The DOI matches its Crossref record; 60 of the 60 references it cites were found in a registry or an index.
The Global Crisis and Equity Market Contagion
Abstract
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.
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Cites
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Better to give than to receive: Predictive directional measurement of volatility spillovers
Diebold, F. X., & Yilmaz, K. (2012) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2011.02.006 · Cited by 5,756
Market Liquidity and Funding Liquidity
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No Contagion, Only Interdependence: Measuring Stock Market Comovements
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The Cash Flow Sensitivity of Cash
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Cited by
Can economic policy uncertainty predict stock returns? Global evidence
Phan, D. H. B., Sharma, S. S., & Tran, V. T. (2018) · Journal of International Financial Markets, Institutions and Money · doi:10.1016/j.intfin.2018.04.004 · Cited by 282
Christou, C., Cunado, J., Gupta, R., & Hassapis, C. (2017) · Journal of Multinational Financial Management · doi:10.1016/j.mulfin.2017.03.001 · Cited by 267
Metadata
- Authors
- BEKAERT, G., EHRMANN, M., FRATZSCHER, M., & MEHL, A.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2014-11-10
- Volume
- 69
- Issue
- 6
- Pages
- 2597-2649
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2889666266
- Cited by
- 705
- References
- 60
- FWCI
- 83.47
- Type
- journal article
- Language
- en
- Open access
- closed
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