Financial contagion and the role of firm characteristics

Alper Kara, Yavuz Selim Hacihasanoglu and Deren Ünalmış

Finance Research Letters, 2021, vol. 38, issue C

Abstract: Using the Borsa Istanbul sector indices, this study shows that the bi-directional interactions between banking sector and non-financial corporate sectors intensify in high-volatility periods. The findings differ across sub-sectors. For example, during times of financial stress, banks have more interaction with the sectors that produce to the domestic market and that have less access to international finance, as opposed to the exporting sectors and sectors with external integration. Taking into account firm-level balance sheet characteristics, further suggest that, FX balance sheet mismatch, low export ratio, high leverage ratio and trade debt strengthen the degree of financial contagion.

Keywords: Financial contagion; Stock market; Sector indices; Balance sheet characteristics of firms; Emerging markets (search for similar items in EconPapers)
JEL-codes: E44 G20 G30 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612319302600
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319302600

DOI: 10.1016/j.frl.2019.101389

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().