TY  - JOUR
TT  - Bankruptcy of Lehman Brothers: Determinants of Cross-country Impacts on Stock Market Volatility
AU  - Kim, Daehwan
AU  - Song, Chi-young
PY  - 2017
DA  - September
JF  - International Journal of Economics and Financial Issues
JO  - IJEFI
PB  - İlhan ÖZTÜRK
WT  - DergiPark
SN  - 2146-4138
SP  - 210
EP  - 219
VL  - 7
IS  - 3
KW  - Lehman Brothers
KW  - volatility of stock prices
KW  - financial openness
KW  - stock market development
N2  - 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.
UR  - https://dergipark.org.tr/tr/pub/ijefi/issue//354227
L1  - https://dergipark.org.tr/tr/download/article-file/365352
ER  -