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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
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DOI: 10.1016/

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