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Time-varying regional and global integration and contagion: Evidence from style portfolios

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  • Cho, Sungjun
  • Hyde, Stuart
  • Nguyen, Ngoc

Abstract

We examine the time varying nature of integration and the patterns of contagion of asset portfolios over five recent crisis periods including the global financial crisis and the European debt crisis. We investigate a large sample of 30,838 common stocks from thirty one markets across the globe establishing the key differences in the transmission of shocks between country, and firm-level characteristic constructed or style portfolios. Our findings point to distinct differences in the impact on integration and level of contagion from each crisis. Style portfolios exhibit notably shifts in both global and regional integration between states. There is widespread evidence of contagion effects during the global crisis while the impact of the Mexican and Asian crises is limited to regional effects.

Suggested Citation

  • Cho, Sungjun & Hyde, Stuart & Nguyen, Ngoc, 2015. "Time-varying regional and global integration and contagion: Evidence from style portfolios," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 109-131.
  • Handle: RePEc:eee:finana:v:42:y:2015:i:c:p:109-131
    DOI: 10.1016/j.irfa.2014.10.007
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    3. Vortelinos, Dimitrios I. & Saha, Shrabani, 2016. "The impact of political risk on return, volatility and discontinuity: Evidence from the international stock and foreign exchange markets," Finance Research Letters, Elsevier, vol. 17(C), pages 222-226.
    4. Bhimjee, Diptes C. & Ramos, Sofia B. & Dias, José G., 2016. "Banking industry performance in the wake of the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 376-387.
    5. Hammoudeh, Shawkat & Kang, Sang Hoon & Mensi, Walid & Nguyen, Duc Khuong, 2014. "Dynamic global linkages of the BRICS stock markets with the U.S. and Europe under external crisis shocks: Implications for portfolio risk forecasting," MPRA Paper 73400, University Library of Munich, Germany, revised Mar 2016.

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