How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices
通过区分新兴市场股票中外国投资者可购买和不可购买的两类，发现危机期间可进入股票指数与危机国指数联动更强，表明危机通过国际投资者的资产持有而非基本面变化传播。
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.