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Market efficiency, the Mexican peso crisis, and the US bank stock returns: An application of the event parameter method

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  • Kilic, Osman
  • Hassan, M. Kabir
  • Tufte, David

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Bibliographic Info

Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 11 (2000)
Issue (Month): 1-2 ()
Pages: 73-86

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Handle: RePEc:eee:glofin:v:11:y:2000:i:1-2:p:73-86

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Web page: http://www.elsevier.com/locate/inca/620162

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References

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  1. Eichengreen, Barry & Rose, Andrew K & Wyplosz, Charles, 1996. "Contagious Currency Crises," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1453, C.E.P.R. Discussion Papers.
  2. Bruner, Robert F & Simms, John M, Jr, 1987. "The International Debt Crisis and Bank Security Returns in 1982," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 19(1), pages 46-55, February.
  3. Theoharry Grammatikos & Anthony Saunders, 1988. "Additions to bank loan-loss reserves: good news or bad news?," Working Papers, Federal Reserve Bank of Philadelphia 89-7, Federal Reserve Bank of Philadelphia.
  4. Eichengreen, Barry & Rose, Andrew & Wyplosz, Charles, 1996. " Contagious Currency Crises: First Tests," Scandinavian Journal of Economics, Wiley Blackwell, Wiley Blackwell, vol. 98(4), pages 463-84, December.
  5. Osman Kilic & David Tufte & M. Hassan, 1999. "The 1994–1995 Mexican Currency Crisis and U.S. Bank Stock Returns," Journal of Financial Services Research, Springer, Springer, vol. 16(1), pages 47-60, September.
  6. Smirlock, Michael & Kaufold, Howard, 1987. "Bank Foreign Lending, Mandatory Disclosure Rules, and the Reaction of Bank Stock Prices to the Mexican Debt Crisis," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 60(3), pages 347-64, July.
  7. Osman Kilic & M. Hassan & David Tufte, 1998. "An empirical investigation of U.S. bank risk and the Mexican peso crisis," Journal of Economics and Finance, Springer, Springer, vol. 22(2), pages 139-147, June.
  8. Guillermo A. Calvo & Enrique G. Mendoza, 1996. "Mexico's balance-of-payments crisis: a chronicle of death foretold," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 545, Board of Governors of the Federal Reserve System (U.S.).
  9. Mansur, Iqbal & Cochran, Steven J & Seagers, David K, 1990. "The Relationship between the Argentinean Debt Rescheduling Announcement and Bank Equity Returns," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 25(2), pages 321-34, May.
  10. Musumeci, James J & Sinkey, Joseph F, Jr, 1990. "The International Debt Crisis, Investor Contagion, and Bank Security Returns in 1987: The Brazilian Experience," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 22(2), pages 209-20, May.
  11. Kyle, Steven C. & Wirick, Ronald G., 1990. "The impact of sovereign risk on the market valuation of U.S. bank equities," Journal of Banking & Finance, Elsevier, Elsevier, vol. 14(4), pages 761-780, October.
  12. Madura, Jeff & White, Ann Marie & McDaniel, Wm R., 1991. "Reaction of British bank share prices to Citicorp's announced $3 billion increase in loan-loss reserves," Journal of Banking & Finance, Elsevier, Elsevier, vol. 15(1), pages 151-163, February.
  13. Cornell, Bradford & Shapiro, Alan C., 1986. "The reaction of bank stock prices to the international debt crisis," Journal of Banking & Finance, Elsevier, Elsevier, vol. 10(1), pages 55-73, March.
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