Time-varying regional and global integration and contagion: Evidence from style portfoliosCitation formats

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Time-varying regional and global integration and contagion: Evidence from style portfolios. / Cho, Sungjun; Hyde, Stuart; Nguyen, Ngoc.

In: International Review of Financial Analysis, Vol. 42, 12.2015, p. 109-131.

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Cho, Sungjun ; Hyde, Stuart ; Nguyen, Ngoc. / Time-varying regional and global integration and contagion: Evidence from style portfolios. In: International Review of Financial Analysis. 2015 ; Vol. 42. pp. 109-131.

Bibtex

@article{35e1927beb7241848b5427df29769a96,
title = "Time-varying regional and global integration and contagion: Evidence from style portfolios",
abstract = "We examine the time varying nature of integration and the patterns of contagion of asset portfolios over five recent crisis periods including the global financial crisis and the European debt crisis. We investigate a large sample of 30,838 common stocks from thirty one markets across the globe establishing the key differences in the transmission of shocks between country, and firm-level characteristic constructed or style portfolios. Our findings point to distinct differences in the impact on integration and level of contagion from each crisis. Style portfolios exhibit notably shifts in both global and regional integration between states. There is widespread evidence of contagion effects during the global crisis while the impact of the Mexican and Asian crises is limited to regional effects.",
keywords = "financial crisis; contagion; comovement; regime switching; style investing",
author = "Sungjun Cho and Stuart Hyde and Ngoc Nguyen",
year = "2015",
month = dec,
doi = "10.1016/j.irfa.2014.10.007",
language = "English",
volume = "42",
pages = "109--131",
journal = "International Review of Financial Analysis",
issn = "1057-5219",
publisher = "Elsevier BV",

}

RIS

TY - JOUR

T1 - Time-varying regional and global integration and contagion: Evidence from style portfolios

AU - Cho, Sungjun

AU - Hyde, Stuart

AU - Nguyen, Ngoc

PY - 2015/12

Y1 - 2015/12

N2 - We examine the time varying nature of integration and the patterns of contagion of asset portfolios over five recent crisis periods including the global financial crisis and the European debt crisis. We investigate a large sample of 30,838 common stocks from thirty one markets across the globe establishing the key differences in the transmission of shocks between country, and firm-level characteristic constructed or style portfolios. Our findings point to distinct differences in the impact on integration and level of contagion from each crisis. Style portfolios exhibit notably shifts in both global and regional integration between states. There is widespread evidence of contagion effects during the global crisis while the impact of the Mexican and Asian crises is limited to regional effects.

AB - We examine the time varying nature of integration and the patterns of contagion of asset portfolios over five recent crisis periods including the global financial crisis and the European debt crisis. We investigate a large sample of 30,838 common stocks from thirty one markets across the globe establishing the key differences in the transmission of shocks between country, and firm-level characteristic constructed or style portfolios. Our findings point to distinct differences in the impact on integration and level of contagion from each crisis. Style portfolios exhibit notably shifts in both global and regional integration between states. There is widespread evidence of contagion effects during the global crisis while the impact of the Mexican and Asian crises is limited to regional effects.

KW - financial crisis; contagion; comovement; regime switching; style investing

U2 - 10.1016/j.irfa.2014.10.007

DO - 10.1016/j.irfa.2014.10.007

M3 - Article

VL - 42

SP - 109

EP - 131

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

SN - 1057-5219

ER -