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Finance and Financial Management Commons™
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- Granger causality (3)
- Asian crisis (1)
- Bank interest margins (1)
- Bond markets (1)
- Contagion (1)
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- Factors (1)
- Financial market linkages (1)
- Fixed income securities (1)
- Global market linkages (1)
- Impulse responses (1)
- Market linkages (1)
- Market volatility (1)
- Markov Switching process (1)
- Multivariate GARCH (1)
- Non-interest income (1)
- Panel data (1)
- Political events (1)
- Russian crisis (1)
- VAR (1)
- Vector autoregression (1)
Articles 1 - 5 of 5
Full-Text Articles in Finance and Financial Management
The Impact Of Political Events On Financial Market Volatility: Evidence Using A Markov Switching Process, Ahmed M. Khalid, Gulasekaran Rajaguru
The Impact Of Political Events On Financial Market Volatility: Evidence Using A Markov Switching Process, Ahmed M. Khalid, Gulasekaran Rajaguru
Gulasekaran Rajaguru
This paper investigates the impact of political shocks (positive and negative) on financial markets. Using data from Pakistan for the period January 1999 to September 2006, we link ‘a’ political event to the financial market volatility. We use high frequency data from three indicators (currency, stock and money market) of the financial market for empirical estimation. We employ a Markov Switching process to identify the low and high volatility regimes in Pakistan’s financial market and then link these regimes to certain political events. We use data on daily observations of exchange rates, stock prices and interest rates to perform empirical …
Market Development For Fixed Income Securities: The Role Of Socio-Economic And Institutional Factors, Ahmed M. Khalid, Gulasekaran Rajaguru
Market Development For Fixed Income Securities: The Role Of Socio-Economic And Institutional Factors, Ahmed M. Khalid, Gulasekaran Rajaguru
Gulasekaran Rajaguru
It is well understood that bond markets play an important role in the development of the overall financial sector. Bond markets also help to make efficient investment and financing decisions, to improve efficiency in the design and implementation of monetary policy, provide financial stability by mitigating rollover risk and interest rate risk for the borrowers, provide an alternative source of finance to firms and thus reduce the monopoly of the banking sector. Given the importance of this market, this paper aims to investigate the factors that may be important for developing a market for domestic bonds. First, we discuss the …
The Chicken Or The Egg? The Trade-Off Between Bank Fee Income And Net Interest Margins, Barry Williams, Gulasekaran Rajaguru
The Chicken Or The Egg? The Trade-Off Between Bank Fee Income And Net Interest Margins, Barry Williams, Gulasekaran Rajaguru
Gulasekaran Rajaguru
This study considers the time series relationship between bank fee income and bank net interest margins in Australia, applying panel vector autoregressions to a unique, hand-collected dataset. Increases in bank fee income are being used to supplement decreases in net interest margins. The increase in magnitude of fee income associated with reductions in margin income is smaller than the decrease in net interest margins, resulting in a net wealth transfer favouring users of bank services; although not all users of bank services gained and/or gained equally. The overall increase in fee income is marginally greater that the reduction in margin …
Financial Market Contagion: Evidence From The Asian Crisis Using A Multivariate Garch Approach, Ahmed M. Khalid, Gulasekaran Rajaguru
Financial Market Contagion: Evidence From The Asian Crisis Using A Multivariate Garch Approach, Ahmed M. Khalid, Gulasekaran Rajaguru
Gulasekaran Rajaguru
Recent trends of globalization and financial market internationalization have exposed the vulnerability of many emerging financial markets to external shocks and spillover effects from regional crisis. It is believed that similar spillover effects were the root cause of the 1997 financial crisis that faced many emerging economies in Asia. This study attempts to investigate the spillover effects of the 1997 Asian financial crisis using data from a sample of selected Asian countries. For empirical estimation, we use high frequency data (daily observations) on exchange rates from 1994 to 2002, construct a multivariate GARCH model and apply the Granger causality test …
The Global Impact Of The Russian Financial Crisis: Evidence Using Granger Causality And Impulse Reponses In A Var Model, Ahmed Khalid, Gulasekaran Rajaguru
The Global Impact Of The Russian Financial Crisis: Evidence Using Granger Causality And Impulse Reponses In A Var Model, Ahmed Khalid, Gulasekaran Rajaguru
Gulasekaran Rajaguru
This study attempts to investigate the financial market contagion in a global perspective. We use a large sample of 26 countries representing different regions in the world and focus on the spillover effects of the 1998 Russian crisis. We use daily observations on three financial market indicators namely, the exchange rates, stock prices and interest rates. We construct a VAR to test the interlinkages among different market and different regions using the Granger causalfiy. Later, we perform impulse response analysis by introducing a shock in each of the Russian market and observe the impact and duration of this shock on …