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When The Us Sneezes The World Catches Cold: Are Worldwide Stock Markets Stable?, Sandy Suardi
When The Us Sneezes The World Catches Cold: Are Worldwide Stock Markets Stable?, Sandy Suardi
Sandy Suardi
There is a widespread belief that the US subprime mortgage crisis has escalated into a full-blown current global financial crisis and that many economies throughout the world have been hit by it. Using a test of financial market stability, this article shows the varying degree of impact system-wide shocks during the US subprime crisis had on developed and emerging market stock indices. There is evidence that some developed and stable markets display signs of financial fragility with systematic shocks being propagated differently during extreme and normal market conditions. In addition, the crisis increases the response of emerging market returns to …
Factor Reversal In Euro Zone Stock Returns: Evidence From The Crisis Period, Hsin-I Chou, Jing Zhao, Sandy Suardi
Factor Reversal In Euro Zone Stock Returns: Evidence From The Crisis Period, Hsin-I Chou, Jing Zhao, Sandy Suardi
Sandy Suardi
The adoption of the euro led to a shift in importance from country to industry effects in euro zone stock returns. For the first time, this paper shows that country effects have regained importance in the recent spate of crises. This euro-wide factor reversal is driven by countries with poor economic fundamentals, comprising Portugal, Italy, Ireland, Greece, and Spain (PIIGS). The results imply that a more traditional country portfolio approach provides greater diversification benefits during crisis periods and the minimum-variance frontier of industry portfolios in PIIGS countries can be improved by adjusting country weights.