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Download fileThe effects of news events on market contagion: evidence from the 2007-2009 financial crisis
journal contribution
posted on 2015-03-20, 15:34 authored by Thanaset Chevapatrakul, Kai-Hong TeeIn 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.
History
School
- Business and Economics
Department
- Business
Published in
Research in International Business and FinanceCitation
CHEVAPATRAKUL, 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.Publisher
Crown Copyright © Published by Elsevier B.V.Version
- AM (Accepted Manuscript)
Publisher statement
This 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/Publication date
2014Notes
This 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.2014.03.003ISSN
0275-5319Publisher version
Language
- en