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Full-Text Articles in Business
Capm In Up And Down Markets: Evidence From Six European Emerging Markets, Jianhua Zhang, Clas Wihlborg
Capm In Up And Down Markets: Evidence From Six European Emerging Markets, Jianhua Zhang, Clas Wihlborg
Business Faculty Articles and Research
The pricing of equity in six European emerging capital markets is analysed using both the conventional CAPM and a ‘conditional’ CAPM wherein up and down markets are separated. International influences on the stock markets are also analysed. The empirical evidence from a sample of 1,131 firms from the six markets indicates that there exists a significant relationship between beta and returns when up and down markets are separated. The international CAPM performs well in some markets that have become increasingly integrated with the world market. The general implication of the analysis is that beta can be a useful risk-measure for …
Endogenous Oca (Optimum Currency Area) Analysis And The Early Euro Experience, Thomas D. Willett, Orawan Permpoon, Clas Wihlborg
Endogenous Oca (Optimum Currency Area) Analysis And The Early Euro Experience, Thomas D. Willett, Orawan Permpoon, Clas Wihlborg
Business Faculty Articles and Research
Some have argued that the endogenous responses to the formation of a currency area are so strong that one need not worry about optimum currency area conditions ex ante. We argue that this is much too strong a conclusion. We draw on a number of recent studies to evaluate the endogeneity experiences of the eurozone in three major areas; trade flows, business cycle synchronisation and structural reforms to improve labour and product market flexibility. Simple before-and-after comparisons are insufficient for analysis of endogeneity. The experiences of non-euro Western European economies suggest that broader trends also had considerable influence on trade …
Financial Liberalization And Banking Crises: A Cross-Country Analysis, Apanard P. Angkinand, Wanvimol Sawangngoenyuang, Clas Wihlborg
Financial Liberalization And Banking Crises: A Cross-Country Analysis, Apanard P. Angkinand, Wanvimol Sawangngoenyuang, Clas Wihlborg
Business Faculty Articles and Research
Several studies indicate that financial liberalization contributes to the likelihood of a financial crisis. We focus on banking crises and argue that they are most likely to occur after an intermediate degree of liberalization. Using a recently updated dataset for financial reforms in 48 countries between 1973 and 2005, we find an inverted U-shaped relationship between liberalization and the likelihood of crisis. We ask whether the relationship remains when institutional characteristics of countries and dynamic effects of liberalization are considered. The empirical results indicate that the relationship between liberalization and banking crises depends strongly on the strength of capital regulation …