All Outputs (2)

Capital account reform and short- and long-run stock price leadership (2015)
Journal Article

This paper studies the effect of capital account liberalization policies on the price discovery of cross-listings in Chinese stocks. We construct a non-linear causality framework that decomposes short- and long-run dimensions of price leadership. Our... Read More about Capital account reform and short- and long-run stock price leadership.

Are Market-Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors? (2015)
Journal Article

We analyze whether four market-based measures of the global systemic importance of financial institutions offer early warning signals during three financial crises. The tests based on the 2007–2008 crisis show that only one measure (∆CoVaR) consisten... Read More about Are Market-Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors?.