EconStor >
ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/46419
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorHale, Galinaen_US
dc.contributor.authorRazîn, Assafen_US
dc.contributor.authorTong, Huien_US
dc.date.accessioned2011-05-27en_US
dc.date.accessioned2011-06-29T11:18:45Z-
dc.date.available2011-06-29T11:18:45Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/46419-
dc.description.abstractData show that better creditor protection is correlated across countries with lower average stock market volatility. Moreover, countries with better creditor protection seem to have suffered lower decline in their stock market indexes during the current financial crisis. To explain this regularity, we use a Tobin q model of investment and show that stronger creditor protection increases the expected level and lowers the variance of stock prices in the presence of credit crunches. There are two main channels through which creditor protection enhances the performance of the stock market: (1) The credit-constrained stock price increases with better protection of creditors; (2) The probability of a credit crunch leading to a binding credit constraint falls with strong protection of creditors. We find strong empirical support for both predictions using data on stock market performance, amount and cost of credit, and creditor rights protection for 52 countries over the period 1980-2007. In particular, we find that crises are more frequent in countries with poor creditor protection. Using propensity score matching we also show that during crises stock market returns fall by more in countries with poor creditor protection.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper: Monetary Policy and International Finance 3440en_US
dc.subject.jelE44en_US
dc.subject.ddc330en_US
dc.subject.keywordliquidity crisis, creditor protection, stock volatility, credit crunchen_US
dc.subject.stwGläubigerschutzen_US
dc.subject.stwAktienmarkten_US
dc.subject.stwBörsenkursen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwTobin's Qen_US
dc.subject.stwFinanzmarktkriseen_US
dc.subject.stwOECD-Staatenen_US
dc.titleThe impact of creditor protection on stock prices in the presence of credit crunchesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn660776308en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:CESifo Working Papers, CESifo Group Munich

Files in This Item:
File Description SizeFormat
660776308.pdf329.25 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.