Arbeitspapier
Global crises and equity market contagion
Using the 2007-2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining unexplained increases in factor loadings as indicative of contagion. We find evidence of systematic contagion from US markets and from the global financial sector, but the effects are very small. By contrast, there has been systematic and 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. Consequently, we reject the globalization hypothesis that links the transmission of the crisis to the extent of global exposure. Instead, we confirm the old “wake-up call” hypothesis, with markets and investors focusing substantially more on idiosyncratic, country-specific characteristics during the crisis.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1381
- Klassifikation
-
Wirtschaft
Information and Market Efficiency; Event Studies; Insider Trading
International Financial Markets
- Thema
-
Contagion
country risk
current account
equity markets
factor model
financial crisis
financial policies
FX reserves
global transmission
market integration
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bekaert, Geert
Ehrmann, Michael
Fratzscher, Marcel
Mehl, Arnaud
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bekaert, Geert
- Ehrmann, Michael
- Fratzscher, Marcel
- Mehl, Arnaud
- European Central Bank (ECB)
Entstanden
- 2011
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