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Financial Crises
This book on financial crises is written at a time when the whole world is facing another crisis, a different one this time; one that is related to our health, as well as the economy in a painful manner. The first chapter of this book focuses on the economic effects of this crisis with particular emphasis on the financial sector. The remainder of the book presents a selection of readings related to the GFC. These touch upon issues such as corporate governance; the effect of the collapse of the Lehman Brothers on the net-worth of financial and non-financial firms; securitization and why the alchemy “did not work”; and finally, a case-study on Turkey and in particular the Turkish short-term interest rates and exchange rates and their relationship to political developments.
Financial Transformations Beyond The Covid-19 Health Crisis
The COVID-19 global health pandemic, which started in late December 2019, forced many countries to adopt unusual measures such as social distancing and strict lockdowns. It changed many of our certainties and practices, including the foundations of the market-led version of capitalism, by bringing social and health considerations back to the forefront of firms' considerations, investors' strategies and governments' priorities. Under the effects of this unprecedented crisis, all sectors of finance and real economy have been seriously affected.Health uncertainties and their increasing consequences for human life and activities require stronger and faster actions to shape pathways towards susta...
Macroeconomic Factors and International Industry Returns
The aim of this article is to examine the global sources of risk in 38 international industries for the period 1987:3-1997:10. Past studies on industry returns and risk have been performed at a national level. However, given the global integration of various industry sectors, it would be interesting to examine the importance of international industry stock returns at the global level. The investment implications of this article, therefore, are that investors could make capital gains by timing their investments, and/or adjust the degree of their portfolio diversification, not only across industries domestically or across countries, internationally but also across global industries. A unique d...
Classes
Stormy times are looming just around the corner during the next ten years. People all around the world are increasingly feeling that a major shake-up of our living conditions is in the air. The three most visible global dangers are an environmental collapse, a third world war, and an accelerating inequality of welfare between different parts of the human population. It is evident that these threatening developments are highly interdependent symptoms of the same social process: the dynamics of global political economy. We are in acute need of a theory that explores our options for a surviving human species. The major social entities involved in this change have to be identified: Classes.
Terror Attacks, Foreign Exchange Markets and Class Dynamics
This paper examines the effect of major terror attacks of the twenty-first century on the forex market. The ,Äúevent study,Äù methodology is used to assess whether, following a terror attack, the currency of the country attacked experienced a negative effect. It also examines whether this effect is permanent or transitory and whether there are differences between recent and earlier attacks. Results suggest that earlier events cause substantial negative ,Äúevent-day,Äù returns for the specific currency, which seem to persist for some days. This is particularly evident in pairs involving the currency of the country attacked and ,Äúsafe heaven,Äù currencies (e.g. Yen, Swiss Franc). ...
An Empirical Analysis of the Relationship Between Oil Prices and Stock Markets
This paper investigates the relationship between oil prices and stock market returns for the G7 and the BRIC countries for the period 1991-2016 using co-integration and a vector error correction model. Results reveal that there is no long-run relationship between oil prices and the stock market indices of the G7 countries. However, they also reveal that there is a long-run relationship between oil prices and the stock market indices of three out of the four BRIC countries (Brazil, China and Russia). This result appears to be broadly aligned with the idea that over the past quarter of a century emerging countries have been more exposed to oil prices (either as producers or consumers) than developed ones. Furthermore, from an investments' and international portfolio management perspective, it seems that there might be benefits from diversification when holding the stock market index of a G7 country or India and oil assets since these appear to be segmented. On the other hand, such benefits might not be applicable in the case of the stock markets of Brazil, China or Russia and oil assets as these seem to be integrated.
The Impact of Terror Attacks on Global Capital Markets - An Empirical Study Across Industries
This article uses the “event-study” methodology to examine the effect of fifteen major terror attacks that occurred in the US and Europe in the 21st century, on a general global stock market index and three industry specific ones, global hotels, restaurants, and leisure; airlines; and utilities. We document that attacks that occurred in the early part of the 21st century tend to exhibit significant negative abnormal returns on the day of the attack, which, on some occasions appear to persist for the days that follow. This effect appears to be more pronounced, in terms of both magnitude and persistence for the hotel, restaurant, and leisure and the airline industries. Most of the latter e...
The Effect of Terrorism on Stock Markets
This paper examines the relationship between terrorist attacks and stock market performance, by employing the “event-study” methodology to examine eleven major terrorist attacks that occurred in the 21st century. Results suggest that earlier events appear to result in higher negative abnormal returns when compared to more recent ones. Where evident, these abnormal returns seem to persist beyond the date of the event, but tend to disappear rather quickly. Some events appear to exhibit a “spill-over” effect influencing international stock markets too. Our most important finding is that recent events do not seem to influence local or international markets, thus suggesting that investors have learnt to better assess terror events and react more calmly to them.
Risk and Return of US Water Transportation Stocks Over Time and Over Bull and Bear Market Conditions
The aim of this paper is to investigate the behaviour of water transportation company stock returns in the U.S. stock exchanges from 1985 to 1994 in order to determine whether the systematic risk of this industry is different from that of the 'average' company in the market, whether it has changed over the ten year period, over bull and bear market conditions, and whether there is a firm 'size' effect in the industry. In the context of the Capital Asset Pricing Model (CAPM), we find that the systematic risk of the shipping industry return is not different from that of the 'average' company. It is also found that the covariance of water transportation companies with respect to the overall sto...
The Stock Market Perception of Industry Risk Through the Utilization of a General Multifactor Model
The aim of this paper is to apply a multifactor model to analyse the determinants of the risk-return relationship of US listed water transportation stocks and thereafter compare them with the corresponding determinants of other transport industries such as air transportation, rail transportation and trucks, and non-transport industries such as electricity, gas, petroleum refining and real estate over the period July 1985-June 1995. This analysis is done by estimating the sensitivities of a set of predetermined micro and macro economic factors to the cross-sectional differences in the returns of the companies in each industry. The set of the predetermined factors consists of micro and macro e...
