Stock Market Contagion: a New Approach

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F18%3A10374007" target="_blank" >RIV/00216208:11230/18:10374007 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1007/s11079-018-9481-4" target="_blank" >https://doi.org/10.1007/s11079-018-9481-4</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s11079-018-9481-4" target="_blank" >10.1007/s11079-018-9481-4</a>

Result language
angličtina
Original language name
Stock Market Contagion: a New Approach
Original language description
We develop a new approach to assess stock market contagion that involves examining whether higher unexpected volatility during extreme market downturns of the originating market is associated with increased return co-exceedance with the recipient market. Using daily data from 1999 to 2014 and quantile regressions with a wide set of control variables, we find evidence of contagion from the U.S. stock market to the six largest developed stock markets (Japan, United Kingdom, France, Germany, Hong Kong, and Canada). In addition, our results show that contagion is not solely a crisis-specific event, because we find contagion present over the whole sample period. Interestingly, the return co-exceedances during extreme market downturns are not driven by fundamentals, further supporting our results regarding contagion.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50201 - Economic Theory

Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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