How Do Crises Spread ? Evidence From Accessible And Inaccessible Stock Indices  

Oleh:

Yuan, Kathy ; Kumugai, Tomomi ; Boyer, Brian H.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 2 (Apr. 2006), page 957-1004.
Topik: stock; international finance; economic crisis; emerging amrkets; studies; indexes; volatility; regression analysis
Fulltext: p 957.pdf (317.31KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We provide empirical evidence that stock market crises are spread globally through asset holdings of international investors. By separating emerging market stocks into two categories, namely, those that are eligible for purchase by foreigners (accessible) and those that are not (inaccessible), we estimate and compare the degree to which accessible and incaccesible stock index returns co - move with crisis country index returns. Our results show greater co-movement during high volatility periods, especially for accessible stock index returns, suggesting that crises spread through the asset holdings of international investors raher than through changes in fundamentals.

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