Contagion effect in financial markets after the South-East Asia Tsunami

Lee, Hsien-Yi; Wu, Hsing-Chi; Wang, Yung-Jang

doi:10.1016/j.ribaf.2006.05.001

Cited by 53 publications

(41 citation statements)

References 21 publications

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“…Nevertheless, market uncertainty (volatility) is still a topic worthy of further investigation. Note that, for investors, high market volatility will severely limit the well-established benefits of portfolio diversification, an ideal investment practice for the global tourism industry, especially at the international level (Lee, Wu, & Wang, 2007;McAleer, 2015). Moreover, this short-term transient effect seems to be inconsistent with some recent calls (see, for example, Chesney et al, 2011) to avoid investing in hospitality and tourism related stocks due to terrorist-related incidents.…”

Section: Discussionmentioning

confidence: 99%

Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors

Zopiatis¹,

Savva²,

Lambertides³

et al. 2017

Proceedings of the 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017)

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Abstract. Following the recent terrorist attacks in Paris, the European media emphatically pronounced that billions of euros were wiped from tourism related stocks. This comes at a troublesome time for the tourism industry, in the midst of a global financial crisis, and the unpredictable rise of radical Islamic ideologies, which have caused chaos in the Middle East and Europe. The relationship and vulnerability of the industry to non-macro incidents have been well documented in the literature, mostly in theoretical terms. Nevertheless, the quantifiable impact of such events on tourism-specific stock values, both in terms of returns and volatility, received much less attention. With the use of an econometric methodology, the paper aims to enhance our conceptual capital pertaining to the effects of such possibilities on five hospitality and tourism stock indices. The empirical findings are of interest to stakeholders at all echelons of the spectra of the tourism and financial industries

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Section: Discussionmentioning

confidence: 99%

Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors

Zopiatis¹,

Savva²,

Lambertides³

et al. 2017

Proceedings of the 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017)

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show abstract

“…6 From the empirical literature, the tranquil period is always longer than the turmoil period. For instance it is longer by a year, ten and a half months and nine months in Forbes & Rigobon (2002), Collins & Biekpe (2003) and Lee et al (2007) respectively. 7 According to this definition, the presence of high correlation between two markets during the stable period and eventually a sustained increase in the high degree of cross market co-movements at the turmoil period does not amount to contagion.…”

Section: Methodsmentioning

confidence: 97%

Globalization and Financial Market Contagion: Evidence from Financial Crisis and Natural Disasters

Asongu

2013

SSRN Journal

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OverviewWith financial globalization, investors can gain from diversification if returns from financial markets are stable and not correlated. However with volatility spillovers, increase in crossmarket correlations exist as a real-effect and are not taken into account for asset allocation and portfolio composition. This chapter assesses financial contagion from two recent trends in the world economy: the global financial crisis and the 2011 Japanese natural disasters (tsunami, earthquake and nuclear crises).

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“…From the same lens, if the high correlation degree is not significant, the term "interdependence" is used to describe the situation. Collins and Biekpe (2003) and Lee et al (2007) have applied the ttest and F-test respectively for the significance of difference in correlations. As recently pointed out by Asongu (2011), when only one coefficient is to be estimated, both tests have the same implications.…”

Section: Methodsmentioning

confidence: 99%

“…The mostly applied are cross-market correlation coefficient measures (King and Wadhwani, 1990;Forbes and Rigobon, 2002;Collins and Biekpe, 2003;Lee et al, 2007;Asongu, 2011b), cross-market cointegration vector changing procedures (Kanas, 1998), volatility analysis based on ARCH and GARCH techniques (King et al, 1994) and direct estimation transmission mechanisms (Forbes, 2000).…”

Section: Literature On the Measure Of Contagionmentioning

confidence: 99%

Political Crises and Risk of Financial Contagion in Developing Countries: Evidence from Africa

Asongu

2011

SSRN Journal

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The recent waves of political crises in Africa and the Middle East have inspired the debate over how political instability could pose a risk of financial contagion to emerging countries. With retrospect to the Kenyan political crisis, our findings suggest stock markets in Lebanon, Mauritius were contaminated while Nigeria experienced a positive spillover. Our results have two major implications. Firstly, we have confirmed existing consensus that African financial markets are increasingly integrated. Secondly, we have also shown that international financial market transmissions not only occur during financial crisis; political crises effects should not be undermined.

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Contagion effect in financial markets after the South-East Asia Tsunami

Cited by 53 publications

References 21 publications

Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors

Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors

Globalization and Financial Market Contagion: Evidence from Financial Crisis and Natural Disasters

Political Crises and Risk of Financial Contagion in Developing Countries: Evidence from Africa

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