The Global Crisis and Equity Market Contagion: The Global Crisis and Equity Market Contagion
By Geert Bekaert, Michael Ehrmann, Marcel Fratzscher, Arnaud Mehl. 2014
555 citations recorded by the source corpus.
Subfields: Accounting, Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/73c3d5d8f51447abea2eafb2e2b35f2b4eb666d6
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Accounting
- Heikki Lehkonen
- Marcel Fratzscher
- Koen Inghelbrecht
- Michael Ehrmann
- Geert Bekaert
- Lieven Baele
- David Gabauer
- Ioannis Chatziantoniou
In Economics and Econometrics
- Geert Bekaert
- Heikki Lehkonen
- Marcel Fratzscher
- David Gabauer
- Michael Ehrmann
- Koen Inghelbrecht
- Lieven Baele
- Ioannis Chatziantoniou
In Finance
- Geert Bekaert
- Heikki Lehkonen
- Marcel Fratzscher
- David Gabauer
- Michael Ehrmann
- Koen Inghelbrecht
- Lieven Baele
- Ioannis Chatziantoniou
Citations in the corpus
- A Tie That Binds: Revisiting the Trilemma in Emerging Market Economies (2017, unknown): “Overall, equity returns in EMEs dropped sharply during the global financial crisis, a result that is consistent with studies showing contagion across equity markets during the crisis (Bekaert et al., 2014).”
- Contagion and Banking Crisis - International Evidence for 2007-2009 (2015, unknown): “The framework is most closely related to the models of Baur (2012), Bekaert et al. (2014), Bekaert et al. (2005) and Dungey et al. (2005).”
- Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020, background): “…the stock market interdependencies, volatility spillovers, business cycle spillovers, as well as bond yield spillovers (see, inter alia, Alter and Beyer 2014; Antonakakis 2012; Awartani and Maghyereh 2013; Bekaert et al. 2014; Bubák et al. 2011; Diebold and Yilmaz 2015; McMillan and Speight 2010).”
- Emerging Equity Markets in a Globalizing World (2017, unknown): “This result is consistent with recent results on non-linear dependence in emerging market returns by Christoffersen, Errunza, Jacobs and Langlois (2012) and with recent work on contagion during the global crisis (see Bekaert, Ehrmann, Fratzscher and Mehl, 2013).”
- Sentiment in Central Banks’ Financial Stability Reports* (2017, unknown): “The results show that, overall, our benchmark panel VAR results are robust to controlling for risk aversion in the vector of endogenous variables (see Bekaert et al., 2014).11 There are, however, some differences with our benchmark results.”
- Democracy, Political Risks and Stock Market Performance (2015, unknown): “In this task, we follow Bekaert et al. (2011) and Bekaert et al. (2014) and employ general-to-specific algorithm, explained in Hendry and Krolzig (2005).”
- Flights to Safety (2014, background): “Several papers (e.g. Longstaff et al. (2011), Bekaert et al. (2014b)) suggest that global factors affect the pricing of emerging market sovereign bonds.”