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Equity market contagion during the global financial crisis: Evidence from the world’s eight largest economies

Citation

Dungey, MH and Gajurel, DP, Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies, Economic Systems, 38, (2) pp. 161-177. ISSN 0939-3625 (2014) [Refereed Article]

Copyright Statement

Copyright 2014 Elsevier

DOI: doi:10.1016/j.ecosys.2013.10.003

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 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.

Item Details

Item Type:Refereed Article
Research Division:Economics
Research Group:Applied Economics
Research Field:International Economics and International Finance
Objective Division:Commercial Services and Tourism
Objective Group:Financial Services
Objective Field:Finance Services
Author:Dungey, MH (Professor Mardi Dungey)
Author:Gajurel, DP (Dr Dinesh Gajurel)
ID Code:91793
Year Published:2014
Web of Science® Times Cited:17
Deposited By:Tasmanian School of Business and Economics
Deposited On:2014-05-30
Last Modified:2015-04-23
Downloads:0

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