This paper tests whether contagion can occur at the industry level, in particular the banking industry. In this paper ‘contagion’ is defined as significant spillovers of country-specific idiosyncratic shocks during the crisis after economic fundamentals or systematic risks have been...

Purpose – The purpose of this paper is to provide empirical evidence on how 1999–2001 dot-com crisis and 2007–2009 subprime crisis affect the gains from international diversification from the perspective of US investors. Design/methodology/approach – A conditional international CAPM with...