Lyocsa, Stefan and Horvath, Roman (2018) Stock Market Contagion: a New Approach. OPEN ECONOMIES REVIEW, 29 (3). pp. 547-577. ISSN 0923-7992, 1573-708X
Full text not available from this repository. (Request a copy)Abstract
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.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | FINANCIAL CONTAGION; ASSET RETURNS; VOLATILITY; LIQUIDITY; CRISES; OVERCONFIDENCE; ILLIQUIDITY; COMBINATION; DEPENDENCE; MODEL; Contagion; Volatility; Stockmarkets; Co-exceedance |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Institute for East and Southeast European Studies (IESES) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 09 Mar 2020 08:36 |
| Last Modified: | 09 Mar 2020 08:36 |
| URI: | https://pred.uni-regensburg.de/id/eprint/14364 |
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