Motivated by recent financial crises, significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said regarding the influence of financial news on financial markets. We propose a novel measure of collective behaviour based on financial news on the Web, the News Cohesiveness Index (NCI), and we demonstrate that the in...

It is commonly argued that China’s financial markets are effectively insulated from the rest of the world. To see if this is true and to better understand China’s financial development, we analyze China’s integration with major financial markets. Using conditional copulas, we show that China has experienced an increasing level of integration with several major financial markets during the last ...

this paper presents a new index of financial stress which is constructed by macro data from different financial markets (including banking sector and also housing, foreign exchange and stock markets). the proposed approach has been applied to the iranian economy based on the available quarterly time series, covering the period 1991(1)–2008(2). the paper explains how the selected components capt...

Large global financial imbalances need not be the harbinger of a world financial crash as many authors believe. Instead, we show that large and persistent global imbalances can be the outcome of financial integration when countries have different financial markets characteristics. In particular, countries with more advanced financial markets accumulate foreign liabilities vis-a-vis countries wi...

In recent years, people have begun to pay more and more attention to the effect of news on financial instrument markets (i.e., the markets for trading financial instruments). Researchers in the financial domain have conducted many studies demonstrating the effect of different types of news on trade activities in financial instrument markets such as volatility in trade price, trade volume, tradi...