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Global crises and equity market contagion

Author: Geert Bekaert; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2011.
Series: Working paper series (National Bureau of Economic Research), no. 17121.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Using the 2007-2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining unexplained increases in factor loadings as indicative of contagion. We find evidence of systematic contagion from US markets and from the global financial sector, but the  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Geert Bekaert; National Bureau of Economic Research.
OCLC Number: 731674280
Description: 1 online resource (50 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 17121.
Responsibility: Geert Bekaert [and others].

Abstract:

Using the 2007-2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining unexplained increases in factor loadings as indicative of contagion. We find evidence of systematic contagion from US markets and from the global financial sector, but the effects are very small. By contrast, there has been systematic and substantial contagion from domestic equity markets to individual domestic equity portfolios, with its severity inversely related to the quality of countries' economic fundamentals and policies. Consequently, we reject the globalization hypothesis that links the transmission of the crisis to the extent of global exposure. Instead, we confirm the old "wake-up call" hypothesis, with markets and investors focusing substantially more on idiosyncratic, country-specific characteristics during the crisis.

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