Sovereign credit ratings, growth volatility and the global financial crisis

Hassan, Gazi; Wu, Eliza

doi:10.1080/00036846.2015.1058910

Cited by 5 publications

(5 citation statements)

References 25 publications

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“…Lower volatility on the stock market is associated with higher price accuracy. Volatility is higher during periods of increased uncertainty and risk (Hassan and Wu 2015). Lee et al (2015) conclude that companies that are less transparent on the market have higher idiosyncratic risk and total risk than other companies.…”

Section: Dalymentioning

confidence: 98%

Impact of MiFID II on the Market Volatility—Analysis on Some Developed and Emerging European Stock Markets

Miloş

2021

Laws

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The paper investigates whether the implementation of MiFID II, a packet of financial legislation applying broadly to European Union financial markets, has led to a change in the volatility of some European developed and emerging stock markets. We show that for the developed capital markets considered in the analysis, MiFID II did not lead to a decrease in the volatility of capital markets. On the contrary, for all analysis intervals considered (3 months, 6 months, 12 months, 18 months and 24 months), the impact on volatility is positive, with volatility increasing in the case of the FTSE 100, CAC40 and DAX stock indexes. There is a similar significant relationship for the Czech stock market, but only over the three-month interval. For the Polish and Romanian stock markets, which enforced MiFID II later, a negative impact of MiFID II on volatility could also be observed. In the Romanian market, MiFID II had a negative impact on volatility on the short-term horizon, while for the Polish market, the impact of MiFID II on volatility is noticeable on a longer term of 24 months.

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Section: Dalymentioning

confidence: 98%

Impact of MiFID II on the Market Volatility—Analysis on Some Developed and Emerging European Stock Markets

Miloş

2021

Laws

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“…We generate direct-relation fuzzy matrix2 E o Based on the distinct linguistic scales for 10 experts, we construct a direct-relation fuzzy matrix using Eqs. (3)(4)(5)(6).…”

Section: Second Stage: Establish Fuzzy Decision-making Spacementioning

confidence: 99%

“…Prior studies have analyzed the financial and economic decline that began with the 2008 U.S. sub-prime crisis and that caused global financial turmoil [4][5][6][7]. The fall in the stock market caused financial losses for banks and investors [8].…”

Section: Introductionmentioning

confidence: 99%

Improving Service Quality of Wealth Management Bank for High-Net-Worth Customers During COVID-19: A Fuzzy-DEMATEL Approach

Lin

Chang

Huang

et al. 2021

Int. J. Fuzzy Syst.

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The 2019–2020 COVID-19 pandemic has caused an economic turndown and high volatility in the global financial markets. Determining the factors that influence services to high-net-worth customers who typically have large investments in the financial markets is important for wealth management banks. This study constructs a hybrid approach by integrating the fuzzy logic and Decision-making Trial and Evaluation Laboratory (DEMATEL) methods to identify the most influential criteria affecting the performance of wealth management banks in Taiwan during the 2019–2020 COVID-19 pandemic. Surveys and interviews are designed using four dimensions (bank performance, service quality, customer relationship, and COVID-19) and 16 criteria for 10 banking executives using fuzzy linguistic scales, to obtain their expert opinions. The results show the order of influence as being service quality, customer relationships, bank performance, and COVID-19. The most important criteria are customized investment information (in-service quality), switching behavior (in-customer relationship), fee income (in-bank performance), and the number of confirmed cases in the top five countries affected by COVID-19. The managerial implication is that wealth management banks should focus on improving their service quality. Banks may strive to provide a wide range of customized investment information and increase customers’ usage of personalized financial products and services. The results of this study will benefit bank managers in serving high-net-worth individuals during the crisis period.

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“…Finalmente, es importante considerar la influencia entre los mercados de capitales y las primas de riesgo país en economías emergentes (Agliardi et al, 2012;Oliveira, Curto y Nunes, 2012;Hassan y Wu, 2015). Para el caso específico de México, Cermeño y Solís (2012) aseguran que el mercado de capitales local y el de EUA, éste último con mayor rapidez, responden a la incorporación de nueva información lo que a su vez, impacta en la dinámica de la economía doméstica afectando, de alguna forma, los fundamentales macroeconómicos y con su correspondiente efecto sobre las expectativas de los agentes económicos, capturadas hasta cierto punto en el EMBI.…”

Section: Revisión De Literaturaunclassified

Spillovers entre el S&Poor500 y los principales EMBIG latinoamericanos

Herrera

Benavides

Ríos

2019

REMEF

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En este trabajo se realiza un análisis de los efectos de derrame (spillover ) entre los rendimientos accionarios de Estados Unidos y los cambios en los índices EMBI Global de Argentina, Brasil, Colombia, México y Perú. Se estima un índice del spillover total que muestra alzas importantes a principios de siglo y durante la crisis financiera mundial. Al descomponer dicho índice en sus componentes direccionales se observa que las principales fuentes de spillover entre los mercados analizados son el mercado accionario de Estados Unidos y el índice de los bonos brasileños. También es de destacarse que los principales receptores de efectos derrame son los índices de los bonos de Perú y México, en tanto que el índice de los bonos argentinos son los menos afectados por los choques externos.

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Sovereign credit ratings, growth volatility and the global financial crisis

Cited by 5 publications

References 25 publications

Impact of MiFID II on the Market Volatility—Analysis on Some Developed and Emerging European Stock Markets

Impact of MiFID II on the Market Volatility—Analysis on Some Developed and Emerging European Stock Markets

Improving Service Quality of Wealth Management Bank for High-Net-Worth Customers During COVID-19: A Fuzzy-DEMATEL Approach

Spillovers entre el S&Poor500 y los principales EMBIG latinoamericanos

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