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Reaction of bank stock prices to the multiple events of the Brazilian debt crisis

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  • IKE Mathur
  • Sridhar Sundaram

Abstract

Rather than assessing the market reaction to individual dates associated with the Brazilian debt crisis, eight significant dates associated with the crisis are studied simultaneously. The results show a systematic shift in the returns generating process, caused by the debt crisis. The beta of the money centre bank portfolio increased significantly subsequent to the agreement on the rescheduling of Brazilian debt, while the beta for banks without LDC debt decreased significantly after the agreement. Contagion effects associated with the announcement of the Citicorp loan loss reserves were also observed

Suggested Citation

  • IKE Mathur & Sridhar Sundaram, 1997. "Reaction of bank stock prices to the multiple events of the Brazilian debt crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 7(6), pages 703-710.
  • Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:703-710
    DOI: 10.1080/758533863
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    Cited by:

    1. Crouzille, Celine & Lepetit, Laetitia & Tarazi, Amine, 2004. "Bank stock volatility, news and asymmetric information in banking: an empirical investigation," Journal of Multinational Financial Management, Elsevier, vol. 14(4-5), pages 443-461.
    2. Bongini, Paola & Nieri, Laura & Pelagatti, Matteo, 2015. "The importance of being systemically important financial institutions," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 562-574.
    3. Céline Crouzille & Lætitia Lepetit & Amine Tarazi, 2006. "Reaction of European bank stock prices to events of the Asian and Russian financial crises," Revue d'économie politique, Dalloz, vol. 116(4), pages 457-469.

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