Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/97331
Authors: 
Brunhart, Andreas
Year of Publication: 
2012
Series/Report no.: 
KOFL Working Papers 9 [rev.]
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, separated from the financial crisis, on the daily stock prices of banks from Liechtenstein. An unconventional augmented GARCH-model (labelled as augmented amalGARCH), which outperforms conventional models here, is introduced and analyses the dynamical pattern and other influences on risk and average performance. Besides other findings, it can be concluded that the Zumwinkel-Affair had an (accumulating) effect on risk of stocks, but surprisingly no impact on average stock returns could be detected.
Subjects: 
Tax Evasion
Liechtenstein
Financial Institutions
Stock Price Volatility
Augmented GARCH-models
amalGARCH
JEL: 
C01
C22
C32
G01
G21
Document Type: 
Working Paper

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