U.S. subprime financial crisis contagion on BRIC and European Union stock markets

ABSTRACTThe Copula Theory was used to analyze contagion among the BRIC (Brazil, Russia, India and China) and European Union stock markets with the U.S. Equity Market. The market indexes used for the period between January 01, 2005 and February 27, 2010 are: MXBRIC (BRIC), MXEU (European Union) and MXUS (United States). This article evaluated the adequacy of the main copulas found in the financial literature using log-likelihood, Akaike information and Bayesian information criteria. This article provides a groundbreaking study in the area of contagion due to the use of conditional copulas, allowing to calculate the correlation increase between indexes with non-parametric approach. The conditional Symmetrized Joe-Clayton copula was the one that fitted better to the considered pairs of returns. Results indicate evidence of contagion effect in both markets, European Union and BRIC members, with a 5% significance level. Furthermore, there is also evidence that the contagion of U.S. financial crisis was more pronounced in the European Union than in the BRIC markets, with a 5% significance level. Therefore, stock portfolios formed by equities from the BRIC countries were able to offer greater protection during the subprime crisis. The results are aligned with recent papers that present an increase in correlation between stock markets, especially in bear markets.

El gran juego: la guerra secreta por el control de Asia Central (1836-1919)

Durant el segle XIX i les primeres dècades del XX, Àsia Central va patir de primera mà la rivalitat entre les dues grans potències europees del moment: Anglaterra i Rússia. Aquest enfrontament va ser batejat pels seus propis participants amb el nom d'El Gran Joc. A diferència d'altres lluites històriques prèvies, el Gran Joc no es va resumir en una guerra, sinó en un cúmul d'elles, que es van succeir al llarg del temps en diferents territoris del centre del continent asiàtic i a les que van acompanyar accions diplomàtiques igualment nombroses. Tot i l'extensió del conflicte, Afganistan es va erigir com el punt clau més rellevant al voltant del qual l'Imperi rus i el britànic van desenvolupar les seves intrigues. Els dos poders europeus, amb els seus respectius objectius en ment, no van dubtar a dur a terme un dels majors desplegaments estratègics mai vist a la zona, valent-se, a més dels seus efectius, dels habitants asiàtics com peons al tauler del seu joc i marcant profundament el futur de les nacions centreasiàtiques, així com establint un precedent en la manera de fer la guerra on la victòria d'una facció sobre una altra mai estaria clara.

Contagion or Interdependence in the recent Global Financial Crisis? An application to the stock markets using unconditional cross-market correlations

We consider stock market contagion as a significant increase in cross-market linkages after a shock to one country or group of countries. Under this definition we study if contagion occurred from the U.S. Financial Crisis to the rest of the major stock markets in the world by using the adjusted (unconditional) correlation coefficient approach (Forbes and Rigobon, 2002) which consists of testing if average crossmarket correlations increase significantly during the relevant period of turmoil. We would not reject the null hypothesis of interdependence in favour of contagion if the increase in correlation only suggests a continuation of high linkages in all state of the world. Moreover, if contagion occurs, this would justify the intervention of the IMF and the suddenly portfolio restructuring during the period under study.

Supplément au traité pratique des impôts cédulaires et de l'impôt général sur le revenu au courant de la législation et de la jurisprudence jusqu'au 1er janvier 1928 / par Emmanuel Besson

Collection : Bibliothèque fiscale Dalloz

Itinéraire de Bône à Constantine et marche de l'armée expéditionnaire en novembre 1836 : Sous les ordres de M. le Maréchal Clausel, avec les plans Drean, Nechmeya et Guelma / Dessiné par Ginoux ; Toulon, Lith[ographe] Imbert

Échelle(s) : [ca 1:226 000], 1 Lieue de poste [= 1,9 cm]

Free Flows, Limited Diversification: Explaining the Fall and Rise of Stock Market Correlations, 1890-2001

Using a new dataset on capital account openness, we investigate why equity return correlations changed over the last century. Based on a new, long-run dataset on capital account regulations in a group of 16 countries over the period 1890-2001, we show that correlations increase as financial markets are liberalized. These findings are robust to controlling for both the Forbes-Rigobon bias and global averages in equity return correlations. We test the robustness of our conclusions, and show that greater synchronization of fundamentals is not the main cause of increasing correlations. These results imply that the home bias puzzle may be smaller than traditionally claimed.

Kajaani 29/10 1928

Kirje

Kajaani 19/12 1928

Kirje 19.12.1928

A comparison of stock market mechanisms

This paper studies the relationship between the amount of publicinformation that stock market prices incorporate and the equilibriumbehavior of market participants. The analysis is framed in a static, NREEsetup where traders exchange vectors of assets accessing multidimensionalinformation under two alternative market structures. In the first(the unrestricted system), both informed and uninformed speculators cancondition their demands for each traded asset on all equilibrium prices;in the second (the restricted system), they are restricted to conditiontheir demand on the price of the asset they want to trade. I show thatinformed traders incentives to exploit multidimensional privateinformation depend on the number of prices they can condition upon whensubmitting their demand schedules, and on the specific price formationprocess one considers. Building on this insight, I then give conditionsunder which the restricted system is more efficient than the unrestrictedsystem.

With a bang, not a whimper: Pricking Germany's "stock market bubble" in 1927 and the slide into depression

In May 1927, the German central bank intervenedindirectly to reduce lending to equity investors.The crash that followed ended the only stockmarket boom during Germany s relative stabilization 1924-28. This paper examines thefactors that lead to the intervention as well asits consequences. We argue that genuine concernabout the exuberant level of the stock market,in addition to worries about an inflow offoreign funds, tipped the scales in favour ofintervention. The evidence strongly suggeststhat the German central bank under HjalmarSchacht was wrong to be concerned aboutstockprices-there was no bubble. Also, theReichsbank was mistaken in its belief thata fall in the market would reduce theimportance of short-term foreign borrowing,and help to ease conditions in the money market.The misguided intervention had important realeffects. Investment suffered, helping to tipGermany into depression.