| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17121 |
| 来源ID | Working Paper 17121 |
| Global Crises and Equity Market Contagion | |
| Geert Bekaert; Michael Ehrmann; Marcel Fratzscher; Arnaud J. Mehl | |
| 发表日期 | 2011-06-16 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | 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 model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. We find statistically significant evidence of contagion from US markets and from the global financial sector, but the effects are economically small. By contrast, there has been 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. This confirms the old "wake-up call" hypothesis, with markets and investors focusing substantially more on country-specific characteristics during the crisis. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w17121 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574795 |
| 推荐引用方式 GB/T 7714 | Geert Bekaert,Michael Ehrmann,Marcel Fratzscher,et al. Global Crises and Equity Market Contagion. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17121.pdf（304KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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