Contagion, Channels of Shock Transmission and Structure of Channel Performance
Date
2015-01-05
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
ORCID
Type
Degree Level
Masters
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.
Description
Keywords
Contagion, channels of contagion transmission, structure of contagion
Citation
Degree
Master of Science (M.Sc.)
Department
Edwards School of Business
Program
Finance