Suchergebnisse

This study highlights some deficiencies of the stock markets' risk legislation framework, and particularly the CESR (2010) guidelines. We show that the current legislative framework fails to offer incentives to financial management companies to invest in advanced models for more representative Value at Risk (VaR) estimations, and for this reason, in many cases conventional VaR models are applied. We use data from the DAX, CAC 40, FTSE, FTSEMIB and IBEX indices, and then we apply them to the widely accepted Delta Normal VaR model. The empirical findings show that the conventional VaR models not only fail to provide information for the upcoming financial crises, but also contribute to such phenomena as procyclicality and overreaction in the stock market. We suggest additional tests and we empirically show how these tests could reduce the procyclicality issue and promote a more sustainable investment environment. Even though this study is mainly focused on CESR (2010) guidelines, it could be useful for any similar legislative framework, such as the Basel Accords.

We examine the performance of various types of technical trading rules in the emerging Cyprus Stock Market (CSE). Furthermore, we examine the predictability of daily returns for the CSE with respect to the extent that the technical analysis method of moving averages can win the buy-and-hold policy. Also, we further our analysis via the bootstrap methodology under the model of EGARCH. This study becomes necessary given the important changes, which Cyprus is going through since joining the European Union on May 1 May 2004 and as it is preparing for the adoption of the Euro as its currency.

Abstract
This paper investigates the spread of the Global Financial Crisis (GFC) and the Eurozone Sovereign Debt Crisis (ESDC) to different market capitalization segments across countries and regions. Specifically, it tests for capitalization-specific contagion across both crises and their phases by examining large, medium and small capitalization indices of G-20 equity markets. The analysis across stable and the two crisis periods shows the existence of a stronger largecap transmission channel for the majority of countries. On the other hand, the contagion dynamics across the phases of the two crises do not provide a clear pattern of a specific cap size-based contagion across all markets. However, there is evidence that the Pacific region and the three cap groups of some individual markets of different regions are less severely affected. Further, all three cap groups of developed markets are mostly affected during the last phase of the ESDC, while emerging and frontier markets show a more diverse pattern of contagion across the phases of both crises. Finally, the Lehman Brothers' collapse triggers a dramatic increase of the infection rate, while the ESDC seems to be more contagious than the GFC.
JEL classifications: F30; G15
Keywords: Capitalization-specific contagion; global financial crisis; Eurozone debt crisis; dynamic conditional correlation; FIAPARCH