This paper aims at testing for time-variations in herd behavior in stock markets. In particular, we analyze how investors’ behavior differs between times of market turmoil and tranquil trading periods. Thereby, we take into account herding within a certain market as well as international...

Short sellers are routinely blamed for destabilizing stock markets by exacerbating deviations from fundamental values. In response, regulators periodically impose short sale constraints aimed at preventing excessive stock market declines. One explanation is that policy makers regard short...

This paper explores commonality in liquidity for country ETFs. Using data from 21 country ETFs, the empirical results present the strong commonality in liquidity among country ETFs. Furthermore, the paper shows that the magnitude of commonality in liquidity for country ETFs varies with the...

Cette étude spéciale dresse un bilan de l’évolution de la crise financière qui secoue l’économie mondiale depuis l’été 2007. Partie de l’immobilier aux États-Unis, elle s’est rapidement propagée à l’ensemble du système financier par le biais des mécanismes de titrisation....

This study identifies empirically the impact of various macroeconomic factors on the default risk premium. Using monthly data for the period 1970-2010 for the U.S., our estimations indicate that the monetary policy aggregates, risk-free interest rate, term structure of interest rates, inflation,...

Financial integration among economies has the benefit of improving allocative efficiency and diversifying risk. However the recent global financial crisis, considered as the worst since the Great Depression has re-ignited the fierce debate about the merits of financial globalization and its...

The financial crisis has revealed fatal institutional and structural deficits at the finance market. Politics has reacted to the financial crisis with a sea of legal bills and regulations. But all regulating efforts are merely system-imminent reparation measures and do not solve the core...

Financial integration among economies has the benefit of improving allocation efficiency and diversifying risk. However the recent global financial crisis, considered as the worst since the Great Depression has re-ignited the fierce debate about the merits of financial globalization and its...

The paper develops a financial systemic stress index (FSSI) for Greece. We present a methodology for constructing and evaluating a systemic stress index which: i) adopts the suggestion of Hollo et al. (2012) [Hollo, Kremer, and Duca (2012) “CISS – A ‘Composite Indicator of Systemic...

The paper develops a financial systemic stress index (FSSI) for Greece. We present a novel methodology for constructing and evaluating a systemic stress index which i) adopts the suggestion of Hollo et al. (2012) [“CISS — A ‘Composite Indicator of Systemic Stress’ in the Financial...