The Global Crisis And Equity Market Contagion
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Global Crises and Equity Market Contagion
| Author | : Geert Bekaert |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2011 |
| Genre | : Contagion (Social psychology) |
| ISBN | : |
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.
Equity Market Contagion During the Global Financial Crisis
| Author | : Mardi Dungey |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
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 in both advanced and emerging equity markets. 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, in the financial sector indices we find less evidence of contagion than in the aggregate indices, and this is particularly the case for the advanced markets. The results suggest that contagion effects are not strongly related to high levels of global integration.
Global Financial Contagion
| Author | : Shalendra D. Sharma |
| Publisher | : Cambridge University Press |
| Total Pages | : 405 |
| Release | : 2014 |
| Genre | : Business & Economics |
| ISBN | : 1107027209 |
This book is an authoritative account of the economic and political roots of the 2008 financial crisis. It examines why it was triggered in the United States, why it morphed into the Great Recession, and why the contagion spread with such ferocity around the globe. It also examines how and why economies - including the Eurozone, Russia, China, India, East Asia, and the Middle East - have been impacted and explores their response to the unprecedented challenges of the crisis and the effectiveness of their policy measures. Global Financial Contagion specifically looks at how the Obama administration's policy missteps have contributed to America's huge debt and slow recovery, why the Eurozone's response to its existential crisis has become a never-ending saga, and why the G-20's efforts to create a new international financial architecture may fall short. This book will long be regarded as the standard account of the crisis and its aftermath.
Financial Contagion
| Author | : Rob Quail |
| Publisher | : John Wiley & Sons |
| Total Pages | : 570 |
| Release | : 2011-02-09 |
| Genre | : Business & Economics |
| ISBN | : 1118016521 |
"Financial Contagion: The Viral Threat to the Wealth of Nations covers a lot of territory. It is, of course, terribly important to analyze case histories to discover potential triggers, mechanisms of transmission, and viable ways to contain the damage of financial contagion. The problem is, as these articles amply demonstrate, that there’s always a new virus or a mutation of a former one lurking in some corner of the financial world. We don’t know what it is or where it is. And, even if we had some inkling, there’s almost never enough time to develop a financial flu shot." --SeekingAlpha.com The latest insights on financial contagion and how both nations and investors can effectively deal with it. The domino-style structure in which the financial system exists is a perilous one. Although historically, the financial system has been able to deal with major shocks, the fact remains that our financial system is not as secure as it should be. Recent years have brought about too many examples of contagion and systemic risk. That is why Financial Contagion is such an important read. In it, the serious concerns that revolve around our fragile economic system are investigated, researched, and explained. Throughout the book, Kolb offers valuable insights on this dilemma as he compiles the history of financial contagion, highlights the latest research on systemic failure and interrelated markets, and analyzes the risks and consequences we face moving forward. Examines the importance of careful regulation and what must be done to stabilize the global financial system Includes contributed chapters from both academics and experienced professionals, offering a variety of perspectives and a rich interplay of ideas Details how close we are to witnessing a financial contagion that could devastate the world economy We have been harshly reminded of how fragile our economic ecosystem is. With Financial Contagion, you'll hold a better understanding of what needs to be done to strengthen our system and safeguard our financial future.
Extreme Contagion in Equity Markets
| Author | : Jorge A. Chan-Lau |
| Publisher | : International Monetary Fund |
| Total Pages | : 30 |
| Release | : 2002-05 |
| Genre | : Business & Economics |
| ISBN | : |
This study uses bivariate extremal dependence measures, based on the number of equity return co-exceedances in two markets, to quantify both negative and positive equity returns contagion in mature and emerging equity markets during the past decade. The results indicate (a) higher contagion for negative returns than for positive returns; (b) a secular increase in contagion in Latin America not matched in other regions; (c) global increases in contagion following the 1998 financial crises; and (d) that the use of simple correlations as a proxy for contagion could be misleading, as the former exhibit low correlation with extremal dependence measures of contagion.
