An Analysis of the Repeated Financial Earthquakes
Subject Areas : Financial and Economic ModellingFateme Taleghani 1 , Mahdi Salehi 2 , Alireza Shakibaiee 3
1 - Department of economics and management, Shahid Bahonar university, Kerman, Iran
2 - Department of Mathematics and Statistics, Neyshabur university, Neyshabur, Iran
3 - Department of economics and management, Shahid Bahonar university, Kerman, Iran
Keywords:
Abstract :
[1] Felix Raj, S. J. J., and Roy, S., Impact of Financial Crisis in Asia, Procedia - Social and Behavioral Sciences, 2014, 133, P.336-345. Doi:10.1016/j.sbspro.2014.04.199.
[2] Griffith-Jones, S., and Ocampo, J. A., The Financial Crisis and Its Impact on Developing Countries, Discussion Paper, 2009.
[3] Potirakis, S. M., Zitis, P. I., and Eftaxias, K., Dynamical Analogy between Economical Crisis and Earthquake Dynamics within the Nonextensive Statistical Mechanics Framework, Journal of Physic A, 2013, 392(13), P. 2940-2954. Doi:10.1016/j.physa.2013.03.006.
[4] Negrea, B., A Statistical Measure of Financial Crises Magnitude, Physica A, 2014, 397, P. 54-75. Doi:10.1016/j.physa.2013.11.030.
[5] International Monetary Fund, World Economic Outlook: Crisis and Recovery, 2009. Doi:10.5089/9781589068063.081.
[6] Naude, W., The Financial Crisis of 2008 and the Developing Countries, UNU Discussion paper, Helsinki: United Nations Unversity, 2009.
[7] Velde, D. W. T., The Global Financial Crisis and Developing Countries, ODI Background Note, Working Paper,2008, 361.
[8] Shikimi, M., and Yamada, K., Trade and Financial Channels as the Transmission Mechanism of the Financial Crisis, International Review of Economics & Finance, 2019, Doi:10.1016/j.iref.2019.04.008.
[9] King, M. A., and Wadhwani, S., Transmission of Volatility between Stock Markets, Review of Financial Studies, 1990, 3(1), P. 5-33. Doi: 10.3386/w2910.
[10] Bertero, E., and Mayer, C., Structure and Performance: Global Interdependence of Stock Markets around the Crash of October 1987, European Economic Review, 1990, 34 (6), P. 1155-1180. Doi:10.1016/0014-2921(90)90073-8.
[11] Samarakoon , L. P., Stock Market Interdependence, Contagion, and U.S. Financial Crisis: the Case of Emerging and Frontier Markets, Journal of International Financial Markets, Institutions and Money, 2011, 21 (5), P. 724-742. Doi:10.1016/j.intfin.2011.05.001.
[12] Boubaker, S., Jouini, J., and Lahiani, A., Financial Contagion between the US and Selected Developed and Emerging Countries: the Case of the Subprime Crisis, The Quarterly Review of Economics and Finance, 2016, 61, P. 14-28. Doi:10.1016/j.qref.2015.11.001.
[13] Long, W., Li, N., Wang, H., and Cheng, S., Impact of US Financial Crisis on Different Countries: Based on the Method of Functional Analysis of Variance, Procedia Computer Science, 2012, 9, P. 1292-1298. Doi:10.1016/j.procs.2012.04.141.
[14] Yamamoto, S., Transmission of US Financial and Trade Shocks to Asian Economics: Implication for Spillover of the 2007-2009 US Financial Crisis, North American Journal of Economics and Finance, 2014, 27, P. 88-103. Doi:10.1016/j.najef.2013.12.002.
[15] Saleem, K., International Linkage of the Russian Market and the Russian Financial Crisis: a Multivariate GARCH Analysis, Research in International Business and Finance, 2009, 23(3), P. 243–256. Doi:10.1016/j.riba f.2008.09.003.
[16] Maghyereh, A. I., Awartani, B., and Hilu, K. A., Dynamic Transmissions between the U.S. and Equity markets in the MENA Countries: New Evidence from Pre- and Post-Global Financial Crisis, The Quarterly Review of Economics and Finance, 2015, 56, P. 123-138. Doi:10.1016/j.qref.2014.08.005.
[17] Kim, B. H., Kim, H., and lee, B. S., Spillover Effects of the U.S. Financial Crisis on Financial Markets in Emerging Asian Countries, International Review of Economics and Finance, 2015, 39, P. 192-210. Doi:10.1016 /j.iref.2015.04.005.
[18] Neaime, S., Financial Crises and Contagion Vulnerability of MENA Stock Markets, Emerging Markets Review, 2016, 27, P.14-35. https://doi.org/10.1016/j.ememar.2016.03.002.
[19] Ghasemi, S. and Sarlak, A., Investigating the Impact of the Financial Crisis on Conservative Accounting and Transparency of Banking Information, Advances in mathematical finance & applications, 2018, 3 (3), P. 53-68. Doi: 10.22034/AMFA.2018.544949.
