The Asian flu and Russian virus: the international transmission of crises in firm-level data

• 成果类型: Article
• 署名作者: Forbes, KJ
• 署名单位: Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(03)00044-8
• 发表日期: 2004
• 页码: 59-92
• 关键词: Asian crisis; Russian crisis; contagion; TRADE; interdependence

摘要

This paper examines how the Asian and Russian crises affected different types of firms around the world. It constructs a new data set of financial statistics, industry information, geographic data, and stock returns for over 10000 companies in 46 countries. Results show that firms competing with exports from the crisis countries, or with direct sales exposure to the crisis countries, had significantly lower abnormal stock returns. Firms with higher debt ratios, however, did not experience lower abnormal returns. Country-specific effects, although important determinants of company stock returns, are generally less important than firm-specific characteristics. These results suggest that trade channels are important factors determining how crises are transmitted internationally. (C) 2003 Elsevier B.V. All rights reserved.