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Emerging market crises and US equity market returns

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  • Berger, Dave
  • Turtle, H.J.
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    Abstract

    We find contagion effects are present in US small size portfolios during emerging market crises due to risk and liquidity concerns. Investors display flight from risk during emerging market crises, and as a result, safer larger stocks exhibit positive abnormal returns. We find little evidence of contagion in aggregate excess US market returns, indicating studies that focus on national aggregates may miss important within market dynamics during emerging market crises. The international dynamics that we document have important implications for investors, even when they may have limited global exposure.

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    Bibliographic Info

    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 22 (2011)
    Issue (Month): 1 ()
    Pages: 32-41

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    Handle: RePEc:eee:glofin:v:22:y:2011:i:1:p:32-41

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    Web page: http://www.elsevier.com/locate/inca/620162

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    Keywords: Contagion Financial crises Asset-pricing;

    References

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    Cited by:
    1. Gębka, Bartosz & Wohar, Mark E., 2013. "International herding: Does it differ across sectors?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 55-84.
    2. Lee, Yen-Hsien & Tucker, Alan L. & Wang, David K. & Pao, Hsin-Ting, 2014. "Global contagion of market sentiment during the US subprime crisis," Global Finance Journal, Elsevier, vol. 25(1), pages 17-26.

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