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The subprime credit crisis and contagion in financial markets

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Cited by:

  1. da Gama Silva, Paulo Vitor Jordão & Klotzle, Marcelo Cabus & Pinto, Antonio Carlos Figueiredo & Gomes, Leonardo Lima, 2019. "Herding behavior and contagion in the cryptocurrency market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 41-50.
  2. Óscar Arce & Sergio Mayordomo & Juan Ignacio Peña, 2012. "Credit-valuation in the sovereing CDS and bonds markets: Evidence from the euro area crisis," CNMV Working Papers CNMV Working Papers no. 5, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
  3. Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2020. "Mildly explosive dynamics in U.S. fixed income markets," European Journal of Operational Research, Elsevier, vol. 287(2), pages 712-724.
  4. Feixue Gong & Gregory Phelan, 2020. "Debt collateralization, capital structure, and maximal leverage," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(2), pages 579-605, September.
  5. Giovanni, Calice, 2011. "The subprime asset-backed securities market and the equity prices of large complex financial institutions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 585-604, October.
  6. Utpal Bhattacharya & Daisy Huang & Kasper Meisner Nielsen, 2021. "Spillovers in Prices: The Curious Case of Haunted Houses [Fire sales and house prices: evidence from estate sales due to sudden death]," Review of Finance, European Finance Association, vol. 25(3), pages 903-935.
  7. Paolo Giudici & Laura Parisi, 2016. "Bail in or Bail out? The Atlante example from a systemic risk perspective," DEM Working Papers Series 124, University of Pavia, Department of Economics and Management.
  8. Kathleen Weiss Hanley & Gerard Hoberg, 2019. "Dynamic Interpretation of Emerging Risks in the Financial Sector," Review of Financial Studies, Society for Financial Studies, vol. 32(12), pages 4543-4603.
  9. Massimo Guidolin & Valentina Massagli & Manuela Pedio, 2021. "Does the cost of private debt respond to monetary policy? Heteroskedasticity-based identification in a model with regimes," The European Journal of Finance, Taylor & Francis Journals, vol. 27(18), pages 1804-1833, December.
  10. Barnea, Emanuel & Landskroner, Yoram & Sokoler, Meir, 2015. "Monetary policy and financial stability in a banking economy: Transmission mechanism and policy tradeoffs," Journal of Financial Stability, Elsevier, vol. 18(C), pages 78-90.
  11. Srivastava, Sasha & Lin, Hai & Premachandra, Inguruwatte M. & Roberts, Helen, 2016. "Global risk spillover and the predictability of sovereign CDS spread: International evidence," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 371-390.
  12. Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela, 2014. "Unconventional monetary policies and the corporate bond market," Finance Research Letters, Elsevier, vol. 11(3), pages 203-212.
  13. Lyócsa, Štefan & Molnár, Peter, 2020. "Stock market oscillations during the corona crash: The role of fear and uncertainty," Finance Research Letters, Elsevier, vol. 36(C).
  14. Armstrong, Christopher & Nicoletti, Allison & Zhou, Frank S., 2022. "Executive stock options and systemic risk," Journal of Financial Economics, Elsevier, vol. 146(1), pages 256-276.
  15. Andry Alamsyah & Dian Puteri Ramadhani & Farida Titik Kristanti & Khairunnisa Khairunnisa, 2022. "Transaction Network Structural Shift under Crisis: Macro and Micro Perspectives," Economies, MDPI, vol. 10(3), pages 1-12, February.
  16. Paolo Giudici & Laura Parisi, 2016. "CoRisk: measuring systemic risk through default probability contagion," DEM Working Papers Series 116, University of Pavia, Department of Economics and Management.
  17. Lucian Liviu ALBU & Radu LUPU & Adrian Cantemir CALIN, 2017. "Risk Generating Industries for European Stock Markets," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(4), pages 5-17.
  18. Bhat, Gauri & Frankel, Richard & Martin, Xiumin, 2011. "Panacea, Pandora's box, or placebo: Feedback in bank mortgage-backed security holdings and fair value accounting," Journal of Accounting and Economics, Elsevier, vol. 52(2), pages 153-173.
  19. Jeffrey Hoopes & Patrick Langetieg & Stefan Nagel & Daniel Reck & Joel Slemrod & Bryan Stuart, 2016. "Who Sold During the Crash of 2008-9? Evidence from Tax-Return Data on Daily Sales of Stock," NBER Working Papers 22209, National Bureau of Economic Research, Inc.
