Debt and financial market contagion
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DOI: 10.1007/s00181-021-02077-5
Abstract: We empirically investigate why financial crises spread from one country to another. For our analysis, we develop a new multiple-channel test of financial market contagion and construct indices of crisis severity in equity markets in… read more here.
Keywords: market contagion; financial market; debt; debt financial ... See more keywords
Endogenous Fundamental and Stock Cycles
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DOI: 10.1007/s10614-016-9631-y
Abstract: A heterogeneous agent model of a financial market with endogenous fundamental value is built to study the recurrence of stock cycles. In a hypothetical economy, a firm produces consumption goods and issues a risk-free corporate… read more here.
Keywords: production; endogenous fundamental; financial market; stock cycles ... See more keywords
Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Applied Mathematics and Computing"
DOI: 10.1007/s12190-017-1119-y
Abstract: In this paper, we study the optimal reinsurance and investment problem in a financial market with jump-diffusion risky asset. It is assumed that the insurance risk model is modulated by a compound Poisson process, and… read more here.
Keywords: financial market; common shock; reinsurance investment; optimal reinsurance ... See more keywords
Dynamics of international spillovers and interaction: Evidence from financial market stress and economic policy uncertainty
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DOI: 10.1016/j.econmod.2017.06.012
Abstract: This study examines the volatility (stress) spillovers in stock, securitized real estate, bond, and currency markets and the economic policy uncertainty spillovers across seven countries. We find that spillovers are important and account for, respectively,… read more here.
Keywords: financial market; policy uncertainty; policy; stress ... See more keywords
Does religious faith affect household financial market participation? Evidence from China
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DOI: 10.1016/j.econmod.2019.10.023
Abstract: Abstract Based on the 2013 China Household Finance Survey data, this paper investigates the impact of religious faith on household financial market participation and portfolio choice. The results show that religious faith can significantly promote… read more here.
Keywords: market participation; household financial; finance; financial market ... See more keywords
Financial market implications of monetary policy coincidences: Evidence from the UK and Euro Area government-bond markets
Sign Up to like & getrecommendations! Published in 2017 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2017.02.006
Abstract: Relatively little is known about the financial market impact of international monetary surprises arising on the same trading day. This paper estimates a suite of multi-security factor models, which captures international monetary surprise effects on… read more here.
Keywords: area government; policy; monetary surprises; market ... See more keywords
Financial market frictions and diversification
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Financial Economics"
DOI: 10.1016/j.jfineco.2017.09.006
Abstract: We find new facts that relate the evolution of firm scope to the changing frictions in external capital markets over the last three decades. We find that large, diversified publicly traded firms increase their scope… read more here.
Keywords: external capital; frictions diversification; market frictions; market ... See more keywords
Extended AIC model based on high order moments and its application in the financial market
Sign Up to like & getrecommendations! Published in 2018 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2018.02.159
Abstract: Abstract In this paper, an extended method of traditional Akaike Information Criteria(AIC) is proposed to detect the volatility of time series by combining it with higher order moments, such as skewness and kurtosis. Since measures… read more here.
Keywords: order; time series; financial market; order moments ... See more keywords
Mean field limit of a behavioral financial market model
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DOI: 10.1016/j.physa.2018.03.079
Abstract: In the past decade there has been a growing interest in agent-based econophysical financial market models. The goal of these models is to gain further insights into stylized facts of financial data. We derive the… read more here.
Keywords: mean field; limit; financial market; model ... See more keywords
The stabilizing effect of social distancing: Cross-country differences in financial market response to COVID-19 pandemic policies
Sign Up to like & getrecommendations! Published in 2021 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2021.101471
Abstract: Abstract COVID-19 has had far-reaching global effects on the health and wellbeing of individuals on every continent. The economic and financial market response has been equally disastrous with high levels of volatility observed. This study… read more here.
Keywords: market response; social distancing; financial market; market ... See more keywords
A financial market model with two discontinuities: Bifurcation structures in the chaotic domain.
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DOI: 10.1063/1.5024382
Abstract: We continue the investigation of a one-dimensional piecewise linear map with two discontinuity points. Such a map may arise from a simple asset-pricing model with heterogeneous speculators, which can help us to explain the intricate… read more here.
Keywords: chaotic domain; bandcount; bifurcation structures; financial market ... See more keywords