial crisis has been one of the most significant economic shocks in the post-war period. At its core, the crisis originated in credit markets in developed countries - centred particularly in the United States, the United Kingdom and Europe - but the fallout has had a significant effect on activity in every country and region ...
The study suggests that during GFC (Global Financial Crisis) 2008, unemployment reached 10 percent, while in the pandemic, the unemployment spike to 12 percent is still in the crisis. They also found that 3.5 million job workers have already filed an insurance claim to the US government during March.
This thesis investigates whether banks in the Nordic countries (Denmark, Finland, Norway, and Sweden) reclassify financial instruments, in their financial statements of 2008 and 2009. The result of the study shows that 47% of the sample Nordic banks reclassified financial instruments in 2008 and 12% in 2009. All banks increased their net profit ...
management of financial institutions. The crisis management solutions selected by the BoJ during two periods, in the domestic crisis between 2001 and 2006, and during the global financial crisis, have been examined from different aspects in Part 6. Part 7 provides a comparative analysis of the five selected central banks in
This thesis was inspired by the events of, and subsequent responses to the global financial crisis of 2008. In analysing these, it takes a specific interest in the communication and culture of systemically important banks. In particular, it seeks to assess the development of the risk communication of such banks, both as a 'standalone' contributory factor in the crisis' formation, but ...
Phd Thesis on Global Financial Crisis - Free download as PDF File (.pdf), Text File (.txt) or read online for free. phd thesis on global financial crisis
Masters Thesis. Abstract. 2016 dissertation for MSc. Finance and Risk Management. Selected by academic staff as a good example of a masters level dissertation.The mortgages crisis was one of the main causes of the global financial crisis in 2007, leading to the globalisation of the crisis, and the collapse of the financial market. In this.
After the financial crisis in 2008 had begun because of the mortgage backed securities, many people and companies lost money. In year 2009 Satoshi Nakamoto came with an idea; a currency that can be used worldwide. Nakamoto was tired and angry with the third party (banks and financial institutions) that took a commission from money trans-fers.