La Banque Centrale Européenne a publié un rapport très complet traitant des crises mondiales et de la contagion des marchés des capitaux propres.
Résumé officiel :
Using the 2007-2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining unexplained increases in factor loadings as indicative of contagion. We find evidence of systematic contagion from US markets and from the global financial sector, but the effects are very small. By contrast, there has been systematic and substantial contagion from domestic equity markets to individual domestic equity portfolios, with its severity inversely related to the quality of countries’ economic fundamentals and policies. Consequently, we reject the globalization hypothesis that links the transmission of the crisis to the extent of global exposure. Instead, we confirm the old “wake-up call” hypothesis, with markets and investors focusing substantially more on idiosyncratic, country-specific characteristics during the crisis.
2. Empirical framework
2.1. The asset-pricing model
2.2. Estimation, specifi cation tests and diagnostics
3. Empirical results
3.3. Channels of contagion and interdependence
Tables and figures
contagion; financial crisis; equity markets; global transmission; market
integration; country risk; factor model; financial policies; FX reserves, current
Télécharger le document