  20. Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela, 2017. "The impact of monetary policy on corporate bonds under regime shifts," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 176-202.
  21. Guidolin, Massimo & Pedio, Manuela, 2017. "Identifying and measuring the contagion channels at work in the European financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 117-134.
  22. Paolo Giudici & Laura Parisi, 2017. "Sovereign risk in the Euro area: a multivariate stochastic process approach," Quantitative Finance, Taylor & Francis Journals, vol. 17(12), pages 1995-2008, December.
  23. Christensen, Bent Jesper & Nielsen, Morten Ørregaard & Zhu, Jie, 2015. "The impact of financial crises on the risk–return tradeoff and the leverage effect," Economic Modelling, Elsevier, vol. 49(C), pages 407-418.
  24. Ozcan Ceylan, 2017. "Global Risk Aversion Spillover Dynamics and Investors' Attention Allocation," Annals of Economics and Finance, Society for AEF, vol. 18(1), pages 99-109, May.
  25. Wei Zhou, 2017. "Dynamic and Asymmetric Contagion Reactions of Financial Markets During the Last Subprime Crisis," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 207-230, August.
  26. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Kumar, Ronald Ravinesh & Mensi, Walid, 2017. "Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 310-324.
  27. Dimpfl, Thomas & Peter, Franziska J., 2014. "The impact of the financial crisis on transatlantic information flows: An intraday analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 1-13.
  28. Manconi, Alberto & Massa, Massimo & Yasuda, Ayako, 2010. "The Behavior of Intoxicated Investors: The Role of Institutional Investors in Propagating the Crisis of 2007-2008," Working Papers 10-22, University of Pennsylvania, Wharton School, Weiss Center.
  29. Chauvet, Marcelle & Gabriel, Stuart & Lutz, Chandler, 2016. "Mortgage default risk: New evidence from internet search queries," Journal of Urban Economics, Elsevier, vol. 96(C), pages 91-111.
  30. Vasileios Siakoulis & Ioannis Venetis, 2015. "On inter-arrival times of bond market extreme events. An application to seven European markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 717-741, October.
  31. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
  32. Mardi Dungey & Gerald Dwyer & Thomas Flavin, 2013. "Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities," Open Economies Review, Springer, vol. 24(1), pages 5-32, February.
  33. Gan-Ochir Doojav & Borkhuu Gotovsuren & Tsenddorj Dorjpurev, 2012. "Financial Contagion and Volatile Capital Flows," Occasional Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number occ56.
  34. Handika, Rangga & Soepriyanto, Gatot & Havidz, Shinta Amalina Hazrati, 2019. "Are cryptocurrencies contagious to Asian financial markets?," Research in International Business and Finance, Elsevier, vol. 50(C), pages 416-429.
  35. Takashi Miyazaki & Shigeyuki Hamori, 2018. "The Determinants Of A Simultaneous Crash In Gold And Stock Markets: An Ordered Logit Approach," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 1-25, March.
  36. Senay Agca & Volodymyr Babich & John R. Birge & Jing Wu, 2022. "Credit Shock Propagation Along Supply Chains: Evidence from the CDS Market," Management Science, INFORMS, vol. 68(9), pages 6506-6538, September.
  37. Manconi, Alberto & Massa, Massimo & Yasuda, Ayako, 2012. "The role of institutional investors in propagating the crisis of 2007–2008," Journal of Financial Economics, Elsevier, vol. 104(3), pages 491-518.
  38. Giannellis, Nikolaos & Papadopoulos, Athanasios P., 2016. "Intra-national and international spillovers between the real economy and the stock market: The case of China," The Journal of Economic Asymmetries, Elsevier, vol. 14(PA), pages 78-92.
  39. Maxim Zagonov, 2011. "Securitization and Bank Intermediation Function," Finance zagonov-wpsz2011, Socionet.
  40. Chopra, Monika & Mehta, Chhavi, 2022. "Is the COVID-19 pandemic more contagious for the Asian stock markets? A comparison with the Asian financial, the US subprime and the Eurozone debt crisis," Journal of Asian Economics, Elsevier, vol. 79(C).
  41. Sensoy, Ahmet & Eraslan, Veysel & Erturk, Mutahhar, 2016. "Do sovereign rating announcements have an impact on regional stock market co-movements? The case of Central and Eastern Europe," Economic Systems, Elsevier, vol. 40(4), pages 552-567.
