Asset Markets Contagion During the Global Financial Crisis

Multinational Finance Journal, 2013, vol. 17, no. 1/2, pp. 49–76.

28 Pages Posted: 16 Oct 2013 Last revised: 3 Mar 2017

See all articles by Dimitris Kenourgios

Dimitris Kenourgios

National and Kapodistrian University of Athens - Department of Economics

Apostolos G. Christopoulos

National and Kapodistrian University of Athens - Faculty of Economics

Dimitrios I. Dimitriou

National and Kapodistrian University of Athens; University of Ioannina - Department of Economics

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Date Written: October 15, 2013

Abstract

This study investigates the contagion effects of the 2007-2009 global financial crisis across multiple asset markets and different regions. It uses daily return data of six asset classes: stocks, bonds, commodities, shipping, foreign exchange and real estate. A robust analysis of financial contagion is provided by estimating and comparing asymmetric conditional correlations among asset markets during stable and turmoil periods. Results provide evidence on the existence of a correlated-information channel as a contagion mechanism among the U.S. stocks, real estate, commodities and emerging Brazilian bond index. The findings also support the decoupling of BRIC equity markets from the crisis, the diversification benefits of shipping and foreign exchange value of the U.S. dollar indices, and the existence of a flight to quality mechanism from risky U.S. assets to German bonds. This evidence has important implications for portfolio diversification strategies and the future work of policymakers.

Keywords: global financial crisis, asset markets, contagion, asymmetric dynamic conditional correlations

JEL Classification: C32, F30, G15

Suggested Citation

Kenourgios, Dimitris and Christopoulos, Apostolos G. and Dimitriou, Dimitrios I. and Dimitriou, Dimitrios I., Asset Markets Contagion During the Global Financial Crisis (October 15, 2013). Multinational Finance Journal, 2013, vol. 17, no. 1/2, pp. 49–76., Available at SSRN: https://ssrn.com/abstract=2340457

Dimitris Kenourgios (Contact Author)

National and Kapodistrian University of Athens - Department of Economics ( email )

1, Sofokleous Str
Office 521
Athens, 10559
Greece
+30 210 3689449 (Phone)

Apostolos G. Christopoulos

National and Kapodistrian University of Athens - Faculty of Economics ( email )

5 Stadiou Str
Athens, 15262
Greece

Dimitrios I. Dimitriou

National and Kapodistrian University of Athens ( email )

Department of Economics
Athens
Greece

University of Ioannina - Department of Economics ( email )

45110 Ioannina
Greece

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