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The subprime asset-backed securities market and the equity prices of large complex financial institutions

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The subprime asset-backed securities market and the equity prices of large complex financial institutions. / Calice, G.
In: Journal of International Financial Markets, Institutions and Money, Vol. 21, No. 4, 10.2011, p. 585-604.

Research output: Contribution to journal › Article › peer-review

HarvardHarvard

Calice, G 2011, 'The subprime asset-backed securities market and the equity prices of large complex financial institutions', Journal of International Financial Markets, Institutions and Money, vol. 21, no. 4, pp. 585-604. https://doi.org/10.1016/j.intfin.2011.04.001

APA

Calice, G. (2011). The subprime asset-backed securities market and the equity prices of large complex financial institutions. Journal of International Financial Markets, Institutions and Money, 21(4), 585-604. https://doi.org/10.1016/j.intfin.2011.04.001

CBE

Calice G. 2011. The subprime asset-backed securities market and the equity prices of large complex financial institutions. Journal of International Financial Markets, Institutions and Money. 21(4):585-604. https://doi.org/10.1016/j.intfin.2011.04.001

MLA

Calice, G. "The subprime asset-backed securities market and the equity prices of large complex financial institutions". Journal of International Financial Markets, Institutions and Money. 2011, 21(4). 585-604. https://doi.org/10.1016/j.intfin.2011.04.001

VancouverVancouver

Calice G. The subprime asset-backed securities market and the equity prices of large complex financial institutions. Journal of International Financial Markets, Institutions and Money. 2011 Oct;21(4):585-604. doi: 10.1016/j.intfin.2011.04.001

Author

Calice, G. / The subprime asset-backed securities market and the equity prices of large complex financial institutions. In: Journal of International Financial Markets, Institutions and Money. 2011 ; Vol. 21, No. 4. pp. 585-604.

RIS

TY - JOUR

T1 - The subprime asset-backed securities market and the equity prices of large complex financial institutions

AU - Calice, G

PY - 2011/10

Y1 - 2011/10

N2 - In this paper, we investigate the relationship between the sub-prime asset-backed collateralized debt obligations (CDO) market and Large Complex Financial Institutions (LCFIs). We attempt to account for the dynamics between the ABX index returns and the banks' equity returns through conditioning our analysis on the historical correlation between the variables. Three key results emerge from the analysis. First, we find a positive correlation between movements of the ABX index and the equity returns for all the LCFIs. Second, the volatility of ABX index returns tend to be transmitted to the volatilities of the equity returns of the financial institutions. Third, ABX prices changes lead equity returns changes of the European-based LCFIs. For the US LCFIs a two-way linkage emerges. (C) 2011 Elsevier B. V. All rights reserved.

AB - In this paper, we investigate the relationship between the sub-prime asset-backed collateralized debt obligations (CDO) market and Large Complex Financial Institutions (LCFIs). We attempt to account for the dynamics between the ABX index returns and the banks' equity returns through conditioning our analysis on the historical correlation between the variables. Three key results emerge from the analysis. First, we find a positive correlation between movements of the ABX index and the equity returns for all the LCFIs. Second, the volatility of ABX index returns tend to be transmitted to the volatilities of the equity returns of the financial institutions. Third, ABX prices changes lead equity returns changes of the European-based LCFIs. For the US LCFIs a two-way linkage emerges. (C) 2011 Elsevier B. V. All rights reserved.

U2 - 10.1016/j.intfin.2011.04.001

DO - 10.1016/j.intfin.2011.04.001

M3 - Article

VL - 21

SP - 585

EP - 604

JO - Journal of International Financial Markets, Institutions and Money

JF - Journal of International Financial Markets, Institutions and Money

SN - 1042-4431

IS - 4

ER -