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Determinants of Systemic Risk and Fi...

Clark University.

Determinants of Systemic Risk and Financial Crisis Duration.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Determinants of Systemic Risk and Financial Crisis Duration.
Author:	Hua, Xiaxin.
Description:	180 p.
Notes:	Source: Dissertation Abstracts International, Volume: 76-12(E), Section: A.
Notes:	Advisers: Wayne Gray; Marcelo Bianconi.
Contained By:	Dissertation Abstracts International76-12A(E).
Subject:	Finance.
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3717038
ISBN:	9781321963632

Determinants of Systemic Risk and Financial Crisis Duration.
Hua, Xiaxin.

Determinants of Systemic Risk and Financial Crisis Duration. - 180 p.

Source: Dissertation Abstracts International, Volume: 76-12(E), Section: A.

Thesis (Ph.D.)--Clark University, 2015.

The recent financial crisis of 2008 has stirred a movement of fruitful financial economics research on its determinants, influence and control. Several different types of financial crisis occur that are determined by different factors. Although a tremendous number of discussions have been conducted about the financial crisis, very limited quantitative work has been done for the determinants of systemic risk as well as crisis duration. The aim of this dissertation is to empirically explore these two sub areas to help strengthen future risk control for both micro-economies and macro-economies. The first and second chapters of this dissertation focus mainly on the determinants of systemic risk, which is usually considered to be the trigger of the stock market crisis. The third chapter seeks to explore the determinants of the crisis duration for different types of financial crisis.

ISBN: 9781321963632Subjects--Topical Terms:

183252
Finance.

Determinants of Systemic Risk and Financial Crisis Duration.
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245 1 0 $a Determinants of Systemic Risk and Financial Crisis Duration.
300 $a 180 p.
500 $a Source: Dissertation Abstracts International, Volume: 76-12(E), Section: A.
500 $a Advisers: Wayne Gray; Marcelo Bianconi.
502 $a Thesis (Ph.D.)--Clark University, 2015.
520 $a The recent financial crisis of 2008 has stirred a movement of fruitful financial economics research on its determinants, influence and control. Several different types of financial crisis occur that are determined by different factors. Although a tremendous number of discussions have been conducted about the financial crisis, very limited quantitative work has been done for the determinants of systemic risk as well as crisis duration. The aim of this dissertation is to empirically explore these two sub areas to help strengthen future risk control for both micro-economies and macro-economies. The first and second chapters of this dissertation focus mainly on the determinants of systemic risk, which is usually considered to be the trigger of the stock market crisis. The third chapter seeks to explore the determinants of the crisis duration for different types of financial crisis.
520 $a In chapter one, I first explain what is systemic risk and how do other people and I define it. Then, I study the theory and the possibility of the quantitative measurement of the sentiments of the stock market. I explain why this sentiment is important to study systemic risk, and how this is related to information dissemination. Then, two alternative sources of information dissemination are used to test my hypothesis to see if information dissemination with negative sentiment may amplify the systemic risk. I also compare the differences of the two sources of information disseminations, VIX and print media sentiment. The subjects studied in this chapter are 14 top companies in the financial industry. In chapter two, I continue to explore the effect of negative information dissemination on systemic risk. The subjects of observation in this chapter are 14 top companies in the pulp and paper mill industry. Moreover, the information dissemination in this chapter is bad environmental news either on the industry or single firms.
520 $a In Chapter three, I try to explore the determinants of the duration of different types of crisis. Specifically, I study currency crisis, inflation crisis, stock market crisis, sovereign debt crisis as well as banking crisis. Too many macroeconomic and non-economic factors were claimed to be related to financial crisis in previous studies. Thus, several different model settings are applied in this study to determine the real effective determinants for the different types of crisis durations.
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