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Bankruptcy of Lehman Brothers: Determinants of Cross-country Impacts on Stock Market Volatility

Author

Listed:
  • Daehwan Kim

    (Department of Economics, Konkuk University, 120 Neungdong-ro, Gwangjin-gu, Seoul 05029, Korea,)

  • Chi-Young Song

    (Department of Commerce and Finance, Kookmin University, 77 Jeongneung-ro, Seongbuk-gu, Seoul 02707, Korea)

Abstract

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.

Suggested Citation

  • Daehwan Kim & Chi-Young Song, 2017. "Bankruptcy of Lehman Brothers: Determinants of Cross-country Impacts on Stock Market Volatility," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 210-219.
    • Handle: RePEc:eco:journ1:2017-03-28
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    References listed on IDEAS

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    More about this item

    Keywords

    Lehman Brothers; Volatility of Stock Prices; Financial Openness; Stock Market Development;
    All these keywords.

    JEL classification:

    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F38 - International Economics - - International Finance - - - International Financial Policy: Financial Transactions Tax; Capital Controls
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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