Global Financial Crisis and Emerging Stock Market Contagion
| Author | : Dimitrios I. Dimitriou |
| Publisher | : |
| Total Pages | : |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
This paper empirically investigates the contagion effects of the global financial crisis in a multivariate Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) dynamic conditional correlation (DCC) framework during the period 1997-2012. We focus on five most important emerging equity markets, namely Brazil, Russia, India, China and South Africa (BRICS), as well as USA during different phases of the crisis. The length and the phases of the crisis are identified based on both an economic and a statistical approach. The empirical evidence does not confirm a contagion effect for most BRICS during the early stages of the crisis, indicating signs of isolation or decoupling. However, linkages reemerged (recoupled) after the Lehman Brothers collapse, suggesting a shift on investors' risk appetite. Moreover, correlations among all BRICS and USA are increased from early 2009 onwards, implying that their dependence is larger in bullish than in bearish markets. These findings do not show a pattern of contagion for all BRICSs' markets that could be attributed to their common trade and financial characteristics and provide important implications for international investors and policymakers.
Contagion
| Author | : John R. Talbott |
| Publisher | : John Wiley & Sons |
| Total Pages | : 239 |
| Release | : 2009-01-08 |
| Genre | : Business & Economics |
| ISBN | : 0470466936 |
Bestselling author John Talbott outlines the troublesome economic times ahead and what can be done about them Tough times are here, and author John Talbott-who accurately predicted the dot.com technology stock collapse as well as the recent housing, mortgage, and financial crises-argues that the coming global recession will be unlike anything we've ever seen. In Contagion, Talbott turns his attention to this crisis and offers insights on what can be done to navigate such treacherous terrain. Talbott sets the stage by discussing how government borrowing and spending on the war, healthcare, Social Security, and corporate giveaways combined with dramatic increases in personal spending, fueled by credit card and mortgage debt, have funded unsustainable levels of personal and government consumption. Offers practical suggestions as to how investors and homeowners can best weather this storm with straightforward advice on where to invest Examines real estate and housing issues to help you make the best decisions possible in this arena Details the best ways to utilize stocks, bonds, TIPS, and commodities, and to prosper during this global crisis If you really want to protect yourself from the unfolding economic crisis, then Contagion is the book you need to read.
Contagion in Financial Markets
| Author | : Friedrich L. Sell |
| Publisher | : Edward Elgar Publishing |
| Total Pages | : 248 |
| Release | : 2001-01-01 |
| Genre | : Business & Economics |
| ISBN | : 9781781956250 |
This book aims to integrate the notions of contagion in epidemiology and contagion in financial market crises to discover why emerging markets are so susceptible to financial crises. The author first provides a brief introduction of the contagious spill-over of recent financial market crises and models the pattern of these crises. He finds that the contagion between crises in emerging markets, such as that of the crises in Russia and Brazil in 1998-1999, is explicable, despite the fact that at first sight they appear to have little in common. Finally, Friedrich Sell integrates these findings to outline a proposal for a 'new international financial architecture'.
Bubbles and Contagion in Financial Markets, Volume 1
| Author | : E. Porras |
| Publisher | : Springer |
| Total Pages | : 303 |
| Release | : 2016-06-29 |
| Genre | : Social Science |
| ISBN | : 1137358769 |
Understanding the formation of bubbles and the contagion mechanisms afflicting financial markets is a must as extreme volatility events leave no market untouched. Debt, equity, real estate, commodities... Shanghai, NY, or London: The severe fluctuations, explained to a large extent by contagion and the fear of new bubbles imploding, justify the newly awaken interest in the contagion and bubble dynamics as yet again the world brazes for a new global economic upheaval. Bubbles and Contagion in Financial Markets explores concepts, intuition, theory, and models. Fundamental valuation, share price development in the presence of asymmetric information, the speculative behavior of noise traders and chartists, herding and the feedback and learning mechanisms that surge within the markets are key aspects of these dynamics. Bubbles and contagion are a vast world and fascinating phenomena that escape a narrow exploration of financial markets. Hence this work looks beyond into macroeconomics, monetary policy, risk aggregation, psychology, incentive structures and many more subjects which are in part co-responsible for these events. Responding to the ever more pressing need to disentangle the dynamics by which financial local events are transmitted across the globe, this volume presents an exhaustive and integrative outlook to the subject of bubbles and contagion in financial markets. The key objective of this volume is to give the reader a comprehensive understanding of all aspects that can potentially create the conditions for the formation and bursting of bubbles, and the aftermath of such events: the contagion of macro-economic processes. Achieving a better understanding of the formation of bubbles and the impact of contagion will no doubt determine the stability of future economies – let these two volumes be the starting point for a rational approach to a seemingly irrational phenomena.
