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The effects of news events on market contagion: evidence from the 2007–2009 financial crisis

Chevapatrakul, Thanaset; Tee, Kai-Hong


Kai-Hong Tee


In this paper, we use the quantile regression technique together with the coexceedance, a contagion measure, to assess the extent to which news events contribute to contagion in the stock markets during the crisis period between 2007 and 2009. Studies have shown that, not only the subprime crisis leads to a global recession, but the eects on the global stock markets have also been significant. We track the news events, both in the UK and the US, using the global recession timeline. We observe that the news events related to ad hoc bailouts of individual banks from the UK have a contagion eect throughout the period for most of the countries under investigation. This, however, is not found to be the case for the news events originating from the
US. Our findings regarding the evidence of contagion eects in the UK reinforce the argument that spreads and contagion — an outcome of the risk perception of financial markets — are solely a result of the behaviour of investors or other financial market participants.


Chevapatrakul, T., & Tee, K. (2014). The effects of news events on market contagion: evidence from the 2007–2009 financial crisis. Research in International Business and Finance, 32, 83-105.

Journal Article Type Article
Acceptance Date Mar 4, 2014
Online Publication Date Mar 26, 2014
Publication Date Aug 1, 2014
Deposit Date Feb 20, 2019
Publicly Available Date Feb 21, 2019
Print ISSN 0275-5319
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 32
Pages 83-105
Keywords Credit crisis, Coexceedance, Quantile Regression, News Events, Risk Perception
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