The Effects of Macroeconomic News on Financial Crisis Contagion

Abstract

Abstract:

The inter-market contagion effect incurred by the global financial crisis has been a focus of financial study and it is found that information channel is one of the key channels that the crisis spread through. In this paper, we use the quantile regression technique along with coexceedance, a contagion measure, to assess the extent to which news events contribute to contagion in the stock markets during the crisis between 2007 and 2009. We include conditional volatility and investor sentiment as control variables in our model and use a two-stage approach to model the contagion effect. The empirical results indicate that the release of macroeconomic information indeed exacerbates contagion effect of the financial crisis and especially has a more significant influence for the lower tail risk diffusion.

Key words: macroeconomic news, financial crisis contagion, quantile regression, coexceedance

Zhang Yi, Hui Xiaofeng, Wu Baoxiu. The Effects of Macroeconomic News on Financial Crisis Contagion[J]. , 2017, 29(4): 3-11,24.

References

[1] Dimitrios D., Dimitris K. Global Financial Crisis and Emerging Stock Market Contagion: A Multivariate FIAPARCH-DCC Approach[J]. International Review of Financial Analysis, 2013,30(3):46-56
[2] 蒋志平,田益祥,杜学锋. 中国与欧美金融市场间传染效应的动态演变——基于欧债危机与次贷危机的比较分析[J]. 管理评论, 2014,26(8):63-73
[3] Rose D., Glick K. Export Competition and Contagious Currency Crises[J]. FRBSF Economic Letter, 2008,36(1):343-356
[4] Calvo G., Reinhart C. M. On Crises, Contagion, and Confusion[J]. Journal of International Economics, 2010,51(1):145-168
[5] 杜晓蓉. 美国金融危机对中国溢出的传染渠道检验[J]. 数理统计与管理, 2014,34(1):32-40
[6] Anderson T. G., Bollerslev T. Real-time Price Discovery in Global Stock, Bond and Foreign Exchange Markets[J]. Journal of International Economic, 2012,72(13):251-277
[7] Xu P., Yang J. Monetary Policy Surprises and International Securitized Real Estate Markets[J]. Journal of Estate Finance and Economics, 2012,43(7):459-490
[8] Kim P. Macroeconomic Factors do I Aggregate Stock Returns[J]. Review of Financial Studies, 2013,15(3):751-782
[9] Wongswan J. Transmission of Information Across International Equity Markets[J]. Review of Financial Studies, 2013,17(6):33-55
[10] 高研,张新雨,程棵,等. 信息逐渐披露下的金融传染[J]. 管理科学学报, 2014,17(3):15-27
[11] 李红权,洪永淼,汪寿阳. 我国A股市场与美股、港股的互动关系研究:基于信息溢出视角[J]. 经济研究, 2011,33(8):15-24
[12] Bae G., Lott J. The Effect of Mmacroeconomic News on Stock Returns: New Evidence from Newspaper Coverage[J]. Journal of Banking & Finance, 2013,35(4):2791-2800
[13] Baur D., Schulze N. Coexceedances in Financial Markets-a Quantile Regression Analysis of Contagion[J]. Emerging Markets Review, 2009,33(6):21-43
[14] Busetti F., Harvey A. When is a Copula Constant? A Test for Changing Relationships[J]. Journal of Finance, 2011,33(9):106-131
[15] Boyd J., Jagannathan J. On the Volatility and Co-movement of U.S. Financial Markets around Macroeconomic News Announcements[J]. Journal of Financial and Quantitative Analysis, 2009,44(3):1265-1289
[16] Efron M. J., Protopapadakis. Moment and Mmemory Properties of Linear Conditional Heteroscedasticity Models and a New Model[J]. Review of Financial Studies, 2012,15(7):751-782
[17] Brenner M. On the Volatility and Co-movement of U.S. Financial Markets around Macroeconomic News Announcements[J]. Journal of Financial and Quantitative Analysis, 2009,44(7):1265-1289
[18] Koneker H., Bassett T. Media Ownership, Concentration and Corruption in Bank Lending[J]. Journal of Financial Economics, 2011,10(7):326-350
[19] Koenker H., Bassett M. Giving Content to Investor Sentiment: The Role of Media in the Stock Market[J]. Journal of Finance, 2014,62(7):1139-1168