Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - European Central Bank - 2011
unexplained increases in factor loadings as indicative of contagion. We find evidence of systematic contagion from US markets and … contagion from domestic equity markets to individual domestic equity portfolios, with its severity inversely related to the … transmission of the crisis to the extent of global exposure. Instead, we confirm the old “wake-up call” hypothesis, with markets …