کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
964121 | 930480 | 2011 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The subprime asset-backed securities market and the equity prices of large complex financial institutions
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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![عکس صفحه اول مقاله: The subprime asset-backed securities market and the equity prices of large complex financial institutions The subprime asset-backed securities market and the equity prices of large complex financial institutions](/preview/png/964121.png)
چکیده انگلیسی
In this paper, we investigate the relationship between the subprime asset-backed collateralized debt obligations (CDO) market and Large Complex Financial Institutions (LCFIs). We attempt to account for the dynamics between the ABX index returns and the banks' equity returns through conditioning our analysis on the historical correlation between the variables. Three key results emerge from the analysis. First, we find a positive correlation between movements of the ABX index and the equity returns for all the LCFIs. Second, the volatility of ABX index returns tend to be transmitted to the volatilities of the equity returns of the financial institutions. Third, ABX prices changes lead equity returns changes of the European-based LCFIs. For the US LCFIs a two-way linkage emerges.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 21, Issue 4, October 2011, Pages 585-604
Journal: Journal of International Financial Markets, Institutions and Money - Volume 21, Issue 4, October 2011, Pages 585-604
نویسندگان
Giovanni Calice,