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Equity market contagion during global financial and Eurozone crises: Evidence from a dynamic correlation analysis
Blekinge Tekniska Högskola, Fakulteten för teknikvetenskaper, Institutionen för industriell ekonomi.
2016 (engelsk)Inngår i: Journal of international financial markets, institutions, and money, ISSN 1042-4431, E-ISSN 1873-0612, Vol. 41, s. 151-167Artikkel i tidsskrift (Fagfellevurdert) Published
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Abstract [en]

The devastation resulting from the recent global financial and Eurozone crises is immense. Most researchers commonly believe that the global financial crisis originated in the United States, and spread immediately to global financial hubs where it eventually became the Eurozone crisis. Several studies have been conducted on financial market contagion during both global and Eurozone crises; however, the issue of whether equity market contagion spreads from the United States to the world equity markets during these crises has not been addressed yet. Through using US dollar-denominated MSCI daily indices from fifty-five equity markets for the period 2003-2013, we have found evidence of contagion in developed and emerging markets during the global and Eurozone crises. We show that contagion spread from the United States to the world markets during both crises. Our regression results identify that the bank risk transfer between the United States and other countries is the key transmission channel for cross-country correlations. This study has an important policy implication for portfolio diversification between the United States and other countries during these crises. © 2015 Elsevier B.V.

sted, utgiver, år, opplag, sider
Elsevier, 2016. Vol. 41, s. 151-167
Emneord [en]
Contagion; Eurozone crisis; Financial markets; Global financial crisis
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URN: urn:nbn:se:bth-11788DOI: 10.1016/j.intfin.2015.12.010ISI: 000373611400010Scopus ID: 2-s2.0-84960494590OAI: oai:DiVA.org:bth-11788DiVA, id: diva2:916234
Tilgjengelig fra: 2016-04-01 Laget: 2016-04-01 Sist oppdatert: 2017-11-30bibliografisk kontrollert

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