a r t i c l e i n f o JEL classification: F30 G14 G15 Keywords: Hurst exponent Financial crisis Financial contagion Efficiency Stock markets MFDMA algorithm Copula models This study analyzes how the 2008 and 2010 financial crises, which began in the US and Greece respectively, affected the Hurst exponents of index returns of the stock markets of Belgium, France, Greece, Japan, the Netherlands, ...

This paper compares the stability of the US Dual Banking system’s two bank groups, national and state banks, in light of the current financial crisis. The goal of the paper is to answer three distinct questions: first, is there a difference in the (balance sheet-) fragility between the two groups and, second, to what extent has the balance sheet fragility of both groups changed after the beginn...

us 2008 financial crisis, spreaded out across the international stock markets in the second half of the year 2008. the crisis decreased the returns and increased the volatilities of almost all of the stock indices, however, its effects on iran’s stock markets were unexplored. financial limitations create an exclusive situation in iran’s stock market. using weekly data on the stock indices from ...

To examine the asymmetry of financial data in detail, we have considered both the tail dependence with diverse copulas and Jung et al.’s [8] directional dependence by copula. From the empirical study in this paper, we have found that the tail dependence by Patton’s [11] modified symmetrized Joe-Clayton copula function did not show the asymmetry property sufficiently because there is no tail dep...

in the past few decades, capitalist economic system has witnessed different financial crises the most important of which is the 2008 financial crisis. the crisis had different causes that the main causes are innovations and financial assets without actual backing (real underlying asset) and their developing by financial institutions. namely, financial institutions, especially banks, developed t...

Due to the integration and interrelatedness of the global economy in recent decades, the onset of financial crisis from the U.S. economy and its diffusion to the other global economies has led to the most important events and global financial crisis at the beginning of the third millennium. This investigation aims to examine the impact of financial distress on tax avoidance of the listed compan...

The 2008-2009 US crisis is characterized by un unprecedent degree of international synchronization with all other G7 countries experiencing large contractions at almost the same time as the US. Another feature of the crisis is the sharp fall in US employment but not in US productivity. These two features—international synchronization and absence of significant productivity fall—are not present ...