Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?

Ahmad, Wasim; Sehgal, Sanjay; Bhanumurthy, N. R.

doi:10.1016/j.econmod.2013.04.009

Cited by 159 publications

(76 citation statements)

References 58 publications

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“…The BRICS have fared relatively well during the EU financial turmoil but, obviously, have not been insulated from the negative shocks generated within the EU. For example, Ahmad et al (2013) find that the BRICS stock markets have been hit strongly during the Eurozone crisis period, with Italy, Spain and Ireland being the most contagious for the BRICS. However, the overall degree of the BRICS exposure to the EU shocks remains insufficiently examined as other potentially important venues of instability propagation, e.g.…”

Section: Introductionmentioning

confidence: 99%

The Causal Linkages between Sovereign CDS Prices for the BRICS and Major European Economies

Stolbov

2014

Economics

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The article examines causal relationships between sovereign credit default swaps (CDS) prices for the BRICS and most important EU economies (Germany, France, the UK, Italy, Spain) during the European debt crisis. The cross-correlation function (CCF) approach that distinguishes between causality-in-mean and causality-in-variance and the BreitungCandelon causality test in the frequency domain are used in the research. Both tests reveal limited dependence of the BRICS CDS (especially, in the case of Brazil, China and South Africa) on the EU CDS prices. Thus, the paper underscores the signs of decoupling in the sovereign CDS market and also supports the view that the European debt crisis has so far had a limited non-EU impact in this market. JEL C50 G10 G15

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Section: Introductionmentioning

confidence: 99%

The Causal Linkages between Sovereign CDS Prices for the BRICS and Major European Economies

Stolbov

2014

Economics

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“…As a consequences, the impact of the European debt crisis on the interconnectedness between financial markets has attracted great attention of many scholars (e.g., Ahmad, Sehgal and Bhanumurthy, 2013;Petmezas and Santamaria, 2014;Albulescu, Goyeau and Tiwari, 2015). The goal of this paper is to explore spillover effects between Credit Default Swaps (CDS) spreads across the countries that suffered the most from the European sovereign debt crisis, i.e., Greece, Ireland, Italy, Portugal and Spain (GIIPS), and newswire messages in relevance to these stressful economies.…”

Section: Introductionmentioning

confidence: 99%

“…A second strand is in relevance to contagion and co-movements in financial markets (Pericoli and Sbracia, 2003). Ahmad et al (2013) investigate contagion effects between daily returns on developed markets of Greece, Ireland, Portugal, Spain and Italy, the USA, the UK and Japan, and daily returns on emerging stock markets of BRIICKS (Brazil, Russia, India, Indonesia, China, South Korea and South Africa) during the European debt crisis. The empirical results show that Ireland, Italy and Spain appear to be most contagious for BRIICKS markets compared to Greece.…”

Section: Introductionmentioning

confidence: 99%

Media sentiment and CDS spread spillovers: Evidence from the GIIPS countries

Apergis

Lau

Yarovaya

2016

International Review of Financial Analysis

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This study explores the role of newswire messages during the European debt crisis. It quantifies how this news metric, revealed by statements recorded by newspapers articles, affects CDS spillovers across five European countries with sovereign debt problems and strict bail-out programs, i.e. Greece, Ireland, Italy, Portugal, and Spain with daily data spanning the period 2009-2012. Using panel ARDL and asymmetric conditional volatility modelling, the empirical findings document that the news variable generates significant spillover effects across the underlined CDS markets. These findings cast a cloudy doubt on the effectiveness of economic modeling on which CDS spreads are based.

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“…Volatility increases during crisis period by driving contagion into inter-related capital markets which become more correlated during turmoil conditions. In periods of contagion, firms with higher leverage become more vulnerable to market and financial risks (Ahmad et al;2013;Duncan andKabundi, 2013, Hwang et al, 2013 among others). The post-2008 global financial crisis (GFC-2008) failure of giant financial firms (e.g., Lehman Brothers, Goldman Sachs) reminds us that ~ 3 ~ high leverage, inter alia, does not necessarily reduce the firm's overall cost of capital, rather it increases company's risk and chance of failure.…”

Section: Introductionmentioning

confidence: 99%

Leverage versus volatility: Evidence from the capital structure of European firms

et al. 2017

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Use policyThe full-text may be used and/or reproduced, and given to third parties in any format or medium, without prior permission or charge, for personal research or study, educational, or not-for-pro t purposes provided that:• a full bibliographic reference is made to the original source • a link is made to the metadata record in DRO • the full-text is not changed in any way The full-text must not be sold in any format or medium without the formal permission of the copyright holders.Please consult the full DRO policy for further details. Abstract:The impact of leverage on financial market stability and the relationship with the real economy is a key concern among researchers. This paper makes an initial attempt to investigate the relationship between a firm's leverage, return and share price volatility from an Islamic finance perspective and capital structure theory. A multi-country dynamic panel framework and the mean-variance efficient frontier are applied to 320 sample firms from eight European countries, divided into portfolios of low and high debt using the shari'ah screening threshold of 33%. We find that the firm's return and volatility change with changes in the capital structure. Islamiccompliant stocks show, in most cases, less volatility than non-compliant stocks but are no different in terms of return. Finally, our results imply a case for limiting debt beyond certain levels.

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Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?

Cited by 159 publications

References 58 publications

The Causal Linkages between Sovereign CDS Prices for the BRICS and Major European Economies

The Causal Linkages between Sovereign CDS Prices for the BRICS and Major European Economies

Media sentiment and CDS spread spillovers: Evidence from the GIIPS countries

Leverage versus volatility: Evidence from the capital structure of European firms

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