Russian financial crisis, US financial stock returns and the IMF

M. Humayun Kabir and M. Kabir Hassan

Applied Financial Economics, 2009, vol. 19, issue 5, 409-426

Abstract: We find a statistically significant increase in adjusted correlation between portfolio returns during the Russian financial crisis period, especially during the peak of the crisis. We also find that commercial bank and Savings & Loan Institutions (S&L) portfolios lost market value significantly with events, starting with the debt moratorium and ruble devaluation on 17 August 1998. Much of the significant losses were driven by smaller size portfolios of financial institutions. The greater losses were incurred by commercial banks, and most importantly, by smaller commercial banks, S&Ls and investment banks in the third sub-period following the debt moratorium. We also found a form of contagion effect on the portfolio of smaller banks. Moreover, International Monetary Fund help or bailout has been perceived ineffective contributing to any recovery from crisis in Russia.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100801935362 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:19:y:2009:i:5:p:409-426

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100801935362

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().