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 |
DOI | 10.1108/S1571-038620180000025005 |
URL | 查看来源 |
Scopus入藏号 | 2-s2.0-85067069308 |
引用统计 | |
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 |
推荐引用方式 GB/T 7714 | Chow,William W. Stock market contagion from a spatial perspective, 2018: 85-104. |
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