Keywords
stock market crises, international investors, stock co-movement
Abstract
We provide empirical evidence that stock market crises are spread globally through asset holdings of international investors. By separating emerging market stocks into two categories, namely, those that are eligible for purchase by foreigners (accessible) and those that are not (inaccessible), we estimate and compare the degree to which accessible and inaccessible stock index returns co-move with crisis country index returns. Our results show greater co-movement during high volatility periods, especially for accessible stock index returns, suggesting that crises spread through the asset holdings of international investors rather than through changes in fundamentals.
Original Publication Citation
How do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices (with Kathy Yuan and Tomomi Kumagai), 2006, Journal of Finance, 61, 957-1003.
BYU ScholarsArchive Citation
Boyer, Brian H.; Kumagai, Tomomi; and Yuan, Kathy, "How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices" (2006). Faculty Publications. 8930.
https://scholarsarchive.byu.edu/facpub/8930
Document Type
Peer-Reviewed Article
Publication Date
2006
Publisher
Journal of Finance
Language
English
College
Marriott School of Business
Department
Finance
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