Equity Market Comovement and Contagion:A Sectoral Perspective

摘要：

The paper takes an asset pricing perspective to investigate the equity market comovement and contagion at the sector level during the period 1990-2004 across the regions of Europe, Asia and Latin America. It examines whether unexpected shocks from a particular market, or group of markets, are propagated to the sectors in other countries. The results confirm the sector heterogeneity of contagion, which implies that there are sectors which can still provide a channel for achieving the benefits of international diversification during crises despite the prevailing contagion at the market level.

关键词： Contagion International Diversification Industry Returns Financial Integration Global Linkages

作者: Kate Phylaktis Lichuan Xia

作者单位: Sir John Cass Business School City of London106 Bunhill Row London EC1Y 8TZ

会议类型: 国际会议

会议名称: 2006年中国国际金融年会

会议地点: 西安

会议语种:英文

在线出版日期: 2006-07-17（万方平台首次上网日期，不代表论文的发表时间）