Click here for search results
What explains stock markets' vulnerability to the 2007-2008 crisis ?, Volume 1
Author:Didier, Tatiana; Love, Inessa; Peria, Maria Soledad Martinez; Country:World;
Date Stored:2010/03/01Document Date:2010/03/01
Document Type:Policy Research Working PaperSubTopics:Debt Markets; Mutual Funds; Markets and Market Access; Economic Theory & Research; Emerging Markets
Language:EnglishMajor Sector:Financial Sector
Rel. Proj ID:1W-Program Research Proposal In Finance -- -- P107616;Region:The World Region
Report Number:WPS5224Sub Sectors:General finance sector
Collection Title:Policy Research working paper ; no. WPS 5224Volume No:1

Summary: This paper examines the determinants of stock markets' vulnerability to the 2007-2008 crisis. Given that the United States (US) was the crisis epicenter, the authors analyze the factors driving the co-movement between US returns and stock returns in 83 countries. The analysis distinguishes between the period before and after the collapse of Lehman Brothers. The findings indicate that the main channel of transmission was financial. There is also evidence of a "wake-up call" or "demonstration effect" in the first stage of the crisis, because countries with vulnerable banking and corporate sectors exhibited higher co-movement with the US market. However, despite a collapse in trade across countries, the analysis does not find support for this channel of transmission.

Official Documents
Official, scanned versions of documents (may include signatures, etc.)
File TypeDescriptionFile Size (mb)
PDF 42 pagesOfficial version*2.94 (approx.)
TextText version**
How To Order

See documents related to this project
* The official version is derived from scanning the final, paper copy of the document and is the official,
archived version including all signatures, charts, etc.
** The text version is the OCR text of the final scanned version and is not an accurate representation of the final text.
It is provided solely to benefit users with slow connectivity.

Permanent URL for this page:

© 2016 The World Bank Group, All Rights Reserved. Legal