Transmission of shocks across global financial markets: The role of contagion and investors' risk appetite

B.M. Gonzalez-Hermosillo Gonzalez

Research output: ThesisDoctoral Thesis

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Abstract

This research examines the role of contagion in transmitting shocks across markets. One possible conduit for contagion is shifts in international investors’ risk appetite. The aim of this research is to propose a methodology to address the current gaps in the literature of contagion. The thesis examines a number of financial crises during the past decade, encompassing daily financial data for a representative set of mature and emerging markets. The policy interest in this area is clear as contagion can play a key role in spreading idiosyncratic financial shocks across the world. Indeed, contagion effects can lead to systemic global financial crises.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Eijffinger, Sylvester, Promotor
Award date9 May 2008
Place of PublicationTilburg
Publisher
Print ISBNs9789056682095
Publication statusPublished - 2008

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    Gonzalez-Hermosillo Gonzalez, B. M. (2008). Transmission of shocks across global financial markets: The role of contagion and investors' risk appetite. CentER, Center for Economic Research.