Stock market contagion during the global financial crisis: A multiscale approach

被引：74
|
作者：
Wang, Gang-Jin [1 ,2 ,4 ,5 ]
Xie, Chi [1 ,2 ]
Lin, Min [3 ,4 ,5 ]
Stanley, H. Eugene [4 ,5 ]
机构：
[1] Hunan Univ, Sch Business, Changsha 410082, Hunan, Peoples R China
[2] Hunan Univ, Ctr Finance & Investment Management, Changsha 410082, Hunan, Peoples R China
[3] Sichuan Normal Univ, Sch Econ & Management, Chengdu 610101, Sichuan, Peoples R China
[4] Boston Univ, Ctr Polymer Studies, Boston, MA 02215 USA
[5] Boston Univ, Dept Phys, 590 Commonwealth Ave, Boston, MA 02215 USA
来源：
FINANCE RESEARCH LETTERS | 2017年 / 22卷
基金：
中国国家自然科学基金;
关键词：
Contagion; Stock market; Global financial crisis; Multiscale analysis; INTERDEPENDENCE;
D O I：
10.1016/j.frl.2016.12.025
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We propose a multiscale correlation contagion statistic to test for stock market contagion during the global financial crisis (GFC) from the US to the other six G7 and BRIC countries. We find that cross-market correlations between the US and selected countries are conditional on the time scale. Stock market contagion during the GFC is dependent on both the recipient country and the time scale, e.g., contagion from the US to Japan, China, and Brazil occurs when the time scale is longer than 50 days or more. Our findings are important to international investors when they make decisions about global portfolio diversification. (C) 2017 Elsevier Inc. All rights reserved.
引用
收藏
页码：163 / 168
页数：6
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