Measuring Global Financial Market Stresses

Financial market crisis and financial market channel

Has Tehran Stock Market Calmed Down after Global Financial Crisis?Markov Switching GARCH Approach

We have introduced an early warning system for volatility regimes regarding Tehran Stock Exchange using Markov Switching GARCH approach. We have examined whether Tehran Stock Market has calmed down or more specifically, whether the surge in volatility during 2007-2010 global financial crises still affects stock return volatility in Iran.  Doing so, we have used a regime switching GARCH model.  ...

Critical dynamics and global persistence exponent on Taiwan financial market

Hsen-Che Tseng, Ping-Cheng Li, and Hung-Jung Chen Physics Department, National Chung Hsing University, Taichung, Taiwan R.O.C. Abstract We investigated the critical dynamics on the daily Taiwan stock exchange index (TSE) from 1971 to 2005, and the 5-min intraday data from 1996 to 2005. A global persistence exponent θp was defined for non-equilibrium critical phenomena [1, 2], and describing dyn...

Indirect Financial Loss of Phishing to Global Market

This research studies the indirect financial impact of phishing announcements on firm value. Using about 3,000 phishing announcements, we showed that phishing has a significantly negative impact on firms regardless of their size. We also discovered that place of incorporation, type of ownership, industry, and time are significant factors exacerbating the impact. Our research findings may give s...

Housing finance in the global financial market - January 2006