Equity Market Contagion During the Global Financial Crisis

Equity Market Contagion During the Global Financial Crisis
Author: Mardi Dungey
Publisher:
Total Pages:
Release: 2015
Genre:
ISBN:


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The global financial crisis (2007-2009) saw sharp declines in stock markets around the world, affecting both advanced and emerging markets. In this paper we test for the existence of equity market contagion originating from the US to advanced and emerging markets during the crisis period. Using a latent factor model, we provide strong evidence of contagion effects in both advanced and emerging equity markets. In the aggregate equity market indices, contagion from the US explains a large portion of the variance in stock returns in both advanced and emerging markets. However, in the financial sector indices we find less evidence of contagion than in the aggregate indices, and this is particularly the case for the advanced markets. The results suggest that contagion effects are not strongly related to high levels of global integration.


Equity Market Contagion During the Global Financial Crisis
Language: en
Pages:
Authors: Mardi Dungey
Categories:
Type: BOOK - Published: 2015 - Publisher:

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The global financial crisis (2007-2009) saw sharp declines in stock markets around the world, affecting both advanced and emerging markets. In this paper we tes
Global Crises and Equity Market Contagion
Language: en
Pages: 0
Authors: Geert Bekaert
Categories: Contagion (Social psychology)
Type: BOOK - Published: 2011 - Publisher:

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Using the 2007-09 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use a factor
The Global Crisis and Equity Market Contagion
Language: en
Pages:
Authors: Geert Bekaert
Categories:
Type: BOOK - Published: 2014 - Publisher:

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The Impact of the Global Financial Crisis on Emerging Financial Markets
Language: en
Pages: 745
Authors: Jonathan Batten
Categories: Business & Economics
Type: BOOK - Published: 2011-03-02 - Publisher: Emerald Group Publishing

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The Global Financial Crisis of 2007-2009 has highlighted the resilience of the financial markets and economies from the developing world. This title investigate
The Effects of financial contagion during the Global Financial Crisis in Government Regulated And Sponsored Assets in Emerging Markets. The case of Colombian pension funds and State Owned Enterprises (SOEs) in BRIC countries
Language: en
Pages: 103
Authors: CayĆ³n, Edgardo
Categories: Business & Economics
Type: BOOK - Published: 2015-06-30 - Publisher: Editorial CESA

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The effects of financial contagion during the Global Financial Crisis (GFC) have been extensively studied in the finance literarure. One of the key issues is th