| Title | Stock market contagion from a spatial perspective |
| Creator | |
| Date Issued | 2018 |
| Source Publication | International Symposia in Economic Theory and Econometrics |
| Pages | 85-104 |
| Abstract | 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. |
| Language | 英语English |
| Keyword | Financial contagion Markov chain Monte Carlo Spatial econometrics Stock markets Subprime financial crisis |
| DOI | 10.1108/S1571-038620180000025005 |
| URL | View source |
| Scopus ID | 2-s2.0-85067069308 |
| Citation statistics |
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| Document Type | Book chapter |
| Identifier | http://repository.uic.edu.cn/handle/39GCC9TT/6319 |
| Collection | Beijing Normal-Hong Kong Baptist University |
| Corresponding Author | Chow，William W. |
| Affiliation | United International College,Zhuhai,2000 Jintong Road Tangjiawan,China |
| First Author Affilication | Beijing Normal-Hong Kong Baptist University |
| Recommended Citation GB/T 7714 | Chow，William W. Stock market contagion from a spatial perspective, 2018: 85-104. |
| Files in This Item: | There are no files associated with this item. | |||||
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