Boyer, Brian H., Kumagai, Timoni and Yuan, Kathy 
ORCID: 0000-0001-9895-7545
(2006)
How do crises spread? Evidence from accessible and inaccessible stock indices.
Journal of Finance, 61 (2).
pp. 957-1003.
ISSN 0022-1082
Abstract
We provide empirical evidence that stock market crises are spread globally through asset holdings of international investors. By separating emerging market stocks into two categories, namely, those that are eligible for purchase by foreigners (accessible) and those that are not (inaccessible), we estimate and compare the degree to which accessible and inaccessible stock index returns co-move with crisis country index returns. Our results show greater co-movement during high volatility periods, especially for accessible stock index returns, suggesting that crises spread through the asset holdings of international investors rather than through changes in fundamentals.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.afajof.org/ |
| Additional Information: | © 2006 The American Finance Association |
| Divisions: | Finance |
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance |
| JEL classification: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F47 - Forecasting and Simulation G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets |
| Date Deposited: | 10 Nov 2011 11:35 |
| Last Modified: | 11 Dec 2024 23:04 |
| URI: | http://eprints.lse.ac.uk/id/eprint/39406 |
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