{"id":{"repo_id":"liege","oai_identifier":"oai:orbi.ulg.ac.be:2268/188650"},"canonical_url":"https://search.dev.ndltd.org/etd/liege/oai:orbi.ulg.ac.be:2268/188650","repository":{"repo_id":"liege","name":"Université de Liège","base_url":"https://orbi.uliege.be/oai/request"},"display":{"title":"Market Dynamics in the Financial Industry - Essays on Interdependence and Market Timing","abstract":"The global financial crisis and the subsequent sovereign crisis are painful reminders of how the standards of financial markets are profoundly challenged in times of crisis. The main lesson is that the structural changes and the increased risk of shock transmissions require a more accurate risk assessment that captures the complexity of market dynamics. Based on an empirical approach, this thesis aims at loosening a priori assumptions common in literature in order to develop new methodologies that are more robust and more flexible to the dynamics of changing market conditions. The first aspect of market dynamics addressed in this thesis is the dependence structure of financial markets. The connectedness of the banking and sovereign sectors is dynamically assessed on the basis of daily CDS spreads using complex networks. We turn away from the traditional linear correlation measures and use copula theory to account for extreme events and tail dependence, which is crucial when studying credit and default risk. Through the calculation of minimum spanning trees, our methodology evaluates the transmission pattern of shocks over time and their propagation across geopolitical borders. Going beyond the analysis of simple interdependence, we apply a structural break analysis to measure a contagion index that captures increased co-movements in the network. This thesis tackles a second aspect of market dynamics which relates to major events in the life of a company affecting a company’s market value. By means of operational loss events and cross-listing decisions, we illustrate our refined event study technique that overcomes the drawback of a priori assumptions about the event date. In addition to the reaction magnitude, our approach investigates the point in time when most of the market reaction takes place by highlighting two variables: the start and the length of stock markets' responses.","abstract_html":"The global financial crisis and the subsequent sovereign crisis are painful reminders of how the standards of financial markets are profoundly challenged in times of crisis. The main lesson is that the structural changes and the increased risk of shock transmissions require a more accurate risk assessment that captures the complexity of market dynamics. Based on an empirical approach, this thesis aims at loosening a priori assumptions common in literature in order to develop new methodologies that are more robust and more flexible to the dynamics of changing market conditions. The first aspect of market dynamics addressed in this thesis is the dependence structure of financial markets. The connectedness of the banking and sovereign sectors is dynamically assessed on the basis of daily CDS spreads using complex networks. We turn away from the traditional linear correlation measures and use copula theory to account for extreme events and tail dependence, which is crucial when studying credit and default risk. Through the calculation of minimum spanning trees, our methodology evaluates the transmission pattern of shocks over time and their propagation across geopolitical borders. Going beyond the analysis of simple interdependence, we apply a structural break analysis to measure a contagion index that captures increased co-movements in the network. This thesis tackles a second aspect of market dynamics which relates to major events in the life of a company affecting a company’s market value. By means of operational loss events and cross-listing decisions, we illustrate our refined event study technique that overcomes the drawback of a priori assumptions about the event date. In addition to the reaction magnitude, our approach investigates the point in time when most of the market reaction takes place by highlighting two variables: the start and the length of stock markets' responses.","abstract_has_math":false,"creators":["Biell, Elisabeth"],"institution":"ULiège - Université de Liège","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":["Muller, Aline"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2016,"date_issued":"2016","date_published":"2016","updated_at":"2026-07-24T02:49:29Z","subjects":["Business & economic sciences","Finance","Sciences économiques & de gestion"],"languages":["en"],"rights":["restricted access","info:eu-repo/semantics/restrictedAccess"],"rights_urls":["http://purl.org/coar/access_right/c_16ec"],"identifier_entries":[{"key":"dc:identifier","label":"Identifier","values":["info:hdl:2268/188650"],"render_values":[{"text":"info:hdl:2268/188650","href":null,"code":true}]}]},"links":{"outbound_url":"https://orbi.uliege.be/handle/2268/188650","outbound_label":"Repository record","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Muller, Aline"]},{"key":"dc:creator","label":"Author","values":["Biell, Elisabeth"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2016"]},{"key":"dc:publisher","label":"Institution","values":["ULiège - Université de Liège"]},{"key":"dc:type","label":"Dc Type","values":["doctoral thesis","http://purl.org/coar/resource_type/c_db06","info:eu-repo/semantics/doctoralThesis"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Business & economic sciences","Finance","Sciences économiques & de gestion"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["en"]},{"key":"dc:rights","label":"Dc Rights","values":["restricted access","http://purl.org/coar/access_right/c_16ec","info:eu-repo/semantics/restrictedAccess"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["https://orbi.uliege.be/handle/2268/188650","info:hdl:2268/188650"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["The global financial crisis and the subsequent sovereign crisis are painful reminders of how the standards of financial markets are profoundly challenged in times of crisis. The main lesson is that the structural changes and the increased risk of shock transmissions require a more accurate risk assessment that captures the complexity of market dynamics. Based on an empirical approach, this thesis aims at loosening a priori assumptions common in literature in order to develop new methodologies that are more robust and more flexible to the dynamics of changing market conditions. The first aspect of market dynamics addressed in this thesis is the dependence structure of financial markets. The connectedness of the banking and sovereign sectors is dynamically assessed on the basis of daily CDS spreads using complex networks. We turn away from the traditional linear correlation measures and use copula theory to account for extreme events and tail dependence, which is crucial when studying credit and default risk. Through the calculation of minimum spanning trees, our methodology evaluates the transmission pattern of shocks over time and their propagation across geopolitical borders. Going beyond the analysis of simple interdependence, we apply a structural break analysis to measure a contagion index that captures increased co-movements in the network. This thesis tackles a second aspect of market dynamics which relates to major events in the life of a company affecting a company’s market value. By means of operational loss events and cross-listing decisions, we illustrate our refined event study technique that overcomes the drawback of a priori assumptions about the event date. In addition to the reaction magnitude, our approach investigates the point in time when most of the market reaction takes place by highlighting two variables: the start and the length of stock markets' responses."]},{"key":"dc:title","label":"Title","values":["Market Dynamics in the Financial Industry - Essays on Interdependence and Market Timing"]}]}],"canonical_facts":{"dc:contributor":["Muller, Aline"],"dc:creator":["Biell, Elisabeth"],"dc:date":["2016"],"dc:description":["The global financial crisis and the subsequent sovereign crisis are painful reminders of how the standards of financial markets are profoundly challenged in times of crisis. The main lesson is that the structural changes and the increased risk of shock transmissions require a more accurate risk assessment that captures the complexity of market dynamics. Based on an empirical approach, this thesis aims at loosening a priori assumptions common in literature in order to develop new methodologies that are more robust and more flexible to the dynamics of changing market conditions. The first aspect of market dynamics addressed in this thesis is the dependence structure of financial markets. The connectedness of the banking and sovereign sectors is dynamically assessed on the basis of daily CDS spreads using complex networks. We turn away from the traditional linear correlation measures and use copula theory to account for extreme events and tail dependence, which is crucial when studying credit and default risk. Through the calculation of minimum spanning trees, our methodology evaluates the transmission pattern of shocks over time and their propagation across geopolitical borders. 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