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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/17071

Title: The effects of news events on market contagion: evidence from the 2007-2009 financial crisis
Authors: Chevapatrakul, Thanaset
Tee, Kai-Hong
Keywords: Credit crisis
Coexceedance
Quantile regression
News events
Risk perception
Issue Date: 2014
Publisher: Crown Copyright © Published by Elsevier B.V.
Citation: CHEVAPATRAKUL, T. and TEE, K-H., 2014. The effects of news events on market contagion: evidence from the 2007-2009 financial crisis. Research in International Business and Finance, 32, August 2014, pp. 83–105.
Abstract: In this paper, we use the quantile regression technique along with coexceedance, a contagion measure, to assess the extent to which news events contribute to contagioninthe stockmarketsduring the crisis period between 2007 and 2009. Studies have shown that, not only the subprime crisis leads to a global recession, but the effects on the global stock markets have also been significant. We track the news events, both in the UK and the US, using the global recession timeline.We observe thatthe news events related to ad hoc bailouts of individual banks from the UK have a contagion effect throughout the period for most of the countries under investigation. This, however, is notfound to be the case for the news events originating from the US. Our findings regarding the evidence of contagion effects in the UK reinforce the argument that spreads and contagion—an outcome of the risk perception of financial markets—are solely a result of the behaviour of investors or other financial market participants.
Description: This article was accepted for publication in the journal, Research in International Business and Finance [Crown Copyright © Published by Elsevier B.V.] and the definitive version is available at: http://dx.doi.org/10.1016/j.ribaf.2014.03.003
Version: Accepted for publication
DOI: 10.1016/j.ribaf.2014.03.003
URI: https://dspace.lboro.ac.uk/2134/17071
Publisher Link: http://dx.doi.org/10.1016/j.ribaf.2014.03.003
ISSN: 0275-5319
Appears in Collections:Published Articles (Business School)

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