International contagion through financial versus non-financial firms

Journal article


Akhtaruzzaman, Md and Shamsuddin, Abul. (2016). International contagion through financial versus non-financial firms. Economic Modelling. https://doi.org/10.1016/j.econmod.2016.07.003
AuthorsAkhtaruzzaman, Md and 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.

KeywordsFinancial contagion; Non-financial firms; Financial firms; Business cycle; Dynamic conditional correlation
Year2016
JournalEconomic Modelling
Digital Object Identifier (DOI)https://doi.org/10.1016/j.econmod.2016.07.003
Research GroupPeter Faber Business School
Publisher's version
File Access Level
Controlled
EditorsS. Mallick and P. Narayan
Permalink -

https://acuresearchbank.acu.edu.au/item/88x9y/international-contagion-through-financial-versus-non-financial-firms

Restricted files

Publisher's version

  • 224
    total views
  • 0
    total downloads
  • 15
    views this month
  • 0
    downloads this month
These values are for the period from 19th October 2020, when this repository was created.

Export as

Related outputs

Nonlinear nexus between cryptocurrency returns and COVID–19 COVID-19 news sentiment
Banerjee, Ameet Kumar, Akhtaruzzaman, Md, Dionisio, Andreia, Almeida, Dora and Sensoy, Ahmet. (2022). Nonlinear nexus between cryptocurrency returns and COVID–19 COVID-19 news sentiment. Journal of Behavioral and Experimental Finance. 36, p. Article 100747. https://doi.org/10.1016/j.jbef.2022.100747
Is greenness an optimal hedge for sectoral stock indices?
Akhtaruzzaman, Md, Banerjee, Ameet Kumar, Ghardallou, Wafa and Umar, Zaghum. (2022). Is greenness an optimal hedge for sectoral stock indices? Economic Modelling. 117, p. Article 106030. https://doi.org/10.1016/j.econmod.2022.106030
Systemic risk-sharing framework of cryptocurrencies in the COVID–19 crisis
Akhtaruzzaman, Md, Boubaker, Sabri, Nguyen, Duc Khuong and Rahman, Molla Ramizur. (2022). Systemic risk-sharing framework of cryptocurrencies in the COVID–19 crisis. Finance Research Letters. 47(Part B), p. Article 102787. https://doi.org/10.1016/j.frl.2022.102787
COVID-19 crisis and risk spillovers to developing economies : Evidence from Africa
Akhtaruzzaman, Md, Benkraiem, Ramzi, Boubaker, Sabri and Zopounidis, Constantin. (2022). COVID-19 crisis and risk spillovers to developing economies : Evidence from Africa. Journal of International Development. 34(4), pp. 898-918. https://doi.org/10.1002/jid.3634
COVID–19 media coverage and ESG leader indices
Akhtaruzzaman, Md, Boubaker, Sabri and Umar, Zaghum. (2022). COVID–19 media coverage and ESG leader indices. Finance Research Letters. 45, p. Article 102170. https://doi.org/10.1016/j.frl.2021.102170
Betting against bank profitability
Akhtaruzzaman, Md, Chiah, Mardy, Docherty, Paul and Zhong, Angel. (2021). Betting against bank profitability. Journal of Economic Behavior and Organization. 192, pp. 304-323. https://doi.org/10.1016/j.jebo.2021.10.012
Is China a source of financial contagion?
Akhtaruzzaman, Md, Abdel-Qader, Waleed, Hammami, Helmi and Shams, Syed. (2021). Is China a source of financial contagion? Finance Research Letters. 38, p. Article 101393. https://doi.org/10.1016/j.frl.2019.101393
Financial contagion during COVID–19 crisis
Akhtaruzzaman, Md, Boubaker, Sabri and Sensoy, Ahmet. (2021). Financial contagion during COVID–19 crisis. Finance Research Letters. 38, p. Article 101604. https://doi.org/10.1016/j.frl.2020.101604
Carbon disclosure, carbon performance and financial performance : International evidence
Siddique, Md Abubakar, Akhtaruzzaman, Md, Rashid, Afzalur and Hammami, Helmi. (2021). Carbon disclosure, carbon performance and financial performance : International evidence. International Review of Financial Analysis. 75(Article 101734). https://doi.org/10.1016/j.irfa.2021.101734
COVID–19 and oil price risk exposure
Akhtaruzzaman, Md, Boubaker, Sabri, Chiah, Mardy and Zhong, Angel. (2021). COVID–19 and oil price risk exposure. Finance Research Letters. 42, p. Article 101882. https://doi.org/10.1016/j.frl.2020.101882
The influence of Bitcoin on portfolio diversification and design
Akhtaruzzaman, Md, Sensoy, Ahmet and Corbet, Shaen. (2020). The influence of Bitcoin on portfolio diversification and design. Finance Research Letters. 37, p. 101344. https://doi.org/10.1016/j.frl.2019.101344
Expropriation risk and FDI in developing countries: Does return of capital dominate return on capital?
Akhtaruzzaman, M., Berg, Nathan and Hajzler, Christopher. (2017). Expropriation risk and FDI in developing countries: Does return of capital dominate return on capital? European Journal of Political Economy. 49, pp. 84 - 107. https://doi.org/10.1016/j.ejpoleco.2017.01.001
Australian financial firms' exposures to the level, slope, and curvature of the interest rate term structure
Akhtaruzzaman, Md and Shamsuddin, Abul. (2016). Australian financial firms' exposures to the level, slope, and curvature of the interest rate term structure. Applied Economics. https://doi.org/10.1080/00036846.2016.1229411
Interest rate, size and book-to-market effects in Australian financial firms
Akhtaruzzaman, Md, Docherty, Paul and Shamsuddin, Abul. (2014). Interest rate, size and book-to-market effects in Australian financial firms. Applied Economics. https://doi.org/10.1080/00036846.2014.920478
Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms
Akhtaruzzaman, Md, Shamsuddin, Abul and Easton, Steve. (2014). Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms. Journal of International Financial Markets, Institutions and Money. https://doi.org/10.1016/j.intfin.2014.04.006