  42. Maria Teresa Medeiros Garcia & Ana Jin Ye, 2023. "Risk-taking by banks: evidence from European Union countries," China Finance Review International, Emerald Group Publishing Limited, vol. 13(4), pages 537-567, August.
  43. Lee, Peter K.C. & Cheng, T.C. Edwin & Yeung, Andy C.L. & Lai, Kee-hung, 2011. "An empirical study of transformational leadership, team performance and service quality in retail banks," Omega, Elsevier, vol. 39(6), pages 690-701, December.
  44. Diana Tunaru & Frank J. Fabozzi, 2021. "Not everyone is a follower: The behaviour of interest rate and equity markets within major economies relative to the United States," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2335-2350, April.
  45. Nadhem Selmi & Nejib Hachicha, 2014. "Were Oil Price Markets the Source of Credit Crisis in European Countries? Evidence Using a VAR-MGARCH-DCC Model," International Journal of Energy Economics and Policy, Econjournals, vol. 4(2), pages 169-177.
  46. Arce, Oscar & Mayordomo, Sergio & Peña, Juan Ignacio, 2013. "Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis," Journal of International Money and Finance, Elsevier, vol. 35(C), pages 124-145.
  47. Sercan Demiralay & Veysel Ulusoy, 2017. "How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?," Manchester School, University of Manchester, vol. 85(6), pages 765-794, December.
  48. Hyeongjun Kim & Hoon Cho & Doojin Ryu, 2018. "Characteristics of Mortgage Terminations: an Analysis of a Loan-Level Dataset," The Journal of Real Estate Finance and Economics, Springer, vol. 57(4), pages 647-676, November.
  49. Begüm Yurteri Kösedağlı & A. Özlem Önder, 2021. "Determinants of financial stress in emerging market economies: Are spatial effects important?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4653-4669, July.
  50. Finta, Marinela Adriana & Aboura, Sofiane, 2020. "Risk premium spillovers among stock markets: Evidence from higher-order moments," Journal of Financial Markets, Elsevier, vol. 49(C).
  51. Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2014. "How did the financial crisis alter the correlations of U.S. yield spreads?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 362-385.
  52. Saker Sabkha & Christian de Peretti & Dorra Mezzez Hmaied, 2019. "International risk spillover in the sovereign credit markets: An empirical analysis," Post-Print hal-01652526, HAL.
  53. Guidolin, Massimo & Hansen, Erwin & Pedio, Manuela, 2019. "Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach," Journal of Financial Markets, Elsevier, vol. 45(C), pages 83-114.
  54. Frankel, David M., 2017. "Efficient ex-ante stabilization of firms," Journal of Economic Theory, Elsevier, vol. 170(C), pages 112-144.
  55. Weida Kuang & Qilin Wang, 2018. "Cultural similarities and housing market linkage: evidence from OECD countries," Frontiers of Business Research in China, Springer, vol. 12(1), pages 1-25, December.
  56. Li, Tangrong & Sun, Xuchu, 2023. "Is controlling shareholders' credit risk contagious to firms? — Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
  57. Günsür, Başak Tanyeri & Bulut, Emre, 2022. "Investor reactions to major events in the sub-prime mortgage crisis," Finance Research Letters, Elsevier, vol. 47(PB).
  58. Martin Hoesli & Kustrim Reka, 2015. "Contagion Channels between Real Estate and Financial Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 101-138, March.
  59. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les & Xu, Danyang, 2021. "Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 55-81.
  60. Jiangtao Li & Jianyue Ji & Huiwen Guo & Lei Chen, 2018. "Research on the Influence of Real Estate Development on Private Investment: A Case Study of China," Sustainability, MDPI, vol. 10(8), pages 1-17, July.
  61. Łukasz Gątarek & Marcin Wojtowicz, 2015. "The relation between sovereign credit default swap premium and banking sector risk in Poland," NBP Working Papers 222, Narodowy Bank Polski.
  62. EnDer Su, 2017. "Measuring and Testing Tail Dependence and Contagion Risk Between Major Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 325-351, August.
  63. Joël Bessis, 2009. "Risk Management in Banking," Post-Print hal-00494876, HAL.
  64. Smimou, K. & Khallouli, W., 2016. "On the intensity of liquidity spillovers in the Eurozone," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 388-405.
