EconPapers    
Economics at your fingertips  
 

Equity Market Contagion during the Global Financial Crisis: Evidence from the World’s Eight Largest Economies

Mardi Dungey and Dinesh Gajurel ()

No 17213, Working Papers from University of Tasmania, Tasmanian School of Business and Economics

Abstract: The global financial crisis (2007-2009) saw sharp declines in stock markets around the world, affecting both advanced and emerging markets. In this paper we test for the existence of equity market contagion originating from the US to advanced and emerging markets during the crisis period. Using a latent factor model, we provide strong evidence of contagion effects originating in US equity markets to equity markets in both the advanced and emerging economies. In the aggregate equity market indices contagion from the US explains a large portion of the variance in stock returns in both advanced and emerging markets. However, evidence from the financial sector indices finds less evidence of contagion than the total indices, and this is particularly the case for the developed markets. This suggests that contagion effects are not strongly related to high levels of global integration.

Keywords: Global financial crises; financial contagion; financial markets; advanced countries; emerging countries (search for similar items in EconPapers)
JEL-codes: C32 C51 F41 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2013-10-16, Revised 2013-10-16
New Economics Papers: this item is included in nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Published by the University of Tasmania. Discussion paper 2013-15

Downloads: (external link)
http://eprints.utas.edu.au/17213/1/2013-15_Working ... ntagion_09102013.pdf
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (http://eprints.utas.edu.au/17213/1/2013-15_Working_Paper_Equity_Market_Contagion_09102013.pdf [302 Moved Temporarily]--> https://eprints.utas.edu.au/17213/1/2013-15_Working_Paper_Equity_Market_Contagion_09102013.pdf [302 Found]--> https://figshare.utas.edu.au/ndownloader/files/41248578 [302 Found]--> https://s3-ap-southeast-2.amazonaws.com/figshare-production-eu-utas-storage2718-ap-southeast-2/41248578/201315_Working_Paper_Equity_Market_Contagion_09102013.pdf?X-Amz-Algorithm=AWS4-HMAC-SHA256&X-Amz-Credential=AKIARRFKZQ25CRVZALJA/20240613/ap-southeast-2/s3/aws4_request&X-Amz-Date=20240613T115317Z&X-Amz-Expires=10&X-Amz-SignedHeaders=host&X-Amz-Signature=8471410139610ff3fe989380202809148b28e33b7cd0ffcedb3fd0aa95fc880c)

Related works:
Journal Article: Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies (2014) 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:tas:wpaper:17213

Access Statistics for this paper

More papers in Working Papers from University of Tasmania, Tasmanian School of Business and Economics Contact information at EDIRC.
Bibliographic data for series maintained by Oscar Pavlov ().

 
Page updated 2024-06-19
Handle: RePEc:tas:wpaper:17213