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    ABSTRACT: This paper develops an indicator of financial stress transmission, called Financial Stress Spillover Index (FSSI), to monitor the condition of financial system and to identify periods of excessive spillover that may lead to financial instability. Specifically, using the “spillover index” approach of Diebold and Yilmaz (2012), we modify and extend the financial stress indices proposed by Oet et al., 2011 to track both total and directional stress spillovers across the U.S. equity, debt, banking, and foreign exchange markets. Unlike other previous studies, the important linkages among these four major financial sectors in an interconnected world are directly taken into account by considering the average and time-varying connectedness of each individual market. The evidence suggests that there are important stress episodes and fluctuations across markets; the total cross-market stress spillovers were rather limited until the onsets of financial crises. As the crises intensified, so too did the financial stress spillovers; with significant stress carrying over from debt and equity markets to the others. In addition, our results indicate that FSSI has a significant predictive power for the economic activity and provides useful information for dating financial crisis.
    No preview · Article · Feb 2014 · International Review of Financial Analysis
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    ABSTRACT: This study explores whether an entrepreneur’s ability to assemble and leverage human capital, particularly specific human capital relating to prior business ownership experience, is associated with seven types of product and work practices innovation in an emerging region, namely, Ghana. Logistic regression estimation revealed that portfolio entrepreneurs were more likely than novice entrepreneurs to report ‘innovation tried’. Multinomial logistic regression analysis revealed that portfolio entrepreneurs were more likely than other entrepreneurs to report ‘innovation tried and introduced’. If the goals of policy are to increase the ‘quality’ of new business start-ups and maximize investment returns, there is a case to target assistance to portfolio entrepreneurs. KeywordsInnovation process outcomes–Human capital–Habitual entrepreneurs–Ghana
    No preview · Article · Oct 2012 · Small Business Economics
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    ABSTRACT: Previous studies have examined the separate effects of the tone and volume of news media on stock returns. We incorporate both these aspects into our study and examine their combined effect on stock returns using UK news media data over the period 1981–2010. We find that high media coverage predicts low stock returns and that both positive and negative words drive investor reaction to news. Investors tend to overreact to highly visible news, whether positive or negative, and this effect is more pronounced for larger stocks, indicating both visibility and tone are key factors that determine how investors respond to news.
    Full-text · Article · Jan 2012 · SSRN Electronic Journal
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