Measuring the Impact of Financial Crisis on International Markets: An Application of the Financial Stress Index

Abstract

The scope of paper is to examine whether the recent financial crisis has had any impact on international capital markets and more precisely on the 4 primary international stock markets of England, France, Japan, the United States and Greece. The research is based on the use of the Financial Stress Index (FSI) from July 2005 until December 2008 and August 2009. Research results showed that the recent financial crisis has had a negative impact on all examined markets, with the Tokyo stock exchange being the one mostly affected. It was, also, found increased variability of performances following the start of the financial crisis, a fact that is indicative of the presence of conditional heteroscedasticity. As far as the Greek market is concerned, the recent financial crisis has not affected in general the credit expansion towards enterprises and households; however, it has affected the credit expansion to enterprises and households on a case-to-case basis

Investigating Impact of US, Europe, Frontier and BRIC Stock Markets on Indian Financial Stress Index

“…The studies, like Goldstein and Xie (2009), Roye (2014) and Wallace (2013), have captured the impact of the fi nancial stress on economic activities across different countries with the fi ndings that the fi nancial stress does have an impact on different economic activities of an economy like GDP, infl ation numbers, etc. There are some studies which have gone one step ahead and tried to account for the impact of the fi nancial stress on the stock markets as well (see for detail Christopoulos et al, 2011 andRachdi, 2013). Almost all of the studies have analysed the impact of the fi nancial stress on some type of economic activity, but till now not much work has been done to see what factors have an impact on the fi nancial stress, particularly the impact of global stock markets on the domestic fi nancial stress.…”

Return Spillovers Between Emerging Markets’ Financial Stress and Equity Markets of Bric-T Countries

“…A cross-country study performed by Christopoulos et al (2011) analyzes the potential impact of the financial crisis quantified by the financial stress index on major stock markets of England, France, Japan, the United States, and Greece. The index utilized is developed for each country based on data belonging to the banking systems, securities markets, and the foreign exchange markets of each individual country.…”

Performance et crise financière :

“…II est reconnu que la récente crise a eu un impact négatif sur la performance des marchés à un niveau mondial(Kiff et al, 2010;Christopoulos et al, 2011). Une étude menée par le Secrétariat des pays de l'Organisation de Coopération et de Développement Économiques (OCDE) en 2009 reconnaissait déjà les effets de la crise dans la plupart des entreprises du regroupement, entre autres, à travers la diminution des investissements en innovation, en développement et formation des ressources humaines.…”