Journal ArticleDOI
Global capital market interdependence and spillover effect of credit risk: Evidence from the 2007-2009 global financial crisis
Reads0
Chats0
TLDR
In this article, the authors examined the impact of the 2007-2009 Global Financial Crisis on the interrelationships among global stock markets and the informational role of the TED spread as perceived credit risk.Abstract:
This article examines the impact of the 2007–2009 Global Financial Crisis on the interrelationships among global stock markets and the informational role of the TED spread as perceived credit risk. The current crisis originated from the dominant US market has a prompt and pervasive spillover effect into other global markets. Using the Vector Autoregressive (VAR) model, Granger causality test, cointegrating Vector Error Correction Model (VECM), we document enhanced leadership of the US market with respect to UK, Hong Kong, Japan, Australia, Russia and China markets during the crisis. Consistent with the contagion theory, the interdependence among international stock markets becomes stronger in the crisis. The TED spread serves as a leading ‘fear’ indicator and adjusts to new information rapidly during the crisis. While the impact of orthogonalized shocks from the US market on other global markets increases by at least two times during the crisis, the impact of orthogonalized shocks from the TED spread on g...read more
Citations
More filters
Journal ArticleDOI
A Century of Global Equity Market Correlations
TL;DR: In this paper, the authors use a dataset of regulatory constraints on capital account openness to explain stock market correlations and conclude that greater openness has been the single most important cause of growing correlations during the last quarter of a century, though increasingly correlated economic fundamentals also matter.
Journal ArticleDOI
Who moves East Asian stock markets? The role of the 2007–2009 global financial crisis☆
TL;DR: This article examined the integration and causality of interdependencies among six major East Asian stock exchanges, while also considering their interactions with the USA before and during the 2007-2009 global financial crisis.
Journal ArticleDOI
Global financial crisis and emerging stock market contagion: A volatility impulse response function approach
Xiaoye Jin,Ximeng An +1 more
TL;DR: In this article, the authors present a general framework for addressing the extent of contagion effects between BRICS and U.S. stock markets and how the BRICS stock markets have been influenced in the context of the 2007-2009 global financial crisis.
Journal ArticleDOI
Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests
TL;DR: In this article, the relationship between stock market volatility and the business cycle in four major economies, namely the US, Canada, Japan and the UK, was investigated and a multivariate analysis was conducted to explore possible spillover effects across countries.
Journal ArticleDOI
Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect
Rui Huo,Abdullahi D. Ahmed +1 more
TL;DR: Wang et al. as discussed by the authors investigated the impact of the recently introduced Shanghai-Hong Kong Stock Connect and found that the new Stock Connect does contribute to the increasing importance of Chinese mainland stock market and economic activity.
References
More filters
Journal ArticleDOI
Co-integration and Error Correction: Representation, Estimation and Testing
TL;DR: The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples.
Posted Content
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
TL;DR: In this paper, the authors give a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model, which has gained popularity because it can capture the short-run dynamic properties as well as the long-run equilibrium behaviour of many non-stationary time series.
Journal ArticleDOI
No Contagion, Only Interdependence: Measuring Stock Market Comovements
TL;DR: The authors showed that correlation coefficients are conditional on market volatility, and that there was virtually no increase in unconditional correlation coefficients (i.e., no contagion) during the 1997 Asian crisis, 1994 Mexican devaluation, and 1987 U.S. market crash.
Posted Content
No Contagion, Only Interdependence: Measuring Stock Market Co-Movements
TL;DR: In this article, the authors examined stock market co-movements and applied these concepts to test for stock market contagion during the 1997 East Asian crises, the 1994 Mexican peso collapse, and the 1987 U.S. stock market crash.
Journal ArticleDOI
Deciphering the Liquidity and Credit Crunch 2007-08
TL;DR: The authors summarizes and explains the main events of the liquidity and credit crunch in 2007-08, starting with the trends leading up to the crisis and explaining how four different amplification mechanisms magnified losses in the mortgage market into large dislocations and turmoil in financial markets.