科研成果详情

题名Stock market contagion from a spatial perspective
作者
出版日期2018
来源专著International Symposia in Economic Theory and Econometrics
页码85-104
摘要This chapter proposes augmenting a simple income stock price model with spatial structures to evaluate the significance of real and financial linkages in instigating stock market contagion. The treatment is premised upon the clustering of excessive returns and volatilities during the Subprime crisis envisaged from our regime switching analysis over a long time span, and the presence of spatial autocorrelation in the baseline income stock model. With the channel factors manifested as spatial weights, this chapter explores specifications of explicit interrelated stock price returns and implicit spatial autocorrelation in the error term for the 3-year period from 2007 to 2009. Model validity is authenticated by way of model choice and spatial weight selection. The finding shows that spatial dependence in either specification is not too sizable indicating that contagion is not spreading fast in the sample period. Of the various factors considered, non-performing loans, market liquidity, and credit to deposit ratio turn out to be the most important transmission factors. Current account balance, net FDI flows, and size of GDP are among the least significant media. In sum, these suggest that financial linkages could play a more important role in facilitating shock transmission when compared to real linkages such as trade.
语种英语English
关键词Financial contagion Markov chain Monte Carlo Spatial econometrics Stock markets Subprime financial crisis
DOI10.1108/S1571-038620180000025005
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Scopus入藏号2-s2.0-85067069308
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被引频次[WOS]:0   [WOS记录]     [WOS相关记录]
文献类型著作章节
条目标识符https://repository.uic.edu.cn/handle/39GCC9TT/6319
专题北师香港浸会大学
通讯作者Chow,William W.
作者单位
United International College,Zhuhai,2000 Jintong Road Tangjiawan,China
第一作者单位北师香港浸会大学
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GB/T 7714
Chow,William W. Stock market contagion from a spatial perspective, 2018: 85-104.
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