Suchergebnisse

This paper empirically investigates the contagion effects of the Global
Financial Crisis (2007-2009) from the financial sector to the real economy
by examining nine sectors of US and developed European region. We provide a
regional analysis by testing stock market contagion on the aggregate level
and the sector level, on the global level and the domestic/regional level.
Results show evidence of global contagion in US and developed European
aggregate stock market indices and all US sector indices, implying the
limited benefits of portfolio diversification. On the other hand, most of
the European regional sectors seem to be immune to the adverse effects of
the crisis. Finally, all non-financial sectors of both geographical areas
seem to be unaffected by their domestic financial systems. These findings
have important implications for policy makers, investors and international
organizations.

Abstract
This paper investigates the spread of the Global Financial Crisis (GFC) and the Eurozone Sovereign Debt Crisis (ESDC) to different market capitalization segments across countries and regions. Specifically, it tests for capitalization-specific contagion across both crises and their phases by examining large, medium and small capitalization indices of G-20 equity markets. The analysis across stable and the two crisis periods shows the existence of a stronger largecap transmission channel for the majority of countries. On the other hand, the contagion dynamics across the phases of the two crises do not provide a clear pattern of a specific cap size-based contagion across all markets. However, there is evidence that the Pacific region and the three cap groups of some individual markets of different regions are less severely affected. Further, all three cap groups of developed markets are mostly affected during the last phase of the ESDC, while emerging and frontier markets show a more diverse pattern of contagion across the phases of both crises. Finally, the Lehman Brothers' collapse triggers a dramatic increase of the infection rate, while the ESDC seems to be more contagious than the GFC.
JEL classifications: F30; G15
Keywords: Capitalization-specific contagion; global financial crisis; Eurozone debt crisis; dynamic conditional correlation; FIAPARCH