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What drives contagion in financial markets? : liquidity versus information spill-over

Hass, Lars Helge and Koziol, Christian and Schweizer, Denis (2014) What drives contagion in financial markets? : liquidity versus information spill-over. European Financial Management, 20 (3). pp. 548-573. ISSN 1354-7798

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The objective of this paper is to study how contagion works in financial markets by identifying the mechanisms which drive the spill-over of shocks from one market to other markets. To address this question we use open-ended property funds (OPFs) as they offer a unique institutional setting which allows separating between liquidity and information spill-over. We find that that liquidity risk captures the observed discounts very well when the danger of potential future impairments is low. Once the impending NAV impairments become very likely, also this component matters and attributes for a fraction of the total discount.

Item Type: Journal Article
Journal or Publication Title: European Financial Management
Uncontrolled Keywords: financial contagion ; information spill-over ; open-ended property funds
Subjects: ?? hb ??
Departments: Lancaster University Management School > Accounting & Finance
ID Code: 53203
Deposited By: ep_importer_pure
Deposited On: 19 Mar 2012 13:05
Refereed?: Yes
Published?: Published
Last Modified: 22 May 2018 03:27
Identification Number:

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