The effects of news events on market contagion: evidence from the 2007-2009 financial crisis
journal contributionposted on 2015-03-20, 15:34 authored by Thanaset Chevapatrakul, Kai-Hong Tee
In this paper, we use the quantile regression technique along with coexceedance, a contagion measure, to assess the extent to which news events contribute to contagioninthe stockmarketsduring the crisis period between 2007 and 2009. Studies have shown that, not only the subprime crisis leads to a global recession, but the effects on the global stock markets have also been significant. We track the news events, both in the UK and the US, using the global recession timeline.We observe thatthe news events related to ad hoc bailouts of individual banks from the UK have a contagion effect throughout the period for most of the countries under investigation. This, however, is notfound to be the case for the news events originating from the US. Our findings regarding the evidence of contagion effects in the UK reinforce the argument that spreads and contagion—an outcome of the risk perception of financial markets—are solely a result of the behaviour of investors or other financial market participants.
- Business and Economics
Published inResearch in International Business and Finance
CitationCHEVAPATRAKUL, T. and TEE, K-H., 2014. The effects of news events on market contagion: evidence from the 2007-2009 financial crisis. Research in International Business and Finance, 32, August 2014, pp. 83–105.
PublisherCrown Copyright © Published by Elsevier B.V.
- AM (Accepted Manuscript)
Publisher statementThis work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/
NotesThis article was accepted for publication in the journal, Research in International Business and Finance [Crown Copyright © Published by Elsevier B.V.] and the definitive version is available at: http://dx.doi.org/10.1016/j.ribaf.2014.03.003