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Volume 18, Numbers 3 & 4 / September/December 2014 , Pages 169-336
 
Multinational Finance Journal, 2014, vol. 18, no. 3/4, pp. 169-213
Frédéric Délèze , Hanken school of Economics, Finland
Syed Mujahid Hussain , Hanken school of Economics, Finland    Corresponding Author

Abstract:
This paper investigates jumps and cojumps in European financial markets around the major U.S macroeconomic news announcements employing more than six years of high frequency data on stock indices, currency and interest rate futures. The findings show that while the U.S macroeconomic announcements cause significant jumps on all asset classes, European equity markets are found to be more responsive. Moreover, there is a strong correlation between the type of news and direction of the jumps. Significant cojumps caused by the U.S macroeconomic surprises across European stock indices futures are also reported. The time series analyses show that the European financial markets experienced more frequent and sizeable jumps during the recent global financial crisis. Similarly, more frequent cojumps are also reported across European equity markets during the same period.

Keywords : jumps and cojumps; macroeconomic announcements; tick by tick data; interest rate futures; global credit crisis
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Multinational Finance Journal, 2014, vol. 18, no. 3/4, pp. 215-248
Sha Liu , University of Southampton, UK    Corresponding Author

Abstract:
This study examines the relation between textual sentiment (media pessimism), the concentration/volume of news, and sovereign bond yield spreads, specifically in Greece, Ireland, Italy, Portugal and Spain during the European sovereign debt crisis from 2009 to 2012. The findings suggest that higher media pessimism and greater concentration/volume of news collectively communicate additional value-relevant information that has not been quantified by traditional determinants of yield spreads. If higher media pessimism is coupled with greater concentration/volume of news and other factors remain unchanged, yield spreads would move upwards, causing prices to fall. Media pessimism and the number of news stories respectively and collectively help predict the widening of yield spreads. Higher media pessimism level is strongly associated with more news stories being reported, suggesting that “no news is good news.”

Keywords : textual sentiment; media pessimism; information supply; sovereign bond yield spreads; European sovereign debt crisis
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Multinational Finance Journal, 2014, vol. 18, no. 3/4, pp. 249-280
Abdullah Iqbal , University of Kent, UK
Ortenca Kume , University of Kent, UK    Corresponding Author

Abstract:
This study examines the impact of the recent financial crisis on the capital structure decision of UK, French and German firms. The results show that overall leverage ratios increase from pre-crisis (2006 and 2007) to crisis (2008 and 2009) years and then decrease in the post-crisis (2010 and 2011) years. Both equity and debt levels change during the crisis and post-crisis years. The findings further reveal that firms with lower than industry average capital structure ratios in the pre-crisis period experience a gradual increase in their leverage during crisis and post-crisis periods. However, firms with higher than industry average capital structure ratios in the pre-crisis periods experience a significant decrease in the leverage ratios particularly in the post-crisis period mainly due to changes in their equity levels.

Keywords : financial crisis; capital structure; leverage, UK, France, Germany
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Multinational Finance Journal, 2014, vol. 18, no. 3/4, pp. 281-336
Basma Majerbi , University of Victoria, Canada    Corresponding Author
Houssem Rachdi , University of Jendouba, Tunisia

Abstract:
This paper revisits the relationship between liberalization and systemic banking crisis in light of a more comprehensive measure of financial liberalization and its interaction with various measures of banking governance and institutional quality. We estimate the probability of systemic banking crisis for a sample of 53 countries using multivariate logit models and allowing the determinants of crisis to vary across country groups. The results show that liberalization increases the likelihood of crisis only at early stages of financial reforms and up to certain level, after which, greater liberalization, through more advanced financial reforms, tends to reduce the probability of systemic banking crisis. We also find that stricter banking regulation and supervision, better law and order, government stability, lack of corruption and bureaucratic efficiency generally lead to reduced probability of crisis. However, the magnitude and significance of the beneficial effects of governance largely depend on the degree of liberalization and vary across countries depending on their levels of income and development.

Keywords : systemic banking crises; early warning systems; multivariate logistic regressions; financial liberalization; institutional quality and banking governance
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