Equity Market Comovement and Contagion: A Sectoral Perspective
从资产定价角度研究1990-2004年欧洲、亚洲和拉丁美洲股票市场在行业层面的联动与传染，发现传染存在行业异质性，某些行业仍可在危机中提供国际多样化收益。
This paper takes an asset pricing perspective to investigate the equity market comovement and contagion at the sector level during the period 1990‐2004 across the regions of Europe, Asia, and Latin America. It examines whether unexpected shocks from a particular market, or group of markets, are propagated to the sectors in other countries. The results confirm the sector heterogeneity of contagion. This implies that there are sectors that can still provide a channel for achieving the benefits of international diversification during crises despite the prevailing contagion at the market level. In addition, the results lend support to the importance of financial links in the propagation of contagion.