Integration, Financial Securities and Contagion Risk: Empirical Evidence for the Period 1995-2016

Piffaut, Pedro V.; Rey Miro, Damia

ISBN 10: 333004408X / ISBN 13: 9783330044081

Published by LAP LAMBERT Academic Publishing, 2017

About this Item

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Bibliographic Details

• Title: Integration, Financial Securities and Contagion Risk: Empirical Evidence for the Period 1995-2016
• Publisher: LAP LAMBERT Academic Publishing
• Publication Date: 2017
• Language: English
• ISBN 10: 333004408X
• ISBN 13: 9783330044081
• Binding: Soft cover
• Condition: New

About this title

Synopsis

In this volume "Integration, Financial Securities and Contagion Risk: Empirical Evidence for the Period 1995-2016" the authors estimate, econometrically, the connections and the degree of integration among financial markets in the U.S., Europe and Asia. Defined as the correlation between markets above what is already implicit in the fundamentals of the underlying assets, contagion is a subproduct of this integration imposed by globalization. The evidence is not merely inconvenient, but also worrisome as greater integration has also led to greater volatility and financial risk. This integration and the monetary policy followed by the major Central Banks around the world after the 2008 turmoil, are posing additional risks for another plausible major financial crisis in the near future. This high liquidity has broken many of the historical correlations that were in the market, while volatility indexes are at their historical minimum signaling a false sense of health of the international financial system. It seems that a new financial order could be established from this point to the end of 2020; perhaps this is what the empirical evidence shown in this book is telling us.

About the Author

Dr. Pedro V. Piffaut is an economist with over twenty years of expertise in econometric modeling. He earned his Ph.D., M.Phil., and M.A. in Economics and Education from Columbia University in New York. Damią Rey Miró is professor of economics at the Universidad de Barcelona, Spain. He is also a member of the Barcelona Stock Exchange Studies (BME).