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Impact of Rollover Risk and Corporate Policy on Extreme Risk in the Taiwanese Manufacturing Industry

Author

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  • Wan-Chien Chiu

    (Department of Quantitative Finance, National Tsing Hua University, Taiwan)

  • Chih-Wei Wang

    (Department of Finance, National Sun Yat-Sen University, Kaohsiung 80424, Taiwan)

  • Wei-Ning Wu

    (Institute of Public Affairs Management, National Sun Yat-Sen University, Kaohsiung 80424, Taiwan)

  • Chuan-Ju Lin

    (United Microelectronics Corporation, Hsinchu Science Park, Hsinchu City, Taiwan)

Abstract

We explore the crucial research question of whether the rollover risk effect amplifies or reduces a firm’s extreme risk through an empirical investigation of the Taiwanese manufacturing industry. We also investigate the relationship between corporate policy and extreme risk. On the basis of extensive empirical evidence from 2003 to 2014, we determine significant positive impacts on extreme risk for firms with difficulty in rolling over their maturing debts. Firms with higher investment levels in a financial crisis should consequentially have more tail risk spillover from the financial sector.

Suggested Citation

  • Wan-Chien Chiu & Chih-Wei Wang & Wei-Ning Wu & Chuan-Ju Lin, 2017. "Impact of Rollover Risk and Corporate Policy on Extreme Risk in the Taiwanese Manufacturing Industry," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-20, September.
    • Handle: RePEc:wsi:rpbfmp:v:20:y:2017:i:03:n:s0219091517500199
    DOI: 10.1142/S0219091517500199
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    References listed on IDEAS

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    Cited by:

    1. Oleg Sokolinskiy, 2019. "Debt rollover-induced local volatility model," Review of Quantitative Finance and Accounting, Springer, vol. 52(4), pages 1065-1084, May.

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