Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/186039
Authors: 
Brunhart, Andreas
Year of Publication: 
2014
Citation: 
[Journal:] Swiss Journal of Economics and Statistics [ISSN:] 2235-6282 [Volume:] 150 [Year:] 2014 [Issue:] 3 [Pages:] 161-190
Abstract: 
Additionally to the financial crisis causing a world recession, Liechtenstein's financial sector has been challenged by the so-called "Zumwinkel-Affair", when a whistle-blower sold data of hundreds of tax evaders to international tax authorities. This paper investigates the impact of this affair on the daily stock prices of banks from Liechtenstein. An unconventional augmented GARCH-model (labelled as "augmented amalGARCH"), which outperforms conventional models, is introduced and dynamically analyses various influences on risk and returns. Also, an event study framework is applied. The main finding beyond further conclusions is that the Zumwinkel-Affair had an (accumulating) effect on risk, but surprisingly no impact on average stock return could be detected.
Subjects: 
Tax evasion
Liechtenstein
financial institutions
stock price volatility
augmented GARCH
amalGARCH
JEL: 
C01
C22
G01
G21
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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