Financial contagion and the real economy

Dirk Baur

    Research output: Contribution to journalArticle

    Abstract

    This paper studies the spread of the Global Financial Crisis of 2007-2009 from the financial sector to the real economy by examining ten sectors in 25 major developed and emerging stock markets. The analysis tests different channels of financial contagion across countries and sectors and finds that the crisis led to an increased co-movement of returns among financial sector stocks across countries and between financial sector stocks and real economy stocks. The results demonstrate that no country and sector was immune to the adverse effects of the crisis limiting the effectiveness of portfolio diversification. However, there is clear evidence that some sectors in particular Healthcare, Telecommunications and Technology were less severely affected by the crisis.
    Original languageEnglish
    Pages (from-to)2680-2692
    JournalJournal of Banking and Finance
    Volume36
    Issue number10
    DOIs
    Publication statusPublished - 2012

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