IDEAS home Printed from https://ideas.repec.org/a/taf/apfiec/v7y1997i6p703-710.html
   My bibliography  Save this article

Reaction of bank stock prices to the multiple events of the Brazilian debt crisis

Author

Listed:
  • IKE Mathur
  • Sridhar Sundaram

Abstract

Rather than assessing the market reaction to individual dates associated with the Brazilian debt crisis, eight significant dates associated with the crisis are studied simultaneously. The results show a systematic shift in the returns generating process, caused by the debt crisis. The beta of the money centre bank portfolio increased significantly subsequent to the agreement on the rescheduling of Brazilian debt, while the beta for banks without LDC debt decreased significantly after the agreement. Contagion effects associated with the announcement of the Citicorp loan loss reserves were also observed

Suggested Citation

  • IKE Mathur & Sridhar Sundaram, 1997. "Reaction of bank stock prices to the multiple events of the Brazilian debt crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 7(6), pages 703-710.
    • Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:703-710
    DOI: 10.1080/758533863
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/758533863
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/758533863?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Stefan Eichler, 2012. "The impact of banking and sovereign debt crisis risk in the eurozone on the euro/US dollar exchange rate," Applied Financial Economics, Taylor & Francis Journals, vol. 22(15), pages 1215-1232, August.
    2. Crouzille, Celine & Lepetit, Laetitia & Tarazi, Amine, 2004. "Bank stock volatility, news and asymmetric information in banking: an empirical investigation," Journal of Multinational Financial Management, Elsevier, vol. 14(4-5), pages 443-461.
    3. Bongini, Paola & Nieri, Laura & Pelagatti, Matteo, 2015. "The importance of being systemically important financial institutions," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 562-574.
    4. Céline Crouzille & Lætitia Lepetit & Amine Tarazi, 2006. "Reaction of European bank stock prices to events of the Asian and Russian financial crises," Revue d'économie politique, Dalloz, vol. 116(4), pages 457-469.
    5. Bongini, Paola & Nieri, Laura & Pelagatti, Matteo & Piccini, Andrea, 2017. "Curbing systemic risk in the insurance sector: A mission impossible?," The British Accounting Review, Elsevier, vol. 49(2), pages 256-273.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:703-710. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAFE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.