How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices

By Brian H. Boyer, Tomomi Kumagai, Kathy Yuan. 2006

436 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e120c12e1c4f4a1fb3070eee61ca1f2dee8d0063

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Citations in the corpus

Investor Attention and Time-Varying Comovements (2007, neutral): “JEL classification: G14”
The role of institutional investors in propagating the crisis of 2007-2008. (2012, neutral): “…exposure to securitized bonds, yield spread changes, and trading volumes at 14 For related studies that examine the role of international investors in spreading crises through rebalancing of their cross-country asset holdings, see, e.g., Boyer, Kumagai, and Yuan (2006) and the papers cited therein.”
The “Big C”: identifying and mitigating contagion (2012, background): “More recent examples of papers using extreme value theory are: Bae et al. (2003), Longin and Solnik (2001), Hartman et al. (2004) Boyer et al. (2006), and Boyson et al. (2010).”
Imperfect Competition, Information Heterogeneity, and Financial Contagion (2007, background): “…(1990, 1993), King et al. (1994), Karolyi and Stulz (1996), Baig and Goldfajn (1999), Bekaert and Harvey (2000), Connolly and Wang (2000), Barberis et al. (2002), Boyer et al. (2002), Corsetti et al. (2002), Forbes and Rigobon (2002), Kallberg et al. (2002), and Kallberg and Pasquariello (2002).”
Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets☆ (2011, methodology): “According to Boyer et al. (2006), contagion can either be investor induced through portfolio rebalancing or fundamental based.”
Contagion as a domino effect in global stock markets (2009, positive): “Recently, Boyer et al. (2006) investigate the spread of crises through asset holdings of international investors, and find that this is an additional channel through which crises can spread.”
Asset Fire Sales and Purchases and the International Transmission of Funding Shocks (2012, neutral): “For empirical work, see Longin and Solnik (2001), Forbes and Rigobon (2002), Forbes (2004), and Boyer, Kumagai, and Yuan (2006). behaviour of a small sample of investment managers (see Kaminsky, Lyons and Schmukler (2004)).”
Dynamic Herding Behavior in Pacific-Basin Markets: Evidence and Implications (2013, background): “Boyer et al. (2006) and Chiang et al. (2007) document that contagion effects spread financial risk across markets, and herding activity further exacerbates market crises.”