What Explains Stock Markets’ Vulnerability to the 2007–2008 Crisis?

Didier, Tatiana; Love, Inessa; Peria, Maria Soledad Martinez

dc.creator	Didier, Tatiana
dc.creator	Love, Inessa
dc.creator	Peria, Maria Soledad Martinez
dc.date	2012-03-19T18:38:21Z
dc.date	2012-03-19T18:38:21Z
dc.date	2010-03-01
dc.date.accessioned	2023-02-17T21:02:10Z
dc.date.available	2023-02-17T21:02:10Z
dc.identifier	http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20100301104305
dc.identifier	http://hdl.handle.net/10986/3711
dc.identifier.uri	http://localhost:8080/xmlui/handle/CUHPOERS/244675
dc.description	This paper examines the determinants of stock markets' vulnerability to the 2007-2008 crisis. Given that the United States (US) was the crisis epicenter, the authors analyze the factors driving the co-movement between US returns and stock returns in 83 countries. The analysis distinguishes between the period before and after the collapse of Lehman Brothers. The findings indicate that the main channel of transmission was financial. There is also evidence of a "wake-up call" or "demonstration effect" in the first stage of the crisis, because countries with vulnerable banking and corporate sectors exhibited higher co-movement with the US market. However, despite a collapse in trade across countries, the analysis does not find support for this channel of transmission.
dc.language	English
dc.relation	Policy Research working paper ; no. WPS 5224
dc.rights	CC BY 3.0 IGO
dc.rights	http://creativecommons.org/licenses/by/3.0/igo/
dc.rights	World Bank
dc.subject	ASSET ALLOCATION
dc.subject	ASSET RATIOS
dc.subject	ASSET VALUES
dc.subject	ASSETS RATIO
dc.subject	ASYMMETRIC INFORMATION
dc.subject	BALANCE OF PAYMENT
dc.subject	BALANCE OF PAYMENTS
dc.subject	BANK ACTIVITIES
dc.subject	BANK LENDING
dc.subject	BANK LIQUIDITY
dc.subject	BANK POLICY
dc.subject	BANK REGULATION
dc.subject	BANKING ASSETS
dc.subject	BANKING REGULATION
dc.subject	BANKING SECTOR
dc.subject	BILATERAL TRADE
dc.subject	BOND
dc.subject	BOND MARKETS
dc.subject	BUDGET DEFICIT
dc.subject	BUDGET SURPLUS
dc.subject	CAPITAL ACCOUNT
dc.subject	CAPITAL ADEQUACY
dc.subject	CAPITAL FLOWS
dc.subject	CAPITAL INFLOWS
dc.subject	CAPITAL MARKET
dc.subject	CAPITAL MARKET DEVELOPMENT
dc.subject	CASH FLOWS
dc.subject	CENTRAL BANK
dc.subject	COMMODITY
dc.subject	COMMODITY PRICES
dc.subject	COMPETITIVENESS
dc.subject	COMPOSITE INDEX
dc.subject	CORPORATE DEBT
dc.subject	COUNTRY DUMMIES
dc.subject	COUNTRY FIXED EFFECTS
dc.subject	COUNTRY RISK
dc.subject	CREDIT DEFAULT
dc.subject	CREDIT DEFAULT SWAP
dc.subject	CREDIT RATINGS
dc.subject	CREDITORS
dc.subject	CRISES IN EMERGING MARKETS
dc.subject	CRISIS COUNTRY
dc.subject	CURRENCY
dc.subject	CURRENCY CRISES
dc.subject	CURRENT ACCOUNT BALANCE
dc.subject	DATA AVAILABILITY
dc.subject	DEBT LEVELS
dc.subject	DEBT OBLIGATIONS
dc.subject	DEPOSIT
dc.subject	DEPOSIT MONEY BANKS
dc.subject	DEVELOPING COUNTRIES
dc.subject	DOMESTIC STOCK
dc.subject	EFFECT OF LIQUIDITY
dc.subject	EMERGING MARKETS
dc.subject	EQUITY HOLDINGS
dc.subject	EQUITY MARKET
dc.subject	EQUITY PORTFOLIOS
dc.subject	EQUITY RETURNS
dc.subject	EXCHANGE RATE
dc.subject	EXCHANGE RATE MOVEMENTS
dc.subject	EXCHANGE RATES
dc.subject	FEDERAL RESERVE
dc.subject	FINANCE CORPORATION
dc.subject	FINANCIAL ANALYSTS
dc.subject	FINANCIAL CRISES
dc.subject	FINANCIAL CRISIS
dc.subject	FINANCIAL DEVELOPMENT
dc.subject	FINANCIAL EXPOSURE
dc.subject	FINANCIAL EXPOSURES
dc.subject	FINANCIAL FLOWS
dc.subject	FINANCIAL INSTABILITY
dc.subject	FINANCIAL INSTITUTIONS
dc.subject	FINANCIAL INTEGRATION
dc.subject	FINANCIAL MARKET
dc.subject	FINANCIAL MARKETS
dc.subject	FINANCIAL OPENNESS
dc.subject	FINANCIAL STRUCTURE
dc.subject	FINANCIAL STUDIES
