Stock Market Contagion: a New Approach

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Stock Market Contagion: a New Approach

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Stock Market Contagion: a New Approach

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Open Economies Review

ISSN

0923-7992

e-ISSN

—

Svazek periodika

29

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

31

Strana od-do

547-577

Kód UT WoS článku

000434854500003

EID výsledku v databázi Scopus

2-s2.0-85042919565