The risk in capital controls
Gkillas (Gillas), Konstantinos,
Athanasios Tsagkanos and
Costas Siriopoulos ()
Authors registered in the RePEc Author Service: Konstantinos Gkillas ()
Finance Research Letters, 2016, vol. 19, issue C, 261-266
This paper investigates the effect of capital controls in banking outflow funds on financial risk in the Athens Stock Exchange. The study uses daily returns for two sub-periods before and after the capital controls, ranging from 31 March 2011 to 31 March 2016. We focus on the peaks over threshold method to calculate the risk measures. We propose a bootstrap approach to compare risk measures in two sub-periods. The bootstrap results indicate that there is an underestimation of financial risk after the capital controls.
Keywords: Capital controls; Extreme value analysis; Financial crises (search for similar items in EconPapers)
JEL-codes: C46 F38 G01 G32 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:19:y:2016:i:c:p:261-266
Access Statistics for this article
Finance Research Letters is currently edited by R. GenÃ§ay
More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().