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Contagion dynamics on financial networks * [PDF]
, 2019 We provide a graph theoretic background for the analysis of financial networks and review some technique recently proposed for the extraction of financial networks. We develop new measures of network connectivity, that are Von Neumann entropies and disagreement persistence index, using the spectrum of normalized Laplacian and Diplacian.
Billio Monica +3 more
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INTERBANK CONTAGIOUS: SISTEMIK MARKET RISK KASUS PADA PERBANKAN INDONESIA 2002-2012
Jurnal Studi Manajemen Organisasi, 2013 Every bank has their eternal risk, which is maturity mismatch. Those risk caused by bank’s business core. The maturity mismatch can cause the bank failure and also can trigger the contagion effect.
Nicolaus Gerry Christiawan +1 more
doaj +1 more source
Scientific Annals of Economics and Business, 2022 This study compared the impact of the Global Financial Crisis (GFC) and the COVID-19 pandemic on financial market contagion between developed and emerging markets.
Paul-Francois Muzindutsi +8 more
doaj +1 more source
Stock Market Reactions to Climate Risk Events: A Systematic Literature Review and Research Agenda
Business Strategy and the Environment, EarlyView.ABSTRACT As global warming intensifies, climate risks' impact on firm value has become a critical concern for academia and investors. This systematic literature review analyzes 50 event studies in this research field, classifying them by climate risk type.
Mario Schuster, Rainer Lueg
wiley +1 more source
A Critical Survey on the Contagion Effects of Financial Crisis
East Asian Economic Review, 2000 This paper critically reviews theoretical and empirical studies on financial contagion. The East Asian crisis in 1997 as well as the Mexican crisis in 1994 saw the serious spillover of financial turbulences among different countries, and consequently ...
Chi-Young Song
doaj +1 more source
Dynamic Spillovers Between FinTech, Blockchain, and Green Finance: A Quantile Connectedness Approach
Business Strategy and the Environment, EarlyView.ABSTRACT This paper explores how financial innovation and environmental sustainability intersect by analyzing spillovers between FinTech, blockchain energy use, and green finance. Using a Quantile Vector Autoregression (QVAR) framework, we examine weekly data from 2018 to 2024 across 11 digital, environmental, and macro‐financial indices.
Mehmet Sahiner, Sisi Sung, James Devlin
wiley +1 more source
Financial Contagion and the Real Economy [PDF]
SSRN Electronic Journal, 2010 This paper analyzes the incidences of sector-specific contagion during the Global Financial Crisis of 2007-2009. The empirical analysis comprising ten sectors in 25 major developed and emerging stock markets shows that the crisis led to an increased co-movement of returns and thus contagion among financial sector stocks across countries and between ...
openaire +2 more sources
A Network Model of Credit Risk Contagion
Discrete Dynamics in Nature and Society, 2012 A network model of credit risk contagion is presented, in which the effect of behaviors of credit risk holders and the financial market regulators and the network structure are considered.
Ting-Qiang Chen, Jian-Min He
doaj +1 more source
Climate Change Risk and Financial Stability: Implications for European Banking Institutions
Business Strategy and the Environment, EarlyView.ABSTRACT This study examines whether climate change risk weakens banking‐system stability in the European Union and assesses how renewable energy adoption and energy‐related taxation moderate this relationship. Using panel data for 27 EU countries from 2012 to 2022 and applying fixed‐effects OLS, two‐stage least squares (2SLS), and robust generalized ...
Md Yousuf Ali
wiley +1 more source
Measuring financial contagion: A Copula approach [PDF]
Journal of Empirical Finance, 2007 Abstract This paper models dependence with switching-parameter copulas to study financial contagion. Using daily returns from five East Asian stock indices during the Asian crisis, and from four Latin American stock indices during the Mexican crisis, it finds evidence of changing dependence during periods of turmoil.
openaire +2 more sources