dc.subject	FOREIGN DIRECT INVESTMENT
dc.subject	FOREIGN EQUITY
dc.subject	FOREIGN HOLDINGS
dc.subject	FOREIGN INVESTMENTS
dc.subject	FOREIGN INVESTORS
dc.subject	FOREIGN MARKETS
dc.subject	FOREIGN PORTFOLIO
dc.subject	FOREIGN PORTFOLIO INVESTORS
dc.subject	GDP
dc.subject	GLOBAL EQUITY
dc.subject	GLOBAL EQUITY MARKET
dc.subject	GLOBAL EXCHANGE
dc.subject	GLOBAL MARKET
dc.subject	GOVERNMENT BUDGET
dc.subject	GROWTH RATE
dc.subject	HOLDING
dc.subject	HOUSING FINANCE
dc.subject	INCOME
dc.subject	INCOME EFFECT
dc.subject	INDEBTEDNESS
dc.subject	INSURANCE
dc.subject	INSURANCE PRODUCTS
dc.subject	INTEREST EXPENSES
dc.subject	INTEREST PAYMENTS
dc.subject	INTEREST RATE
dc.subject	INTERNATIONAL ASSET
dc.subject	INTERNATIONAL BANK
dc.subject	INTERNATIONAL CAPITAL
dc.subject	INTERNATIONAL ECONOMICS
dc.subject	INTERNATIONAL EQUITY
dc.subject	INTERNATIONAL FINANCE
dc.subject	INTERNATIONAL FINANCIAL CONTAGION
dc.subject	INTERNATIONAL FINANCIAL MARKETS
dc.subject	INTERNATIONAL FINANCIAL STATISTICS
dc.subject	INTERNATIONAL FINANCIAL SYSTEM
dc.subject	INTERNATIONAL INVESTMENT
dc.subject	INTERNATIONAL INVESTORS
dc.subject	INTERNATIONAL RESERVES
dc.subject	INTERNATIONAL SETTLEMENTS
dc.subject	INVESTMENT ASSETS
dc.subject	INVESTMENT BANKING
dc.subject	LIQUID ASSETS
dc.subject	LIQUID BANKS
dc.subject	LIQUID MARKETS
dc.subject	LIQUIDITY
dc.subject	LIQUIDITY RATIO
dc.subject	LIQUIDITY VARIABLE
dc.subject	LOAN
dc.subject	LOAN OBLIGATIONS
dc.subject	LOCAL CAPITAL MARKET
dc.subject	LOCAL MARKET
dc.subject	LOCAL MARKETS
dc.subject	LOCAL STOCK MARKET
dc.subject	MACROECONOMIC SHOCKS
dc.subject	MACROECONOMIC VULNERABILITIES
dc.subject	MACROECONOMIC VULNERABILITY
dc.subject	MARKET CAPITALIZATION
dc.subject	MARKET CONTAGION
dc.subject	MARKET DATA
dc.subject	MARKET INTEGRATION
dc.subject	MARKET LIQUIDITY
dc.subject	MARKET PERFORMANCE
dc.subject	MARKET RETURN
dc.subject	MARKET RETURNS
dc.subject	MARKET SIZE
dc.subject	MARKET TURNOVER
dc.subject	MERCHANDISE
dc.subject	MERCHANDISE EXPORTS
dc.subject	MORTGAGE
dc.subject	MORTGAGE DEBT
dc.subject	MORTGAGE LENDING
dc.subject	MORTGAGE MARKET
dc.subject	MORTGAGE MARKETS
dc.subject	MORTGAGE-BACKED SECURITIES
dc.subject	MUTUAL FUND
dc.subject	MUTUAL FUND INVESTMENT
dc.subject	OPEN COUNTRIES
dc.subject	OUTPUTS
dc.subject	POLICY RESPONSES
dc.subject	PORTFOLIO
dc.subject	PORTFOLIO INFLOWS
dc.subject	PORTFOLIO INVESTMENT
dc.subject	PORTFOLIOS
dc.subject	POSITIVE COEFFICIENTS
dc.subject	PRICE CHANGES
dc.subject	PRIVATE CAPITAL
dc.subject	PRIVATE CAPITAL FLOWS
dc.subject	PRIVATE CREDIT
dc.subject	PRIVATE SECTOR DEVELOPMENT
dc.subject	REAL ESTATE
dc.subject	REAL GDP
dc.subject	RESERVES
dc.subject	RESIDENTIAL MORTGAGES
dc.subject	RETURN
dc.subject	RETURN ON ASSETS
dc.subject	RETURNS
dc.subject	RETURNS DATA
dc.subject	RISK AVERSION
dc.subject	SECURITIES
dc.subject	SHARE OF EQUITY
dc.subject	SHORT-TERM DEBT
dc.subject	SPREAD
dc.subject	STOCK MARKET
dc.subject	STOCK MARKET CAPITALIZATION
dc.subject	STOCK MARKET INDEX
dc.subject	STOCK MARKET LIQUIDITY
dc.subject	STOCK MARKET PRICES
dc.subject	STOCK MARKET RETURN
dc.subject	STOCK MARKET RETURNS
dc.subject	STOCK MARKETS
dc.subject	STOCK PRICE
dc.subject	STOCK RETURN
dc.subject	STOCK RETURNS
dc.subject	STOCKS
dc.subject	SUPERVISION OF BANKS
dc.subject	TERMS OF CAPITAL
dc.subject	THIRD MARKETS
dc.subject	TIME DUMMIES
dc.subject	TOTAL DEBT
dc.subject	TREASURY
dc.subject	TURNOVER RATIO
dc.subject	VOLATILITY
dc.subject	WEALTH
dc.subject	WORLD DEVELOPMENT INDICATOR
dc.subject	WORLD DEVELOPMENT INDICATORS
dc.title	What Explains Stock Markets’ Vulnerability to the 2007–2008 Crisis?
dc.type	Publications & Research :: Policy Research Working Paper
dc.coverage	The World Region
dc.coverage	The World Region