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This chapter investigates the determinants of the volatility of spread in the over-the-counter foreign exchange market and examines whether the relationships differ in the crisis periods. We compute the measures for the volatility of liquidity by using bid-ask spread data sampled at a high frequency of five minutes. By examining 11 currencies over a 13-year sample period, we utilize a balanced dynamic panel regression to investigate whether the risk associated with the currencies quoted or trading activity affects the variability of liquidity provision in the FX market and examine whether the crisis periods have any effect. We find that both the level of spread and volatility of spread increases during the crisis periods for the currencies of emerging countries. In addition, we find increases in risks associated with the currencies proxied by realized volatility during the crisis periods. We also show risks associated with the currency are the major determinants of the variability of liquidity and that these relationships strengthen during periods of uncertainty. First, we develop measures to capture the variability of liquidity. Our measures to capture the variability of liquidity are non-parametric and model-free variable. Second, we contribute to the debate of whether variability of liquidity is adverse to market participants by examining what drives the variability of liquidity. Finally, we analyze seven crisis periods, allowing us to document the effect of the crises on determinants of variability of liquidity over time.

The purpose of this study is to conduct a comparative analysis of the economic determinants of the compensation for chief executive officers (CEOs) between the pre- and post-financial crisis periods. To conduct the comparative analysis, the authors consider five years before and five years after the financial crisis of 2008. The authors use the data from the US financial service institutions and run separate regressions for the pre- and post-crisis periods to check if there is any significant difference in the economic determinants of executive compensation before and after the financial crisis. The authors find that total compensation and its incentive components decreased significantly in the post-crisis period. In the pre-crisis period, total compensation was determined by stock performance, accounting profit, growth, and leverage, whereas in the post-crisis period stock returns and leverage are the major factors influencing total compensation. The authors also find that firms’ leverage negatively influences the sensitivity of the pay for performance, but the influence of leverage on pay for performance is weaker in the post-crisis period. Our research is significant in the context of the US economy, the regulatory reforms of financial institutions, and the perspectives of the executive compensations. This is the first study that compares the relationship between compensation and firm performance over the pre- and post-crisis periods. It is an explicit attempt to develop a theoretical understanding of the compensation/performance relationship for the financial industry, which is blamed for the financial crisis and is affected by the Dodd–Frank regulation after the crisis.

The major objective of this study is to inspect the differences in the effect of derivatives on the stability between banks from emerging countries and those from recently developed countries.

According to the repercussions of the recent financial crisis, we divide the whole period into normal period “the pre-crisis period,” 2003–2006, and turbulent period “the crisis & post-crisis period,” 2007–2011. We use the Generalized Methods of Moments (GMM) estimator technique developed by Blundell and Bond (1998) to estimate our regressions.

Our main conclusions show that, in general, using derivatives by banks from emerging countries deteriorates their stability especially during the turbulent period, whereas, using derivatives do not weaken the stability of banks from recently developed countries. We deduce that banks from emerging countries are more destabilized by using derivatives than banks from recently developed countries.

The aim of this study is to compare volatility persistence with daily volatility and to analyze the asymmetry effect of volatilities in stock markets of emerging economies. Using daily observations of stock market indices of selected major emerging countries during the period of January 1, 2002 to December 31, 2018, the authors estimate the persistence, the half-life measure of volatility and the daily volatility of the return series using the GARCH model application. The authors also examine the leverage effect on stock market returns using the EGARCH model estimation. In addition, the authors investigate the impact of the 2008 global financial crisis on various volatility measures and the leverage effect of emerging stock market returns. The authors then examine and compare the different speeds of mean reversion, volatility persistence and leverage effects in the national stock market indices during the pre-crisis, crisis, and post-crisis periods. The authors hereby present evidence that the effects of negative shocks are significantly larger than those of positive shocks in emerging stock markets throughout their different sample periods.

This chapter investigates the impact change of the composition of market agents on the timing of the arrival of information in Bursa Malaysia. The price discovery role of futures trading on the spot market is examined through three distinct sub-periods: pre-crisis, crisis and after capital controls. For this purpose, the Johansen Cointegration (1988, 1991) and VECM and Granger causality are used. The analysis shows that there is no significant long-run relationship. As for short-run, the results show futures lead spot. However, futures’ lead is shorter in pre-crisis and crisis periods where foreign institutional investors dominate. This study deduces that the significant change in the composition of market agents could contribute to the variation of lead–lag relationship.

Peer-to-Peer (P2P) lending, which makes borrowers and investors meet directly through online platforms bypassing traditional financial institutions, is an emerging financing market after the traditional financial institutions crushed during the global financial crisis from 2007 to 2009. P2P lending platforms meet the credit demand more efficiently and play a vital role for the credit market and economic activity. This study sheds light on whether the credit spread of P2P lending is well predictive of economic activity compared to the bond credit spread which has been fully investigated in prior studies. Our findings show that the P2P credit spread performs similarly in predicting the economic activity as bond credit spread only during the financial crisis. However, the predictive power of P2P credit spread becomes inverse during the noncrisis periods since P2P lending platforms provide an alternative and easier financing channel to individuals who hardly borrow money for refinancing from traditional financial institutions. This study highlights the alternative role of P2P lending platform in financing and provides the evidence of different predictive powers of P2P credit spread on economic activity in different time periods.

The study estimates total factor productivity growth (TFPG) and its components of the 4-digit manufacturing industries of chemical and chemical products in India from 1998–1999 to 2017–2018, pre-economic crises period (from 1998–1999 to 2007–2008) and post-economic crises period (from 2008–2009 to 2017–2018) using frontier approaches, that is, data envelope analysis DEA and stochastic frontier approach (SFA). The components of TFPG are technological progress (TP), technical efficiency change (TEC) and economic scale change (SC). It is found that the growth rates of total factor productivity (TFP) in most of the 4-digit industries of chemical and chemical products in India increased during the post-economic crises period (from 2008–2009 to 2017–2018) and the increase in TFPG of them during that period is mainly accounted for by the increase in TP of the same during that period. The TEC of almost all the industries remains the same, however, declined during the post-economic crises (from 2008–2009 to 2017–2018) and SC of them remains very low or even negative during the aforementioned study periods.

This current research tries to answer the widespread debate about the role of derivatives in propagating the last financial crisis. So, this work aims to examine the effect of derivatives on bank stability in emerging countries by using the bank stability index (BSI) as developed by Ghosh (2011) from three major dimensions of banking operations: stability, soundness, and profitability. We use the generalized method of moments (GMM) estimator technique developed by Blundell and Bond (1998) to estimate regressions during the normal, the turbulent, and the whole period, following the guidance given by Chiaramonte, Poli, and Oriani (2013).

The major conclusion of this study reveals that except to futures the other derivative instruments cannot be considered as troubling factors. The main implication of the research shows that derivatives – in general – are not responsible for the propagation of the recent financial crisis. Hence, the common debate accusing derivatives as being responsible for the aggravation of the recent financial crisis should be rejected.