Language:

The Global Crisis and Equity Market Contagion

The Journal of finance (New York), 2014-12, Vol.69 (6), p.2597-2649 [Peer Reviewed Journal]

2014 American Finance Association ;2014 the American Finance Association ;Copyright Blackwell Publishers Inc. Dec 2014 ;ISSN: 0022-1082 ;EISSN: 1540-6261 ;DOI: 10.1111/jofi.12203 ;CODEN: JLFIAN

Full text available

Citations Cited by

Actions
1. Add to My Research
2. Remove from My Research
3. E-mail
4. Print
5. Permalink
6. Citation
7. EasyBib
8. EndNote
9. RefWorks
10. Delicious
11. Export RIS
12. Export BibTeX

Title:
The Global Crisis and Equity Market Contagion
Author: BEKAERT, GEERT ; EHRMANN, MICHAEL ; FRATZSCHER, MARCEL ; MEHL, ARNAUD
Subjects: Banking crises ; Certificates of deposit ; Correlation ; Economic crises ; Economic crisis ; Economic impact ; Economic models ; Equity ; Financial crisis ; Financial portfolios ; Financial services ; Financial theory ; International economics ; International finance ; Investors ; Market theory ; Modeling ; Portfolio analysis ; Securities markets ; Stock markets ; Studies ; U.S.A
Is Part Of: The Journal of finance (New York), 2014-12, Vol.69 (6), p.2597-2649
Description: We analyze the transmission of the 2007 to 2009 financial crisis to 415 country-industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find evidence of contagion from the United States and the global financial sector, the effects are small. By contrast, there has been substantial contagion from domestic markets to individual domestic portfolios, with its severity inversely related to the quality of countries' economic fundamentals. This confirms the "wake-up call" hypothesis, with markets focusing more on country-specific characteristics during the crisis.
Publisher: Cambridge: Blackwell Publishing Ltd
Language: English
Identifier: ISSN: 0022-1082
EISSN: 1540-6261
DOI: 10.1111/jofi.12203
CODEN: JLFIAN
Source: Alma/SFX Local Collection

Back to results list


INSPIRE LIBRARY - TON DUC THANG UNIVERSITY	(84-028) 37 755 057	Feedback
19 Nguyen Huu Tho St. Dist.7, HCM	thuvien@tdtu.edu.vn	Feedback

The Global Crisis and Equity Market Contagion

2014 American Finance Association ;2014 the American Finance Association ;Copyright Blackwell Publishers Inc. Dec 2014 ;ISSN: 0022-1082 ;EISSN: 1540-6261 ;DOI: 10.1111/jofi.12203 ;CODEN: JLFIAN

Searching Remote Databases, Please Wait