Special Issue "Econometric Analysis of Networks"
A special issue of Journal of Risk and Financial Management (ISSN 1911-8074).
Deadline for manuscript submissions: 31 December 2014
Prof. Dr. Christian Brownlees
Department of Economics and Business, Pompeu Fabra University, Ramon Trias Fargas 25-27, Office 2-E10, 08005, Barcelona, Spain
Phone: +34 93 542 2750
Interests: network analysis; nonlinear time series; forecasting; statistical computing; empirical finance; financial high frequency data
Over the last couple of years, network analysis has rapidly become an important area of research in economics and finance. Network techniques aim at providing tools to analyze the degree of interconnectedness in high dimensional multivariate systems and its implications. Following the 2007-2009 financial crisis, a number of authors have started to apply these tools to study interconnections in the financial system. One of the main objectives of this strand of the literature is to identify highly interconnected financial institutions which might pose systemic threats to entire financial system. This has been also motivated by the current financial regulation environment which focuses on identifying SIFIs (Systemically Important Financial Institution). This special issue is intended to reflect the current theoretical and empirical research on network analysis in econometrics with a focus on financial applications.
Among the general topics of research to be considered are:
- Network Estimation
- Models for Contagion
- Credit Risk Networks
- Market Risk Networks
- Connectedness Indices
- Interbank Liquidity Networks
Dr. Christian Brownlees
Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. Papers will be published continuously (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.
Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are refereed through a peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed Open Access quarterly journal published by MDPI.
Please visit the Instructions for Authors page before submitting a manuscript. For the first couple of issues the Article Processing Charge (APC) will be waived for well-prepared manuscripts. English correction and/or formatting fees of 250 CHF (Swiss Francs) will be charged in certain cases for those articles accepted for publication that require extensive additional formatting and/or English corrections.
The below list represents only planned manuscripts. Some of these manuscripts have not been received by the Editorial Office yet. Papers submitted to MDPI journals are subject to peer-review.
Title: Firm Value and Cross Listings: The Impact of Stock Market Prestige
Authors: Nicola Cetorelli and Stavros Peristiani
Affiliation: Federal Reserve Bank of New York
Abstract: This study investigates the valuation impact of a firm’s decision to cross list on a more (or less) prestigious stock exchange relative to its own domestic market. We use a network analysis methodology to derive broad market-based measures of prestige for 45 country or regional stock exchange destinations between 1990 and 2006. We find that firms cross listing in a more prestigious market enjoy significant valuation gains over the five-year period following the listing. In contrast, firms cross listing in less prestigious markets experience a significant valuation discount over this post-listing period. The reputation of the cross-border listing destinations is therefore a useful signal of firm value going forward. Our findings are consistent with the view that cross listing in a prestigious market enhances firm visibility, strengthens corporate governance, and lowers informational frictions and capital costs.
Last update: 2 December 2014