  65. Hoffmann, Arvid O.I. & Post, Thomas & Pennings, Joost M.E., 2013. "Individual investor perceptions and behavior during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 60-74.
  66. Cole, Rebel & Johan, Sofia & Schweizer, Denis, 2021. "Corporate failures: Declines, collapses, and scandals," Journal of Corporate Finance, Elsevier, vol. 67(C).
  67. Yiuman Tse & Lin Zhao, 2011. "The Relationship between Currency Carry Trades and U.S. Stocks The article examines the relationship between daily returns of currency carry trades and U.S. stocks from January 1995 through September ," Working Papers 0005, College of Business, University of Texas at San Antonio.
  68. Sayantan Banerjee & Kousik Guhathakurta, 2019. "Change-point Analysis in Financial Networks," Papers 1911.05952, arXiv.org.
  69. Emine Ebru AKSOY & Erginbay UÐURLU, 2015. "How did the 2007-2008 Financial Crisis Influence Turkish Firms," Journal of Economics and Political Economy, KSP Journals, vol. 2(4), pages 494-506, December.
  70. Trapp, Monika & Wewel, Claudio, 2013. "Transatlantic systemic risk," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4241-4255.
  71. Dewandaru, Ginanjar & Alaoui, Abdelkader & Masih, A. Mansur M. & Alhabshi, Syed Othman, 2013. "Comovement and resiliency of Islamic equity market: Evidence from GCC Islamic equity index based on wavelet analysis," MPRA Paper 56980, University Library of Munich, Germany.
  72. Iraklis Kollias & John Leventides & Vassilios G. Papavassiliou, 2022. "On the solution of games with arbitrary payoffs: An application to an over-the-counter financial market," Working Papers 202302, Geary Institute, University College Dublin.
  73. Paltalidis, Nikos & Gounopoulos, Dimitrios & Kizys, Renatas & Koutelidakis, Yiannis, 2015. "Transmission channels of systemic risk and contagion in the European financial network," Journal of Banking & Finance, Elsevier, vol. 61(S1), pages 36-52.
  74. Calice, Giovanni, 2014. "CDX and iTraxx and their relation to the systemically important financial institutions: Evidence from the 2008–2009 financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 20-37.
  75. Elena Kalotychou & Eli Remolona & Eliza Wu, 2014. "What Makes Systemic Risk Systemic? Contagion and Spillovers in the International Sovereign Debt Market," Working Papers 072014, Hong Kong Institute for Monetary Research.
  76. Giovanni Calice & Christos Ioannidis & Julian Williams, 2012. "Credit Derivatives and the Default Risk of Large Complex Financial Institutions," Journal of Financial Services Research, Springer;Western Finance Association, vol. 42(1), pages 85-107, October.
  77. Loukianova, A. & Smirnova, E., 2015. "Strategic risk-management with the use of market risk indicator: A comparative longitudinal study in the emerging markets," Working Papers 6430, Graduate School of Management, St. Petersburg State University.
  78. Conlon, Thomas & Cotter, John, 2014. "Anatomy of a bail-in," Journal of Financial Stability, Elsevier, vol. 15(C), pages 257-263.
  79. Oh, Ji Yeol Jimmy, 2014. "Ambiguity aversion, funding liquidity, and liquidation dynamics," Journal of Financial Markets, Elsevier, vol. 18(C), pages 49-76.
  80. Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2015. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 71-79.
  81. Chen, Na & Jin, Xiu & Zhuang, Xintian & Yuan, Ying, 2020. "Spatial pricing with multiple risk transmission channels and specific factors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
  82. Dirk-Hinnerk Fischer, 2017. "How Tracking of Electronic Money Might Improve Financial Market Crisis Intervention," Management, University of Primorska, Faculty of Management Koper, vol. 12(4), pages 301-316.
  83. Pami Dua & Divya Tuteja, 2016. "Contagion in International Stock and Currency Markets During Recent Crisis Episodes," Working papers 258, Centre for Development Economics, Delhi School of Economics.
  84. Saker Sabkha & Christian de Peretti & Dorra Hmaied, 2017. "International risk spillover in the sovereign credit markets: An empirical analysis," Working Papers hal-01652526, HAL.
  85. Boesel, Nils & Kool, Clemens & Lugo, Stefano, 2018. "Do European banks with a covered bond program issue asset-backed securities for funding?," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 76-87.
