Title
The risk in capital controls
Source of Publication
Finance Research Letters
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.
Document Type
Article
First Page
261
Last Page
266
Publication Date
11-1-2016
DOI
10.1016/j.frl.2016.08.011
Recommended Citation
Gkillas (Gillas), Konstantinos; Tsagkanos, Athanasios; and Siriopoulos, Costas, "The risk in capital controls" (2016). Scopus Indexed Articles. 1478.
https://zuscholars.zu.ac.ae/scopus-indexed-articles/1478