An accurate quantitative definition of financial crisis requires a universal and robust scale for measuring market shocks. Following Zumbach et al. (2000) and Maillet et Michel (2003), we propose a new quantitative measure of financial disturbances, which captures the heterogeneity of investor horizons – from day traders to pension funds. The indicator resides on a multi-resolution analysis of ...

This study aimed to examine the performance evaluation and persistence of equity mutual funds when the market reverses from a bull market to a bear market. We also attempt to find the appropriate performance evaluation indicators when funds exhibit performance reversal. Such an indicator will be of great assistance to investors in making investment decisions. Therefore, this study investigates ...

We study the effects of differences in local financial development within an integrated financial market. We construct a new indicator of financial development by estimating a regional effect on the probability that, ceteris paribus, a household is shut off from the credit market. By using this indicator we find that financial development enhances the probability an individual starts his own bu...