| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8438 |
| DP8438 Global crises and equity market contagion | |
| Geert Bekaert; Michael Ehrmann; Marcel Fratzscher; Arnaud Mehl | |
| 发表日期 | 2011-06-13 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | International Macroeconomics |
| 关键词 | Financial policies Contagion Country risk Current account Equity markets Factor model Financial crisis Fx reserves Global transmission market integration |
| URL | https://cepr.org/publications/dp8438 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537301 |
| 推荐引用方式 GB/T 7714 | Geert Bekaert,Michael Ehrmann,Marcel Fratzscher,et al. DP8438 Global crises and equity market contagion. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
