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News media sentiment and investor behavior
Kräussl, Roman; Mirgorodskaya, Elizaveta - 2014
This paper investigates the impact of news media sentiment on financial market returns and volatility in the long-term. We hypothesize that the way the media formulate and present news to the public produces different perceptions and, thus, incurs different investor behavior. To analyze such...
Persistent link: https://www.econbiz.de/10010427987
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Idiosyncratic risks, bailout, and financial crisis : a copula approach
Wang, Daphne; Nguyen Khoa Huu - In: Global business and finance review 20 (2015) 1, pp. 53-70
Persistent link: https://www.econbiz.de/10011434259
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Contagion risks in emerging stock markets : new evidence from Asia and Latin America
Thi Bich Ngoc Tran - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-20
The purpose of this study is to investigate whether contagion actually occurred during three well-known financial crises in 1990s and 2000s: Mexican “Tequila” crisis in 1994, Asian “flu” crisis in 1997 and US subprime crisis in 2007. We apply dynamic conditional correlation models...
Persistent link: https://www.econbiz.de/10011960394
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Crisis Sentiment and Banks’ Stock Price Crash Risk : A Missing Piece of The Puzzle?
Tzomakas, Christos; Anastasiou, Dimitrios; Katsafados, … - 2022
This study examines empirically whether the stock price crash risk of euro area banks’ is affected by crisis sentiment … price crash risk and crisis sentiment; including text and Google-search based to market-based proxies. Our results reveal a … positive and significant relationship between crisis sentiment and stock price crash risk, implying that higher crisis …
Persistent link: https://www.econbiz.de/10014255192
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Liquidity risk and contagion
Cifuentes, Rodrigo (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003045019
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Tackling the volatility paradox : spillover persistence and systemic risk
Kubitza, Christian - 2024
dimension of systemic risk and financial constraints as a key determinant of persistence. …
Persistent link: https://www.econbiz.de/10015176897
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Disentangling crashes from tail events
Aboura, Sofiane - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 206-219
Persistent link: https://www.econbiz.de/10011348417
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Tackling the volatility paradox: spillover persistence and systemic risk
Kubitza, Christian - 2021 - This version: April 13, 2021
exploring a novel dimension of systemic risk: loss dynamics. I document that Spillover Persistence declines when fragility … builds up, during the run-up phase of crises and asset price bubbles, and increases when systemic risk materializes …
Persistent link: https://www.econbiz.de/10012499703
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Coordination failures, bank runs and asset prices
Bucher, Monika; Dietrich, Diemo; Tvede, Mich - 2018
secondary asset markets. While all banks are subject to extrinsic risk, a bank's portfolio choice determines whether it is prone …
Persistent link: https://www.econbiz.de/10011903708