The 2008 financial crisis: Stock market contagion and its determinants
The 2008 financial crisis: Stock market contagion and its determinants
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DOI：
10.1016/j.ribaf.2014.09.007
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发表时间：
2015-01-01
影响因子：
6.5
通讯作者：
Vu, Quang Viet
中科院分区：
文献类型：
--
作者：
Luchtenberg, Kimberly F.;Vu, Quang Viet
在本文中，我们研究了2008年金融危机期间的全球传染及其决定因素。利用2003年至2009年的国际回报样本，我们考虑了单向和双向传染。在控制了与危机相关的波动之后，我们发现了强有力的证据，表明许多金融市场之间的跨市场联系增加了。与以往的危机不同，2008年全球金融危机后的传染并不局限于新兴市场。美国和其他成熟的金融市场在样本中传播和接受传染。与其他国家市场相比，国家市场受区域的影响较小。我们还构建了代表危机前和危机期间经济变量相对变化的变量。我们发现，贸易结构、利率、通货膨胀率、工业生产和区域效应等经济基本面和投资者的风险规避都有助于国际传染。(C) 2014 Elsevier B.V.版权所有
In this paper, we investigate worldwide contagion and its determinants during the 2008 financial crisis. Utilizing an international sample of returns from 2003 to 2009, we consider both uni-and bidirectional contagion. After controlling for crisis-related volatility, we find strong evidence that cross-market linkages increase among many financial markets. In contrast to previous crises, contagion following the 2008 global financial crisis is not confined to emerging markets. The United States and other mature financial markets in the sample transmit and receive contagion. Country markets are less influenced by regions than they are by other country markets. We also construct variables that represent relative changes in economic variables before and during the crisis. We find that both economic fundamentals such as trade structure, interest rates, inflation rates, industrial production, and regional effects, and investors' risk aversion contribute to international contagion. (C) 2014 Elsevier B.V. All rights reserved.