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The risk in capital controls

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  • Gkillas (Gillas), Konstantinos
  • Tsagkanos, Athanasios
  • Siriopoulos, Costas

Abstract

This paper investigates the effect of capital controls in banking outflow funds on financial risk in the Athens Stock Exchange. The study uses daily returns for two sub-periods before and after the capital controls, ranging from 31 March 2011 to 31 March 2016. We focus on the peaks over threshold method to calculate the risk measures. We propose a bootstrap approach to compare risk measures in two sub-periods. The bootstrap results indicate that there is an underestimation of financial risk after the capital controls.

Suggested Citation

  • Gkillas (Gillas), Konstantinos & Tsagkanos, Athanasios & Siriopoulos, Costas, 2016. "The risk in capital controls," Finance Research Letters, Elsevier, vol. 19(C), pages 261-266.
    • Handle: RePEc:eee:finlet:v:19:y:2016:i:c:p:261-266
    DOI: 10.1016/j.frl.2016.08.011
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    Cited by:

    1. Zehri, Chokri, 2022. "Asymmetric impact of capital controls on international trade," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
    2. Kitano, Shigeto & Zhou, Yang, 2022. "Effects of China’s capital controls on individual asset categories," Finance Research Letters, Elsevier, vol. 49(C).
    3. Gkillas, Konstantinos & Longin, François, 2018. "Financial market activity under capital controls: Lessons from extreme events," Economics Letters, Elsevier, vol. 171(C), pages 10-13.
    4. Gkillas, Konstantinos & Katsiampa, Paraskevi, 2018. "An application of extreme value theory to cryptocurrencies," Economics Letters, Elsevier, vol. 164(C), pages 109-111.
    5. Athanasios Tsagkanos & Konstantinos Gkillas & Christoforos Konstantatos & Christos Floros, 2021. "Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System," IJFS, MDPI, vol. 9(2), pages 1-13, April.

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    More about this item

    Keywords

    Capital controls; Extreme value analysis; Financial crises;
    All these keywords.

    JEL classification:

    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • F38 - International Economics - - International Finance - - - International Financial Policy: Financial Transactions Tax; Capital Controls
    • G01 - Financial Economics - - General - - - Financial Crises
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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