Boshoff, Willem H. (2006): The transmission of foreign financial crises to South Africa: a firm-level study. Published in: Studies in Economics and Econometrics , Vol. 30, No. 2 (2006): pp. 61-85.
Download (332kB) | Preview
The process of financial integration has increased the exposure of South African financial markets to foreign financial crises. This paper contributes to the understanding of crisis transmission by evaluating several hypotheses that claim to explain how financial crises are transmitted to South African financial markets. The study proceeds from a firm-level perspective, which it argues overcomes the potential loss of information when using aggregate economic data. Consequently, the different transmission hypotheses are evaluated for the East Asian, Russian and Argentinean crises using firm-level daily stock return data from the JSE Securities Exchange. A multivariate regression model, supplemented by sensitivity tests, forms the core of the empirical methodology.
|Item Type:||MPRA Paper|
|Original Title:||The transmission of foreign financial crises to South Africa: a firm-level study|
|Keywords:||financial contagion; crisis; South Africa; financial linkages|
|Subjects:||F - International Economics > F3 - International Finance > F32 - Current Account Adjustment; Short-Term Capital Movements
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy
F - International Economics > F3 - International Finance > F36 - Financial Aspects of Economic Integration
|Depositing User:||Willem Boshoff|
|Date Deposited:||09. Jun 2008 08:31|
|Last Modified:||11. Feb 2013 21:28|
Baig, T and Goldfajn, I (1998): Financial Market Contagion in the Asian Crisis. Working Paper WP/98/155, International Monetary Fund. (Available online at http://www.imf.org/external/pubs/ft/wp/1998/wp98155.pdf)
Biekpe, N and Collins, D (2003): “Contagion and Interdependence in African Stock Markets”, South African Journal of Economics, 71(1), 181-194.
Blake, D (2003): Financial Market Analysis, 2nd edition, McGraw-Hill, Chichester.
Congressional Research Service (2002): The Argentine Financial Crisis: A Chronology of Events. (Available online at http://fpc.state.gov/documents/organization/8040.pdf)
Dornbusch, R, Park, Y C and Claessens, S (2000): “Contagion: Understanding How Its Spreads”, The World Bank Research Observer, 15(2), 177-97.
Dungey, M, Fry, R, Gonzalez-Hermosillo, B and Martin, V (2002): International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse, Working Paper WP/02/74, International Monetary Fund. (Available online at http://www.imf.org/external/pubs/ft/wp/2002/wp0274.pdf)
Falkenstein, E (1996): “Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings”, Journal of Finance, 51(1), 111-135.
Forbes, K J (2000): The Asian Flu and Russian Virus: Firm-level Evidence on How Crises are Transmitted Internationally, Working Paper No. 7807, National Bureau of Economic Research. (Available online at http://www.nber.org/papers/w7808)
Forbes, K J (2001): Are Trade Linkages Important Determinants of Country Vulnerability to Crises?, Working Paper No. 8194, National Bureau of Economic Research. (Available online at http://www.nber.org/papers/w8194)
Ghosh, S and Ghosh, A (1999): East Asia in the Aftermath: Was there a Crunch?, Working Paper WP/99/38, International Monetary Fund. (Available online at http://www.imf.org/external/pubs/ft/wp/1999/wp9938.pdf)
Glick, R and Rose, A (1999): “Contagion and Trade: Why are Currency Crises Regional?”, Journal of International Money and Finance, 18, 603-617.
Goldfajn, I and Valdes, R O (1997): Capital Flows and Twin Crises: The Role of Liquidity, Working Paper WP/97/87, International Monetary Fund. (Available online at http://www.imf.org/external/pubs/ft/wp/1997/wp9787.pdf)
Gupta, P, Mishra, D and Sahay, R (2000): Output Response During Currency Crises, Mimeo, International Monetary Fund.
Häusler, G. (2002): “The Globalization of Finance”, Finance and Development, 39(1).
Hayashi, F (2000): Econometrics, 1st edition, Princeton University Press, Princeton.
International Monetary Fund (December 1998): World Economic Outlook and International Capital Markets: Interim Assessment, Washington D.C.
International Monetary Fund (2001): World Economic Outlook, Washington D.C.
Jarque, C M and Bera, A K (1987): “A Test for Normality of Observations and Regression Residuals”, International Statistical Review, 55, 163-172.
Johnson, R A and Wichern, D W (2002): Applied Multivariate Statistical Analysis, 5th edition, Prentice-Hall, Upper Saddle River.
Kaminsky, G L, Lyons, R K and Schmukler, S (2003): Economic Fragility, Liquidity, and Risk: The Behavior of Mutual Funds During Crises, Occasional Paper CSGOP-03-12, George Washington Center for the Study of Globalization. (Available online at http://www.gwu.edu/~gwcsg)
Kaminsky, G L and Reinhart, C (2003): The Center and the Periphery: The Globalization of Financial Turmoil, Working Paper No. 9479, National Bureau of Economic Research. (Available online at http://www.nber.org/papers/w9479)
Kaminsky, G L, Reinhart, C and Vegh, C (2003): The Unholy Trinity of Financial Contagion, Working Paper No. 10061, National Bureau of Economic Research. (Available online at http://www.nber.org/papers/w10061)
Kho, B C and Stulz, R (1999): Banks, the IMF and the Asian Crisis, Working Paper No. 7361, National Bureau of Economic Research. (Available online at http://www.nber.org/papers/w7361)
Kim, H (1999): Was the Credit Channel a Key Monetary Transmission Mechanism Following the Recent Financial Crisis in the Republic of Korea?, Policy Research Working Paper No. 2103, World Bank. (Available online at http://www.worldbank.org)
Organisation for Economic Co-operation and Development (1998): OECD Economic Outlook (The Crisis in Emerging Asia), New York.
R Foundation for Statistical Computing (2003): A Language and Environment for Statistical Computing, (R Development Core Team) Vienna: ISBN 3-9000051-00-3. (Available online at http://www.R-project.org)
Republic of South Africa, Department of Trade and Industry. (2004): Trade Statistics (Available online at http://www.thedti.gov.za/econdb/raportt/rapcoun.html)
Sefcik, S and Thompson, R (1986): “An Approach to Statistical Inference in Cross-Sectional Models with Security Abnormal Returns as Dependent Variable”, Journal of Accounting Research, 24(2), 316-334.
Sharpe, W F (1963): “A Simplified Model for Portfolio Analysis”, Management Science, 9, 277-293.
Van Zyl, C and Gidlow, R (2003): “The Share Market”, in C. van Zyl et al (eds.): Understanding South African Financial Markets, Van Schaik Publishers, Pretoria, 289-295.
Wincoop, E and Yi, K M (2000): “Asia Crisis Post-Mortem: Where Did the Money Go and Did the United States Benefit?”, Federal Reserve Bank of New York Economic Policy Review, 6(3), 51-70.