Detecting abnormal changes in credit default swap spreads using matching-portfolio models

Bertoni, Fabio; Lugo, Stefano

doi:10.1016/j.jbankfin.2018.03.009

Cited by 8 publications

(3 citation statements)

References 48 publications

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“…The TRBC is robust in the sense that the price movements of securities within the same group show statistically significant correlations at all hierarchical levels (Horrell & Meraz, 2009). Also, the classification has been used widely in literature (e.g., Adachi‐Sato and Vithessonthi (2019); Bertoni and Lugo (2018); Roulet and Touboul (2015)).…”

Section: Methodsmentioning

confidence: 99%

Firm internationalization and long‐term impact of the Covid‐19 pandemic

Nagarajan

Sharma

2021

Manage Decis Econ

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We infer market expectations regarding the relationship between firm internationalization and the long‐term impact of the Covid‐19 pandemic by using a novel approach to decompose global stock prices into their short‐ and long‐term value components. In general, firms with a greater proportion of foreign assets show greater losses in the long‐term value component, suggesting investor expectations of higher supply‐chain restructuring costs for such firms. Also, investors appear to have priced in the likely permanent benefits of such restructuring for firms from emerging Asian economies, as these economies may be well‐placed as alternative sourcing bases to China.

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Section: Methodsmentioning

confidence: 99%

Firm internationalization and long‐term impact of the Covid‐19 pandemic

Nagarajan

Sharma

2021

Manage Decis Econ

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“…In the past few years, China has experienced a series of changes in the financial environment, including the liberalization of deposit interest rate ceilings, the approval of private banks, and the tightening of Internet financial regulations. With many competitors from other non-financial industries such as the Internet industry, China's commercial banks are facing huge challenges under the environment and competitive pressures [1]. Commercial banks are facing changes and there are many ways to change, but it is undeniable that embracing fintech and allowing fintech to enter commercial banks is a very efficient method [2].…”

Section: Introductionmentioning

confidence: 99%

“…To better describe the impact of the introduction of blockchain technology on China Merchants Bank's stock price, this article segments the "event window" interval from 10 trading days before the event, 10 trading days after the event, and the entire event window. Interval analysis, t = [-10, -1], t =[1,10], and t = t =[-10,10]. this article uses the one-sample T test to test the significance of the abnormal return rate of agricultural banks in each interval.…”

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confidence: 99%

New Model of Sustainable Supply Chain Finance Based on Blockchain Technology

Saračević¹,

Wang²,

Zukorlic³

et al. 2021

AJBOR

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Blockchain technology has received more and more attention from all walks of life and has also been sought after by the market and financial institutions. More and more financial institutions and Internet companies have begun to participate in the research of blockchain technology. The application scenarios are also constantly expanding, and the landing in the financial field is the focus of all social concerns. This article takes Agricultural Bank as an example, analyzes its current advantages and disadvantages in using blockchain technology, and proposes policy recommendations based on this to provide a reference for joint-stock commercial banks to better use blockchain technology to improve business performance. Based on the theoretical analysis, this article studies the use of blockchain technology by joint-stock commercial banks, and selects Agricultural Bank, which has a well-developed financial technology in joint-stock commercial banks, as a case study. From the operating background of the agricultural bank and the cross-border payment and settlement business, the background begins with the agricultural bank's own business practices in blockchain technology and the traditional cross-border business and the innovative development of agricultural bank's blockchain technology, and then the application of event analysis to the application effects of agricultural bank's blockchain technology analysis. This paper analyzes the SWOT-PEST of the agricultural bank's use of blockchain technology, combined with the theoretical analysis of blockchain technology in this article, comprehensively analyzes the agricultural bank's use of blockchain technology in four aspects: policy, economy, society, and technology. Strengths, weaknesses, opportunities, and challenges. Through analysis, we can have a comprehensive view on the application of blockchain technology by Agricultural Bank, and based on this, we can summarize the problems that Agricultural Bank may have in applying blockchain technology. Through the analysis of the blockchain, we can see that the growth rate of agricultural bank's net profit was higher in 2013 and 2014. Finally, the article puts forward suggestions for the development of agricultural bank under the blockchain technology.

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