Professor Dimitris Petmezas dimitris.petmezas@durham.ac.uk
Professor
This study investigates the way a crisis spreads within a country and across borders by testing the investor induced contagion hypothesis through the liquidity channel on stock-bond relationships of the US and five European countries before and during the global banking and European sovereign debt crisis of 2007–2012. We provide evidence consistent with the wealth effect as a source of contagion for the majority of countries. Nevertheless, we uncover evidence of investor induced contagion sourced by the portfolio rebalancing effect for correlations involving Spanish and Italian bonds during the debt crisis. Further, we find that tight (narrow) credit spreads reduce (magnify) the wealth and portfolio rebalancing effects, which are offset by the opposite effects of risk aversion amongst investors, a dynamic that is not restricted to crisis periods.
Petmezas, D., & Santamaria, D. (2014). Investor induced contagion during the banking and European sovereign debt crisis of 2007–2012: Wealth effect or portfolio rebalancing?. Journal of International Money and Finance, 49, 401-424. https://doi.org/10.1016/j.jimonfin.2014.06.005
Journal Article Type | Article |
---|---|
Acceptance Date | Jun 21, 2014 |
Online Publication Date | Jul 5, 2014 |
Publication Date | 2014-12 |
Deposit Date | Jul 29, 2020 |
Publicly Available Date | Nov 5, 2020 |
Journal | Journal of International Money and Finance |
Print ISSN | 0261-5606 |
Electronic ISSN | 1873-0639 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 49 |
Pages | 401-424 |
DOI | https://doi.org/10.1016/j.jimonfin.2014.06.005 |
Public URL | https://durham-repository.worktribe.com/output/1259493 |
Related Public URLs | https://epubs.surrey.ac.uk/820734/ |
Accepted Journal Article
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Publisher Licence URL
http://creativecommons.org/licenses/by-nc-nd/4.0/
Copyright Statement
© 2014 This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
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