  86. Yang, Hsin-Feng & Liu, Chih-Liang & Chou, Ray Yeutien, 2014. "Interest rate risk propagation: Evidence from the credit crunch," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 242-264.
  87. Daron Acemoglu & Asuman Ozdaglar & Alireza Tahbaz-Salehi, 2015. "Systemic Risk and Stability in Financial Networks," American Economic Review, American Economic Association, vol. 105(2), pages 564-608, February.
  88. Wang, Yu-Min & Lin, Che-Chun & Tsai, I-Chun, 2023. "State transformation of information spillover in asset markets and effective dynamic hedging strategies," International Review of Financial Analysis, Elsevier, vol. 89(C).
  89. Ballester, Laura & Díaz-Mendoza, Ana Carmen & González-Urteaga, Ana, 2019. "A systematic review of sovereign connectedness on emerging economies," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 157-163.
  90. He, Jingbin & Ma, Xinru & Wei, Qu, 2022. "Firm-level short selling and the local COVID-19 pandemic: Evidence from China," Economic Modelling, Elsevier, vol. 113(C).
  91. Chen, Yi-Ling & Wang, Ming-Chun & Lin, Jun-Biao & Huang, Ming-Chih, 2022. "How financial crises affect the relationship between idiosyncratic volatility and stock returns," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 96-113.
  92. Yang, Lu, 2023. "Oil price bubbles: The role of network centrality on idiosyncratic sovereign risk," Resources Policy, Elsevier, vol. 82(C).
  93. Silvapulle, Param & Smyth, Russell & Zhang, Xibin & Fenech, Jean-Pierre, 2017. "Nonparametric panel data model for crude oil and stock market prices in net oil importing countries," Energy Economics, Elsevier, vol. 67(C), pages 255-267.
  94. Roy, Rudra Prosad & Sinha Roy, Saikat, 2017. "Financial contagion and volatility spillover: An exploration into Indian commodity derivative market," Economic Modelling, Elsevier, vol. 67(C), pages 368-380.
  95. Ranjeeni, Kumari, 2014. "Sectoral and industrial performance during a stock market crisis," Economic Systems, Elsevier, vol. 38(2), pages 178-193.
  96. Andreas Horsch, 2012. "Managerial Action And Financial Crisis," Polish Journal of Management Studies, Czestochowa Technical University, Department of Management, vol. 5(1), pages 7-33, June.
  97. Hao Fang & Yang-Cheng Lu & Chi-Wei Su, 2013. "Impact of the Subprime Crisis on Commercial Banks’ Financial Performance," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(5), pages 593-614, September.
  98. Tabak, Benjamin M. & de Castro Miranda, Rodrigo & da Silva Medeiros, Maurício, 2016. "Contagion in CDS, banking and equity markets," Economic Systems, Elsevier, vol. 40(1), pages 120-134.
  99. Martin Hoesli & Kustrim Reka, 2013. "Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 1-35, July.
  100. Jansson, Walter, 2021. "Revisiting Subprime Pricing Irrationality During the Global Financial Crisis," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 3(2), pages 1-40, April.
  101. Li, Yingqi & Mittoo, Usha R. & Yu, Xin & Zhang, Zhou, 2021. "The impact of global financial crisis on regulation S private debt market," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 231-248.
  102. Yizhuo Zhang & Rui Chen & Ding Ma, 2020. "A Weighted and Directed Perspective of Global Stock Market Connectedness: A Variance Decomposition and GERGM Framework," Sustainability, MDPI, vol. 12(11), pages 1-23, June.
  103. Xingchen Wan & Jie Yang & Slavi Marinov & Jan-Peter Calliess & Stefan Zohren & Xiaowen Dong, 2020. "Sentiment Correlation in Financial News Networks and Associated Market Movements," Papers 2011.06430, arXiv.org, revised Feb 2021.
  104. Amos Sodjahin & Claudia Champagne & Frank Coggins & Roland Gillet, 2017. "Leading or lagging indicators of risk? The informational content of extra-financial performance scores," Journal of Asset Management, Palgrave Macmillan, vol. 18(5), pages 347-370, September.
  105. El-Masry, Ahmed A. & de Mingo-López, Diego Víctor & Matallín-Sáez, Juan Carlos & Tortosa-Ausina, Emili, 2016. "Environmental conditions, fund characteristics, and Islamic orientation: An analysis of mutual fund performance for the MENA region," Journal of Economic Behavior & Organization, Elsevier, vol. 132(S), pages 174-197.
