Global Crises and Contagion: Does the Capitalization Size Matter?

Applied Economics Quarterly, Vol. 64 (2018), Iss. 1: pp. 39–57

Posted: 7 Sep 2019

See all articles by Dimitris Kenourgios

Dimitris Kenourgios

National and Kapodistrian University of Athens - Department of Economics

Dimitrios I. Dimitriou

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

Aristeidis Samitas

University of the Aegean

Date Written: August 30, 2018

Abstract

This paper investigates the spread of the Global Financial Crisis (GFC) and the Eurozone Sovereign Debt Crisis (ESDC) to different market capitalization segments across countries and regions. Specifically, it tests for capitalization-specific contagion across both crises and their phases by examining large, medium and small capitalization indices of G-20 equity markets. The analysis across stable and the two crisis periods shows the existence of a stronger largecap transmission channel for the majority of countries. On the other hand, the contagion dynamics across the phases of the two crises do not provide a clear pattern of a specific cap size-based contagion across all markets. However, there is evidence that the Pacific region and the three cap groups of some individual markets of different regions are less severely affected. Further, all three cap groups of developed markets are mostly affected during the last phase of the ESDC, while emerging and frontier markets show a more diverse pattern of contagion across the phases of both crises. Finally, the Lehman Brothers’ collapse triggers a dramatic increase of the infection rate, while the ESDC seems to be more contagious than the GFC.

Keywords: Capitalization-specific contagion, global financial crisis, Eurozone debt crisis, dynamic conditional correlation, FIAPARCH

JEL Classification: F30, G15

Suggested Citation

Kenourgios, Dimitris and Dimitriou, Dimitrios I. and Samitas, Aristeidis, Global Crises and Contagion: Does the Capitalization Size Matter? (August 30, 2018). Applied Economics Quarterly, Vol. 64 (2018), Iss. 1: pp. 39–57. Available at SSRN: https://ssrn.com/abstract=3445643

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)

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

Aristeidis Samitas

University of the Aegean ( email )

8 Michalon str.
Chios
Greece

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