Financial contagion and the real economy

Dirk Baur ()

Journal of Banking & Finance, 2012, vol. 36, issue 10, 2680-2692

Abstract: This paper studies the spread of the Global Financial Crisis of 2007–2009 from the financial sector to the real economy by examining ten sectors in 25 major developed and emerging stock markets. The analysis tests different channels of financial contagion across countries and sectors and finds that the crisis led to an increased co-movement of returns among financial sector stocks across countries and between financial sector stocks and real economy stocks. The results demonstrate that no country and sector was immune to the adverse effects of the crisis limiting the effectiveness of portfolio diversification. However, there is clear evidence that some sectors in particular Healthcare, Telecommunications and Technology were less severely affected by the crisis.

Keywords: Contagion; Sector-specific contagion; Financial crisis; Financial crisis identification (search for similar items in EconPapers)
JEL-codes: F30 F36 G01 G14 G15 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (170)

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Working Paper: Financial Contagion and the Real Economy (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:36:y:2012:i:10:p:2680-2692

DOI: 10.1016/j.jbankfin.2011.05.019

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