The Global Crisis and Equity Market Contagion

• 成果类型: Article
• 署名作者: Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; Mehl, Arnaud
• 署名单位: Columbia University; National Bureau of Economic Research; Leibniz Association; DIW Berlin - Deutsches Institut fur Wirtschaftsforschung; Humboldt University of Berlin
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12203
• 发表日期: 2014
• 页码: 2597-2649
• 关键词: international transmission; shocks evidence; volatility; integration; liquidity; SPREAD; RISK

摘要

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.