  106. Andriosopoulos, Kostas & Galariotis, Emilios & Spyrou, Spyros, 2017. "Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis," Energy Economics, Elsevier, vol. 66(C), pages 217-227.
  107. Wang, Hao & Zhou, Hao & Zhou, Yi, 2013. "Credit default swap spreads and variance risk premia," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3733-3746.
  108. Liang Liu & Hang Le & Steve Thompson, 2022. "CEO overconfidence and bank systemic risk: Evidence from U.S. bank holding companies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 2977-2996, July.
  109. Aboody, David & Hughes, John S. & Bugra Ozel, N., 2014. "Corporate bond returns and the financial crisis," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 42-53.
  110. Shen, Pei-Long & Li, Wen & Wang, Xiao-Ting & Su, Chi-Wei, 2015. "Contagion effect of the European financial crisis on China's stock markets: Interdependence and pure contagion," Economic Modelling, Elsevier, vol. 50(C), pages 193-199.
  111. Flavin, Thomas J. & Sheenan, Lisa, 2015. "The role of U.S. subprime mortgage-backed assets in propagating the crisis: Contagion or interdependence?," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 167-186.
  112. Hazar Altınbaş & Vincenzo Pacelli & Edgardo Sica, 2022. "An Empirical Assessment of the Contagion Determinants in the Euro Area in a Period of Sovereign Debt Risk," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 8(2), pages 339-371, July.
  113. Mun, Melissa & Brooks, Robert, 2012. "The roles of news and volatility in stock market correlations during the global financial crisis," Emerging Markets Review, Elsevier, vol. 13(1), pages 1-7.
  114. Hsien-Yi LEE, 2011. "Contagion in International Stock Markets During the sub Prime Mortgage Crisis," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 8, pages 141-158, December.
  115. Ahmad, Wasim & Sehgal, Sanjay & Bhanumurthy, N.R., 2013. "Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?," Economic Modelling, Elsevier, vol. 33(C), pages 209-225.
  116. Jing Chen & David G. McMillan & Mike Buckle, 2018. "Information Transmission across European Equity Markets During Crisis Periods," Manchester School, University of Manchester, vol. 86(6), pages 770-788, December.
  117. Zhou, Hao & Kalev, Petko S. & Frino, Alex, 2020. "Algorithmic trading in turbulent markets," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
  118. Kamila Tomczak, 2023. "Transmission of the 2007–2008 financial crisis in advanced countries of the European Union," Bulletin of Economic Research, Wiley Blackwell, vol. 75(1), pages 40-64, January.
  119. Chen, Yi-Ling & Ting, Hsiu-I & Wang, Ming-Chun, 2021. "Government support and bank performance during the 2007–2008 financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  120. Ahmed, Walid M.A., 2021. "Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  121. Dimitris Kenourgios & Dimitrios Dimitriou, 2014. "Contagion Effects of the Global Financial Crisis in US and European Real Economy Sectors," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 61(3), pages 275-288, June.
  122. Ambrose, Brent W. & Diop, Moussa, 2014. "Spillover effects of subprime mortgage originations: The effects of single-family mortgage credit expansion on the multifamily rental market," Journal of Urban Economics, Elsevier, vol. 81(C), pages 114-135.
  123. Yao Zheng & Eric Osmer, 2018. "The Relationship between Hedge Fund Performance and Stock Market Sentiment," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(03), pages 1-29, September.
  124. Durante, Daniele & Dunson, David B., 2014. "Bayesian dynamic financial networks with time-varying predictors," Statistics & Probability Letters, Elsevier, vol. 93(C), pages 19-26.
  125. Chun-An Li & Min-Ching Lee & Chin-Sheng Huang, 2018. "Taiwan And U.S. Equity Market Interdependence And Contagion: Evidence From Four-Factor Model," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 12(2), pages 95-115.
  126. Chevallier, Julien, 2012. "Global imbalances, cross-market linkages, and the financial crisis: A multivariate Markov-switching analysis," Economic Modelling, Elsevier, vol. 29(3), pages 943-973.
  127. Arbia, Giuseppe & Bramante, Riccardo & Facchinetti, Silvia & Zappa, Diego, 2018. "Modeling inter-country spatial financial interactions with Graphical Lasso: An application to sovereign co-risk evaluation," Regional Science and Urban Economics, Elsevier, vol. 70(C), pages 72-79.
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