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Professor MERYEM DUYGUN's Outputs (4)

Herding by corporates in the US and the Eurozone through different market conditions (2020)
Journal Article
Duygun, M., Tunaru, R., & Vioto, D. (2021). Herding by corporates in the US and the Eurozone through different market conditions. Journal of International Money and Finance, 110, Article 102311. https://doi.org/10.1016/j.jimonfin.2020.102311

In this study, we test the herding towards a market consensus in the main financial industries of the United States and the Eurozone equity markets. We find that herding is more likely to be present in high quantiles that reflects turbulent market co... Read More about Herding by corporates in the US and the Eurozone through different market conditions.

Monitoring market participants, externals and financial transactions in a global financial stability environment (2020)
Journal Article
Duygun, M., Miao, J., & Östberg, P. (2020). Monitoring market participants, externals and financial transactions in a global financial stability environment. Journal of Banking and Finance, 119, Article 105937. https://doi.org/10.1016/j.jbankfin.2020.105937

The existing economic and financial literature has documented the importance of informed trades, volatility spreads and the stock market response to key financial events that can threaten domestic and global financial stability. After the Global Fina... Read More about Monitoring market participants, externals and financial transactions in a global financial stability environment.

Quo Vadis, Raters? A frontier approach to identify overratings and underratings in sovereign credit risk (2020)
Journal Article
Öztürk, H., Tortosa-Ausina, E., Duygun, M., & Shaban, M. (2020). Quo Vadis, Raters? A frontier approach to identify overratings and underratings in sovereign credit risk. European Journal of Finance,

This study analyses overratings and underratings in sovereign credit risk. The analysis uses partial frontier methods, a technique rarely applied in this literature. By combining a robust variant of the free disposal hull (FDH) estimator, we measure... Read More about Quo Vadis, Raters? A frontier approach to identify overratings and underratings in sovereign credit risk.

Challenges to global financial stability: Interconnections, credit risk, business cycle and the role of market participants (2020)
Journal Article
Duygun, M., Ladley, D., & Shaban, M. (2020). Challenges to global financial stability: Interconnections, credit risk, business cycle and the role of market participants. Journal of Banking and Finance, 112, 105735. https://doi.org/10.1016/j.jbankfin.2020.105735

The worldwide financial crisis (WFC) of 2007-09 has shown the importance of cross-sectional dependencies of assets, credit exposures and volatility, which can threaten domestic and global financial stability through cascades in financial networks. A... Read More about Challenges to global financial stability: Interconnections, credit risk, business cycle and the role of market participants.