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The subprime asset-backed securities market and the equity prices of large complex financial institutions
journal contribution
posted on 2017-02-24, 10:03 authored by Giovanni CaliceIn this paper, we investigate the relationship between the subprime asset-backed collateralized debt obligations (CDO) market and Large Complex Financial Institutions (LCFIs). We attempt to account for the dynamics between the ABX index returns and the banks' equity returns through conditioning our analysis on the historical correlation between the variables. Three key results emerge from the analysis. First, we find a positive correlation between movements of the ABX index and the equity returns for all the LCFIs. Second, the volatility of ABX index returns tend to be transmitted to the volatilities of the equity returns of the financial institutions. Third, ABX prices changes lead equity returns changes of the European-based LCFIs. For the US LCFIs a two-way linkage emerges. © 2011 Elsevier B.V.
History
School
- Business and Economics
Department
- Business
Published in
Journal of International Financial Markets, Institutions and MoneyVolume
21Issue
4Pages
585 - 604Citation
CALICE, G., 2011. The subprime asset-backed securities market and the equity prices of large complex financial institutions. Journal of International Financial Markets, Institutions and Money, 21 (4), pp.585-604Publisher
© Elsevier B.V.Version
- NA (Not Applicable or Unknown)
Publisher statement
This work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/Publication date
2011Notes
This paper is closed access.ISSN
1042-4431Publisher version
Language
- en