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International contagion through financial versus non-financial firms

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  • Akhtaruzzaman, Md
  • Shamsuddin, Abul

Abstract

The role of financial firms in the transmission of financial shocks across countries is well recognized in the literature. However, contagion through non-financial firms has not received much attention. This study examines the role of financial vis-à-vis non-financial firms in transmitting shocks across countries using a dynamic conditional correlation analysis. We provide empirical evidence from a sample of 49 countries. A novel finding of our study is that non-financial firms play a more pronounced role in the cross-market transmission of shocks than financial firms. Financial contagion is positively related to the level of equity market development and bilateral trade intensity. It is higher during periods of US economic downturns and financial crises. Given that the extent of international contagion varies across economic states and is more prevalent in the non-financial than in the financial sector, this study has implications for global sector rotation strategies.

Suggested Citation

  • Akhtaruzzaman, Md & Shamsuddin, Abul, 2016. "International contagion through financial versus non-financial firms," Economic Modelling, Elsevier, vol. 59(C), pages 143-163.
    • Handle: RePEc:eee:ecmode:v:59:y:2016:i:c:p:143-163
    DOI: 10.1016/j.econmod.2016.07.003
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    More about this item

    Keywords

    Financial contagion; Non-financial firms; Financial firms; Business cycle; Dynamic conditional correlation;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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