...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Research in International Business and Finance >Financial contagion and capital asset pricing in Africa: The impact of the 2007-09 and Euro-Zone crises on natural resources sector Beta in African emerging markets
【24h】

Financial contagion and capital asset pricing in Africa: The impact of the 2007-09 and Euro-Zone crises on natural resources sector Beta in African emerging markets

机译：非洲的金融传染和资本资产定价：2007-09年和欧元区危机对非洲新兴市场自然资源部门Beta的影响

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

This paper contributes to the literature by extending the interpretation of financial contagion beyond that of the market correlation approach popularised by Forbes and Rigobon (2002). Contagion is explored from the perspective of its impact on the conditional sector-risk Beta of the African Emerging Market natural resources sector. A multi-factor CAPM model is developed within a DCC-MGARCH framework to estimate time-varying Beta. We find that this reacts in different ways to different contagion events. It rose by a statistically significant 0.058 (an 8% increase) in response to the euro-zone crisis. However, with the exception of South Africa, the 2007–09 crisis was found to have no significant impact on Beta. We speculate that the differences found can be attributed to the different ways in which individual contagion events impact on individual markets. From this we conclude that ‘one size fits all’ correlations-based contagion analysis can often hide as much as it reveals.
机译：本文通过将对金融传染的解释扩展到由《福布斯》和《理戈本》（2002）流行的市场相关方法的解释，为文献做出了贡献。从其对非洲新兴市场自然资源部门的有条件部门风险β的影响的角度探讨了传染。在DCC-MGARCH框架内开发了一个多因素CAPM模型，以估算随时间变化的Beta。我们发现这对不同的传染事件有不同的反应。为应对欧元区危机，该数字上升了统计上显着的0.058（增长8％）。但是，除了南非以外，发现2007-09年危机对Beta并无重大影响。我们推测发现的差异可以归因于个体传染事件对个体市场的不同影响方式。由此得出的结论是，“一种尺寸适合所有人”的基于关联的传染分析通常可以隐藏得尽可能多。

著录项

相似文献

  • 外文文献
  • 中文文献
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号