کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
980133 1480381 2015 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Financial Market Stability: A Quantile Regression Approach
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Financial Market Stability: A Quantile Regression Approach
چکیده انگلیسی

The topic of financial markets stability has received greater attention after the occurrence of the crises from the 90s. The testing of econometric models as well as the econometric analyses regarding the financial stability is scarce, also determined by the fact that there is no complete definition for financial market stability. In this paper, we take into consideration the definition of financial stability proposed by Baur D.G. and Schulze N. (2008) and we analyze the stability of financial markets in European Union countries. We took into consideration the stock exchange indices which are computed based on 95% of the stocks listed on the respective markets. The quantile regression used offers the possibility to study the stock markets under normal and extreme conditions. The results obtained confirm the instability of financial markets under analysis.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Procedia Economics and Finance - Volume 20, 2015, Pages 125-130