How do crises spread? Evidence from accessible and inaccessible stock indices

• 成果类型: Article
• 署名作者: Boyer, BH; Kumagai, T; Yuan, K
• 署名单位: Brigham Young University; Wayne State University; University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2006.00860.x
• 发表日期: 2006
• 页码: 957-1003
• 关键词: time-series; investors; contagion; MARKETS; models; RISK

摘要

We provide empirical evidence that stock market crises are spread globally through asset holdings of international investors. By separating emerging market stocks into two categories, namely, those that are eligible for purchase by foreigners (accessible) and those that are not (inaccessible), we estimate and compare the degree to which accessible and inaccessible stock index returns co-move with crisis country index returns. Our results show greater co-movement during high volatility periods, especially for accessible stock index returns, suggesting that crises spread through the asset holdings of international investors rather than through changes in fundamentals.