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The global crisis and equity market contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - 2014
indicative of contagion. While we find evidence of contagion from the U.S. and the global financial sector, the effects are small …. By contrast, there has been substantial contagion from domestic markets to individual domestic portfolios, with its …
Persistent link: https://www.econbiz.de/10010328201
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Global crises and equity market contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - 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 …
Persistent link: https://www.econbiz.de/10011605427
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The global crisis and equity market contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - 2014
indicative of contagion. While we find evidence of contagion from the U.S. and the global financial sector, the effects are small …. By contrast, there has been substantial contagion from domestic markets to individual domestic portfolios, with its …
Persistent link: https://www.econbiz.de/10010229208
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Global crises and equity market contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - C.E.P.R. Discussion Papers - 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 …
Persistent link: https://www.econbiz.de/10009148883
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The global crisis and equity market contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - In: The journal of finance : the journal of the American … 69 (2014) 6, pp. 2597-2649
Persistent link: https://www.econbiz.de/10010502200
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Market integration and contagion
Bekaert, Geert; Harvey, Campbell R.; Ng, Angela - In: The journal of business : B 78 (2005) 1, pp. 39-69
Persistent link: https://www.econbiz.de/10002827392
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Market integration and contagion
Bekaert, Geert; Harvey, Campbell R.; Ng, Angela - 2003
Persistent link: https://www.econbiz.de/10001738796
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Global crises and equity market contagion
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 …
Persistent link: https://www.econbiz.de/10009293721
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Aggregate Idiosyncratic Volatility
Bekaert, Geert; Hodrick, Robert J; Zhang, Xiaoyan - C.E.P.R. Discussion Papers - 2010
portfolio diversification, return volatility and contagion. …
Persistent link: https://www.econbiz.de/10008784734
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The Time Variation of Risk and Return in Foreign Exchange Markets : A General Equilibrium Perspective
Bekaert, Geert - 2011
This paper successively introduces variable velocity, durability and habit persistence in a standard two-country general equilibrium model and explores their effects on the variability of exchange rate changes, forward premiums and the foreign exchange risk premium. A new feature of the model is...
Persistent link: https://www.econbiz.de/10012757455