The Global Crisis and Equity Market Contagion
研究了2007-2009年金融危机如何通过415个国家-行业股票组合传播，发现来自美国和全球金融部门的传染效应较小，而国内市场的传染效应显著，且严重程度与国家经济基本面质量负相关。
ABSTRACT We analyze the transmission of the 2007 to 2009 financial crisis to 415 country‐industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find evidence of contagion from the United States and the global financial sector, the effects are small. By contrast, there has been substantial contagion from domestic markets to individual domestic portfolios, with its severity inversely related to the quality of countries’ economic fundamentals. This confirms the “wake‐up call” hypothesis, with markets focusing more on country‐specific characteristics during the crisis.