Bankruptcy of Lehman Brothers: Determinants of Cross-country Impacts on Stock Market Volatility
We empirically examine the determinants of the short-term cross-country impacts of Lehman Brothers’ bankruptcy on the volatility of stock prices. According to the results of this study, countries with lower financial openness and greater stock market depth experienced a smaller increase in stock pri...
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| Format: | Article |
| Language: | English |
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EconJournals
2017-09-01
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| Series: | International Journal of Economics and Financial Issues |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/tr/pub/ijefi/issue/32021/354227?publisher=http-www-cag-edu-tr-ilhan-ozturk |
| _version_ | 1797913152082411520 |
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| author | Daehwan Kim Chi-Young Song |
| author_facet | Daehwan Kim Chi-Young Song |
| author_sort | Daehwan Kim |
| collection | DOAJ |
| description | We empirically examine the determinants of the short-term cross-country impacts of Lehman Brothers’ bankruptcy on the volatility of stock prices. According to the results of this study, countries with lower financial openness and greater stock market depth experienced a smaller increase in stock price volatility. This suggests that capital control and greater stock market development were relatively more useful in maintaining the stability of stock markets at the time of Lehman’s failure. On the other hand, we find little evidence for the role of international imbalances, trade openness, economic sizes and income levels, and macroeconomic fundamentals. |
| first_indexed | 2024-04-10T12:07:21Z |
| format | Article |
| id | doaj.art-cffa9fe9f9004cc1884b3c1cc351358d |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T12:07:21Z |
| publishDate | 2017-09-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-cffa9fe9f9004cc1884b3c1cc351358d2023-02-15T16:16:10ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382017-09-01732102191032Bankruptcy of Lehman Brothers: Determinants of Cross-country Impacts on Stock Market VolatilityDaehwan KimChi-Young SongWe empirically examine the determinants of the short-term cross-country impacts of Lehman Brothers’ bankruptcy on the volatility of stock prices. According to the results of this study, countries with lower financial openness and greater stock market depth experienced a smaller increase in stock price volatility. This suggests that capital control and greater stock market development were relatively more useful in maintaining the stability of stock markets at the time of Lehman’s failure. On the other hand, we find little evidence for the role of international imbalances, trade openness, economic sizes and income levels, and macroeconomic fundamentals.https://dergipark.org.tr/tr/pub/ijefi/issue/32021/354227?publisher=http-www-cag-edu-tr-ilhan-ozturklehman brothers volatility of stock prices financial openness stock market development |
| spellingShingle | Daehwan Kim Chi-Young Song Bankruptcy of Lehman Brothers: Determinants of Cross-country Impacts on Stock Market Volatility International Journal of Economics and Financial Issues lehman brothers volatility of stock prices financial openness stock market development |
| title | Bankruptcy of Lehman Brothers: Determinants of Cross-country Impacts on Stock Market Volatility |
| title_full | Bankruptcy of Lehman Brothers: Determinants of Cross-country Impacts on Stock Market Volatility |
| title_fullStr | Bankruptcy of Lehman Brothers: Determinants of Cross-country Impacts on Stock Market Volatility |
| title_full_unstemmed | Bankruptcy of Lehman Brothers: Determinants of Cross-country Impacts on Stock Market Volatility |
| title_short | Bankruptcy of Lehman Brothers: Determinants of Cross-country Impacts on Stock Market Volatility |
| title_sort | bankruptcy of lehman brothers determinants of cross country impacts on stock market volatility |
| topic | lehman brothers volatility of stock prices financial openness stock market development |
| url | https://dergipark.org.tr/tr/pub/ijefi/issue/32021/354227?publisher=http-www-cag-edu-tr-ilhan-ozturk |
| work_keys_str_mv | AT daehwankim bankruptcyoflehmanbrothersdeterminantsofcrosscountryimpactsonstockmarketvolatility AT chiyoungsong bankruptcyoflehmanbrothersdeterminantsofcrosscountryimpactsonstockmarketvolatility |