Article
The risk in capital controls
Finance Research Letters
ORCID Identifiers
Document Type
Article
Publication Date
11-1-2016
Abstract
© 2016 This paper investigates the effect of capital controls in banking outflow funds on financial risk in the Athens Stock Exchange. The study uses daily returns for two sub-periods before and after the capital controls, ranging from 31 March 2011 to 31 March 2016. We focus on the peaks over threshold method to calculate the risk measures. We propose a bootstrap approach to compare risk measures in two sub-periods. The bootstrap results indicate that there is an underestimation of financial risk after the capital controls.
DOI Link
10.1016/j.frl.2016.08.011
Publisher
Elsevier Ltd
Disciplines
Keywords
- Capital controls,
- Extreme value analysis,
- Financial crises
Scopus ID
84993115101
Indexed in Scopus
Yes
Open Access
No
https://doi.org/10.1016/j.frl.2016.08.011
Citation Information
Konstantinos Gkillas (Gillas), Athanasios Tsagkanos and Costas Siriopoulos. "The risk in capital controls" Finance Research Letters Vol. 19 (2016) p. 261 - 266 ISSN: <a href="https://v2.sherpa.ac.uk/id/publication/issn/1544-6131" target="_blank">1544-6131</a> Available at: http://works.bepress.com/costas-syriopoulos/35/