Reference
Brunhart, A. (2012). Stock Market's Reactions to the Revelation of Tax Evasion: An Empirical Assessment (KOFL Working Papers, No. 9 [updated]). Konjunkturforschungsstelle Liechtenstein.
Publication type
Working Paper
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.
Research
- Economic Growth and Business Cycles in Liechtenstein - Econometric Investigations Considering the Past, Present, and Future
- PhD-Thesis (kooperativ), October 2008 until December 2010 (finished)
[1] Several economic data series of Liechtenstein are backwardly estimated in order to achieve consistent historic time series. The generated series consist for instance of the national income ... more ...
Persons
Organizational Units
- Affiliate institute: KOFL Liechtenstein Economic Institute