The risk in capital controls

Author First name, Last name, Institution

Konstantinos Gkillas (Gillas), Panepistimion Patron
Athanasios Tsagkanos, Panepistimion Patron
Costas Siriopoulos, Zayed University

ORCID Identifiers

0000-0001-8790-080X

Document Type

Article

Source of Publication

Finance Research Letters

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

ISSN

1544-6131

Publisher

Elsevier Ltd

Volume

19

First Page

261

Last Page

266

Disciplines

Business

Keywords

Capital controls, Extreme value analysis, Financial crises

Scopus ID

84993115101

Recommended Citation

Gkillas (Gillas), Konstantinos; Tsagkanos, Athanasios; and Siriopoulos, Costas, "The risk in capital controls" (2016). All Works. 3572.
https://zuscholars.zu.ac.ae/works/3572

Indexed in Scopus

yes

Open Access

no