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      Contagion, Channels of Shock Transmission and Structure of Channel Performance

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      ZHU-THESIS.pdf (3.401Mb)
      Date
      2015-01-05
      Author
      Zhu, Zheng
      Type
      Thesis
      Degree Level
      Masters
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      Abstract
      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 Business
      Program
      Finance
      Supervisor
      Racine, Marie
      Committee
      Tannous, George; Wilson, Craig; Chaban, Maxym
      Copyright Date
      November 2014
      URI
      http://hdl.handle.net/10388/ETD-2014-11-1869
      Subject
      Contagion, channels of contagion transmission, structure of contagion
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