EconPapers    
Economics at your fingertips  
 

Global Crises and Equity Market Contagion

Geert Bekaert (), Michael Ehrmann (), Marcel Fratzscher () and Arnaud Mehl ()

No 17121, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: G01 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-fmk and nep-ifn
Date: 2011-06
Note: AP IFM
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (83) Track citations by RSS feed

Published as Geert Bekaert & Michael Ehrmann & Marcel Fratzscher & Arnaud Mehl, 2014. "The Global Crisis and Equity Market Contagion," Discussion Papers of DIW Berlin 1352, DIW Berlin, German Institute for Economic Research.

Downloads: (external link)
http://www.nber.org/papers/w17121.pdf (application/pdf)

Related works:
Working Paper: Global crises and equity market contagion (2011) Downloads
Working Paper: Global crises and equity market contagion (2011) Downloads
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:nbr:nberwo:17121

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w17121

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Series data maintained by ().

 
Page updated 2017-11-19
Handle: RePEc:nbr:nberwo:17121