Global Crises and Equity Market Contagion
收藏NBER2011-06-01 更新2025-01-04 收录
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https://www.nber.org/papers/w17121
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Using the 2007-09 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. We
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美国国家经济研究局创建时间：
2011-06-01
