FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W117379879> ?p ?o ?g. }

• W117379879 abstract "In this paper, we empirically analyze the effect of the credit crisis of 2008 by adopting coexceedance as a contagion measure. We assess the effect of news of governmental intervention and the collapse of firms during the period from 2007 to 2009 on the coexceedance. Our approach involves transforming two time series of stock returns into one, based on their commonalities in up (positive returns) and down (negative returns) markets. The new, transformed times series reveals the shared value or magnitude in which the two markets move. This is subsequently used in a quantile regression framework as a dependent variable. The model is then estimated to investigate the extent to which the coexceedance is affected by the news of governmental intervention and the collapse of firms during the period of credit crisis. Using the related news from the UK and the US as reported in the “Global recession timeline” from 2007 to 2009, we observe that the news from the UK had some contagion effects on the lower quantiles of the distribution of the coexceedance throughout the period for most of the countries that it was paired with. Further analysis of the news announcement reveals that the effectiveness of the UK government in rescuing the troubled banking sector may have exacerbated this contagion effect. Establishing this, however, remain an area for future research since it would require an extensive analysis of the asymptotic dependence properties of the UK and US markets with their respective stock market pairs." @default.
• W117379879 created "2016-06-24" @default.
• W117379879 creator A5036015236 @default.
• W117379879 creator A5036381353 @default.
• W117379879 date "2012-01-01" @default.
• W117379879 modified "2023-09-26" @default.
• W117379879 title "Coexceedance in the US and the UK Stock Markets: An Analysis of Contagion During the 2007-2009 Financial Crisis" @default.
• W117379879 cites W1491718027 @default.
• W117379879 cites W1540596182 @default.
• W117379879 cites W1586330789 @default.
• W117379879 cites W1602224475 @default.
• W117379879 cites W1637273589 @default.
• W117379879 cites W1973442752 @default.
• W117379879 cites W1975226499 @default.
• W117379879 cites W1998968611 @default.
• W117379879 cites W2037371503 @default.
• W117379879 cites W2070437839 @default.
• W117379879 cites W2083209580 @default.
• W117379879 cites W2093230975 @default.
• W117379879 cites W2099208941 @default.
• W117379879 cites W2115899065 @default.
• W117379879 cites W2156625243 @default.
• W117379879 cites W2157074278 @default.
• W117379879 cites W2163540932 @default.
• W117379879 cites W2163891429 @default.
• W117379879 cites W2165714389 @default.
• W117379879 cites W2169480381 @default.
• W117379879 cites W2568767495 @default.
• W117379879 cites W3121442290 @default.
• W117379879 cites W3122201365 @default.
• W117379879 cites W3123369309 @default.
• W117379879 doi "https://doi.org/10.2139/ssrn.2207321" @default.
• W117379879 hasPublicationYear "2012" @default.
• W117379879 type Work @default.
• W117379879 sameAs 117379879 @default.
• W117379879 citedByCount "0" @default.
• W117379879 crossrefType "journal-article" @default.
• W117379879 hasAuthorship W117379879A5036015236 @default.
• W117379879 hasAuthorship W117379879A5036381353 @default.
• W117379879 hasConcept C10138342 @default.
• W117379879 hasConcept C106159729 @default.
• W117379879 hasConcept C139719470 @default.
• W117379879 hasConcept C144133560 @default.
• W117379879 hasConcept C149782125 @default.
• W117379879 hasConcept C162324750 @default.
• W117379879 hasConcept C166957645 @default.
• W117379879 hasConcept C19244329 @default.
• W117379879 hasConcept C195742910 @default.
• W117379879 hasConcept C204036174 @default.
• W117379879 hasConcept C205649164 @default.
• W117379879 hasConcept C2778300220 @default.
• W117379879 hasConcept C2778890369 @default.
• W117379879 hasConcept C2779343474 @default.
• W117379879 hasConcept C2780299701 @default.
• W117379879 hasConcept C4438859 @default.
• W117379879 hasConcept C556758197 @default.
• W117379879 hasConcept C63817138 @default.
• W117379879 hasConceptScore W117379879C10138342 @default.
• W117379879 hasConceptScore W117379879C106159729 @default.
• W117379879 hasConceptScore W117379879C139719470 @default.
• W117379879 hasConceptScore W117379879C144133560 @default.
• W117379879 hasConceptScore W117379879C149782125 @default.
• W117379879 hasConceptScore W117379879C162324750 @default.
• W117379879 hasConceptScore W117379879C166957645 @default.
• W117379879 hasConceptScore W117379879C19244329 @default.
• W117379879 hasConceptScore W117379879C195742910 @default.
• W117379879 hasConceptScore W117379879C204036174 @default.
• W117379879 hasConceptScore W117379879C205649164 @default.
• W117379879 hasConceptScore W117379879C2778300220 @default.
• W117379879 hasConceptScore W117379879C2778890369 @default.
• W117379879 hasConceptScore W117379879C2779343474 @default.
• W117379879 hasConceptScore W117379879C2780299701 @default.
• W117379879 hasConceptScore W117379879C4438859 @default.
• W117379879 hasConceptScore W117379879C556758197 @default.
• W117379879 hasConceptScore W117379879C63817138 @default.
• W117379879 hasLocation W1173798791 @default.
• W117379879 hasOpenAccess W117379879 @default.
• W117379879 hasPrimaryLocation W1173798791 @default.
• W117379879 hasRelatedWork W1568791559 @default.
• W117379879 hasRelatedWork W1587618217 @default.
• W117379879 hasRelatedWork W2156625243 @default.
• W117379879 hasRelatedWork W2245025723 @default.
• W117379879 hasRelatedWork W2252954464 @default.
• W117379879 hasRelatedWork W2408005909 @default.
• W117379879 hasRelatedWork W2513307806 @default.
• W117379879 hasRelatedWork W2525724256 @default.
• W117379879 hasRelatedWork W2617652016 @default.
• W117379879 hasRelatedWork W2757524258 @default.
• W117379879 hasRelatedWork W2782645558 @default.
• W117379879 hasRelatedWork W2789619119 @default.
• W117379879 hasRelatedWork W2892199871 @default.
• W117379879 hasRelatedWork W2920262844 @default.
• W117379879 hasRelatedWork W3004860914 @default.
• W117379879 hasRelatedWork W3047784513 @default.
• W117379879 hasRelatedWork W3111391156 @default.
• W117379879 hasRelatedWork W3144511342 @default.
• W117379879 hasRelatedWork W1664107900 @default.
• W117379879 hasRelatedWork W3124648760 @default.
• W117379879 isParatext "false" @default.
• W117379879 isRetracted "false" @default.

• next