[20] Ahmadi, R. and Kordloei, H., The Effect of Financial Distress on the Investment Behaviour of Companies Listed on Tehran Stock Exchange, Advances in mathematical finance & applications, 2018, 3 (4), P. 17-28. Doi: 10.22034/AMFA.2019.565459.1108.
[21] Cardak, B. A., Martin, V. L., and McAllister, R., The Effects of the Global Financial Crisis on the Stock Holding Decisions of Australian Households, The North American Journal of Economics and Finance, 2019, 50, P. 1-34. Doi:10.1016/j.najef.2019.04.026.
[22] BenMim, I. and BenSaid, A., Financial Contagion across Major Stock Markets: A Study During Crisis Episodes, The North American Journal of Economics and Finance, 2019, 48, P. 187-201. Doi:10.1016/j.najef.2019.02.005.
[23] Johansen, A., and Sornette, D., Stock Market Crashes are Outliers, The European Physical Journal B, 1998, 1 (2), P. 141-143. Doi:10.1007/s100510050163.
[24] Selcuk, F., Financial Earthquakes, Aftershocks and Scaling in Emerging Stock Markets, Journal of Physica A, 2004, 333, P. 306-316. https://doi.org/10.1016/j.physa.2003.10.060.
[25] Gresnigt, F., Kole, E., and Franses, P. H., Interpreting Financial Market Crashes as Earthquakes: a New Early Warning System for Medium Term Crashes, Journal of Banking and Finance, 2015, 56, P.123-139. Doi:10.1016/j.jbankfin.2015.03.003.
[26] Jagielski, M., Kutner, R., and Sornette, D., Theory of Earthquakes Interevent Times Applied to Financial Markets, Physica A: Statistical Mechanics and its Applications, 2017, 483, P. 68-73. Doi:10.1016/j.physa .2017.04.115.
[27] Ikeda, T., Multifractal Structures for the Russian Stock Market, Physic A, 2018, 492, P. 2123-2128. Doi:10.1016/j.physa.2017.11.129.
[28] Zumbach, G. O., Dacorogna, M. M., Olsen, J. L., and Olsen, R. B., Measuring Shocks in Financial Markets, International Journal of Theoretical and Applied Finance, 2000, 3, P. 347-355. Doi:10.1142/S02190249 00000188.
[29] Kapopoulos, P., and Siokis, F., Stock Market Crashes and Dynamics of Aftershocks, Economics Letters, 2005, 89, P. 45-54. Doi:10.1016/j.econlet.2005.05.032.
[30] Siokis, F. M., Stock Market Dynamics: Before and After Stock Market Crashes, Physica A, 2004, 391, P. 1315-1322. Doi:10.1016/j.physa.2011.08.068.
[31] Gutenberg, B., and Richter, C. F., Earthquake Magnitude, Intensity, Energy and Acceleration (Second Paper), Bulletin of the Seismological Society of America, 1956, 46 (2), P. 105-145.
[32] Pisarenko, V., and Rodkin, M., Heavy-Tailed Distributions in Disaster Analysis, Springer, New York, 2010. Doi: 10.1007/978-90-481-9171-0.
[33] Bath, M., Earthquake Magnitude - Recent Research and Current Trends, Earth-Science Review, 1981, 17, P. 315-398. Doi:10.1016/0012-8252(81)90014-3.
[34] Davidsen, J., and Paczuski, M., Analysis of the Spatial Distribution between Successive Earthquakes, Physical Review Letters, 2005, 94 (4). Doi:10.1103/PhysRevLett.94.048501.
[35] Cheng, Q., and Sun, H., Variation of Singularity of Earthquake-Size Distribution with Respect to Tectonic Regime, Geoscience Frontiers, 2018, 9 (2), P. 453-458. Doi:10.1016/j.gsf.2017.04.006.
[36] Newman, M. E. J., Power Laws, Pareto Distributions and Zipf’s Law, Contemporary Physics, 2005, 46, P. 323-351. Doi:10.1080/00107510500052444.
[37] Pisarenko, V., Sornette, D., and Rodkin, M., Deviation of the Distributions of Seismic Energies from the Gutenberg–Richter Law, Computational Seismology, 2004, 35, P. 138-159. Doi:10.1016/0031-9201(92)90093-B.
[38] Voit, J., The Statistical Mechanics of financial Markets, Third edition, Springer-Verlag, 2005. Doi: 10.100 7/b137351.
[39] Richter, C. F., An Instrumental Earthquake Magnitude Scale, Bulletin of the seismological society of America, 1935, 25 (1), P. 1-32.
[40] Maillet, B., and Michel, T., An Index of Market Shocks Based on Multiscale Analysis, Quantitative Finance, 2006, 3 (2), P. 88-97. Doi:10.1088/1469-7688/3/2/303.
