Contagion, Channels of Shock Transmission and Structure of Channel Performance

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Date
2015-01-05Author
Zhu, Zheng
Type
ThesisDegree Level
MastersMetadata
Show full item recordAbstract
Contagion among countries and sectors when a financial crisis breaks out is currently under scrutiny. The existing literature focuses on establishing the existence of contagion among equity markets but relatively little attention is devoted to examining which channels spread the shock to individual sectors. This study extends the literature by estimating a time-series of contagion for sectors identified as contagious, investigating three potential channels of shock transmission and investigating the role of the channels as the severity of contagion increases. Using data for 16 emerging markets and nine industrial sectors for the 2007-2009 financial crisis, we find that the global channel provides a mechanism that stabilizes and mitigates contagion while the country channel is the primary force encouraging contagion and the sector channel is ineffective. We also find the role of each channel may change as the severity of contagion increases.
Degree
Master of Science (M.Sc.)Department
Edwards School of BusinessProgram
FinanceSupervisor
Racine, MarieCommittee
Tannous, George; Wilson, Craig; Chaban, MaxymCopyright Date
November 2014Subject
Contagion, channels of contagion transmission, structure of contagion