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

Bergmann, Daniel Reed; Securato, José Roberto; Savóia, José Roberto Ferreira; Contani, Eduardo Augusto do Rosário

doi:10.5700/rausp1196

Cited by 6 publications

(18 citation statements)

References 29 publications

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“…Aloui et al (2011) showed that the copula models presented the best fit during periods of crisis and that extreme dependence among emerging market pairs was generally lower in bear markets than bull markets, which may indicate a low probability of simultaneous shocks. Corroborating these findings, Bergmann et al (2015) showed that the use of copula models allowed the links between financial assets to be captured during periods of greater volatility or crisis in a nonparametric approach.…”

Section: The Theoretical Frameworkmentioning

confidence: 79%

“…This study follows the procedures used by Mokni and Mansouri (2017) and Bergmann et al (2015) for the copula functions. We tested the copula functions to identify which of them presented the best fit for the data for measures of dependence.…”

Section: The Research Methodologymentioning

confidence: 99%

“…Copula functions are efficient tools in the task of modeling market dependence due to increased volatility and the complex dynamics of financial asset prices (Mokni and Mansouri, 2017). Copula theory offers a flexible methodology for the general modeling of multivariate dependence (Bergmann et al , 2015).…”

Section: Introductionmentioning

confidence: 99%

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Volatility and dependence structures of Latin American stock markets

Cardoso

Ribeiro

Carvalho

2020

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PurposeRisk management has been crucial to investors and regulators for pursuing market diversification opportunities and developing strategies to ensure market stability. This study examines the dependence structures of volatility, related to co-movements and macroeconomic effects, among Latin American stock markets and the risk–return spectrum benefits in the Latin American market using time-varying returns and volatility forecasts within a multivariate structure.Design/methodology/approachThe sample comprised the largest stock markets in Latin America during the period from January 2000 to December 2017 and copulas and multivariate models were applied.FindingsThe results indicated that the copula with the best fit for modeling the dependence structure of the markets was symmetric Joe-Clayton with time-varying parameters. The dependence volatility structure was higher in the positive (upper tail) than in the negative (lower tail) returns, which may indicate that the Latin American markets had diversification benefits during downturns. Evidence of market coupling was found during times of the global crisis (subprime crisis) in Latin America. The presence of monetary and temporal effects over the dependence structures suggests that investors may obtain gains in a multivariate structure with copula distributions.Originality/valueThe findings will be of interest to researchers and practitioners for several reasons. First, this study contributes to the growing literature on the relationship between market dependence and volatility. Second, it indicates that the Latin American markets may present diversification advantages during downturns. Third, it informs the influence of macroeconomic effects on Latin American markets. The models that included the nonnormal and asymmetric characteristics of the financial market yielded better results in terms of less information loss and data adherence.

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Section: The Theoretical Frameworkmentioning

confidence: 79%

Section: The Research Methodologymentioning

confidence: 99%

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Volatility and dependence structures of Latin American stock markets

Cardoso

Ribeiro

Carvalho

2020

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“…Regarding the period referred to, its relevance stands out due it covering part of the time horizon marked by the economic recession in Brazil, starting in 2009 and worsening in 2015 (Martins & Paulo, 2016). This is because with the integration between the markets economic environments characterized like this could interfere with the disclosure and information asymmetry, affecting the pricing of the firms' assets via investor perception (Bergmann, Securato, Savoia & Contani, 2015;Martins & Paulo, 2016).…”

Section: Methodological Proceduresmentioning

confidence: 99%

“…For this, other studies could consider this aspect. Assuming that certain characteristics of the economic hypothesis can be generators of differences in perception and utility of the disclosure (Bergmann et al, 2015;Lopes et al, 2007;Martins & Paulo, 2016), the Brazilian stock market may not attribute relevance to the information on risk management established due to inefficiencies in this market.…”

Section: Based Onmentioning

confidence: 99%

Value-relevance of disclosure: risk factors and risk management in Brazilian firms

Santos

Coelho

2018

Rev. contab. finanç.

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This study investigated whether the disclosure in accounting reports of information on risk and its management affects, at the margin, firm valuations in the Brazilian capital market. It questioned the existence of value relevance in the disclosure of information related to risk factors and risk management structures. The importance of the topic arises from the documentation that disclosure on risk factors plays a statistically significant role in valuing firms in a context marked by economic and political uncertainty, as is the case of the Brazilian market. The findings confirmed that information about risk shows informational relevance for firm valuations. Information on risk management in a firm, in turn, was not shown to be significant in terms of affecting company share valuations. The investigation of detailed reports with different risk factors indicated that individualized information shows different degrees of relevance for company valuations. It is inferred that the disclosure of risk factors affects the perception of investors, who also base their estimates of return on the availability and detail of such information. It is also observed that information on risk management structure was not shown to be value relevant; moreover, few firms published information on the establishment of this type of entity in their management structures. The residual income valuation (RIV) model (Ohlson, 1995) was applied using regressions with panel data estimation related to the three years covering 2012 to 2014. The sample, which was randomly delimited, was formed of 100 companies. The data on disclosure of risk and disclosure of risk management were collected from the companies’ Reference Forms, available from the website of the São Paulo Stock, Commodities, and Futures Exchange (BM&FBOVESPA). As an impact on the area of knowledge, broader discussions are expected regarding the utility of disclosure on the topic related to risk factors and the existence of a specific body responsible for risk management in firms, according to investors’ perceptions. It also contributes by providing evidence about the quality of disclosure related to risk (factors and management) and the perception of the capital market regarding the informativeness and relevance of such elements.

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Prediction of Financial Contagion and Spillover Effects of the US Financial Crisis Using Google Index

Yamaka,

Panyawai

2024

Studies in Systems, Decision and Control

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

Cited by 6 publications

References 29 publications

Volatility and dependence structures of Latin American stock markets

Volatility and dependence structures of Latin American stock markets

Value-relevance of disclosure: risk factors and risk management in Brazilian firms

Prediction of Financial Contagion and Spillover Effects of the US Financial Crisis Using Google Index

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