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

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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What drives contagion in financial markets? liquidity versus information spill-over. / Hass, Lars Helge; Koziol, Christian; Schweizer, Denis.
In: European Financial Management, Vol. 20, No. 3, 06.2014, p. 548-573.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Hass, LH, Koziol, C & Schweizer, D 2014, 'What drives contagion in financial markets? liquidity versus information spill-over', European Financial Management, vol. 20, no. 3, pp. 548-573. https://doi.org/10.1111/j.1468-036X.2013.12011.x

APA

Hass, L. H., Koziol, C., & Schweizer, D. (2014). What drives contagion in financial markets? liquidity versus information spill-over. European Financial Management, 20(3), 548-573. https://doi.org/10.1111/j.1468-036X.2013.12011.x

Vancouver

Hass LH, Koziol C, Schweizer D. What drives contagion in financial markets? liquidity versus information spill-over. European Financial Management. 2014 Jun;20(3):548-573. Epub 2013 Aug 27. doi: 10.1111/j.1468-036X.2013.12011.x

Author

Hass, Lars Helge ; Koziol, Christian ; Schweizer, Denis. / What drives contagion in financial markets? liquidity versus information spill-over. In: European Financial Management. 2014 ; Vol. 20, No. 3. pp. 548-573.

Bibtex

@article{0259e83ec59b4a61ada3b166786fedaa,
title = "What drives contagion in financial markets?: liquidity versus information spill-over",
abstract = "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.",
keywords = "financial contagion, information spill-over, open-ended property funds",
author = "Hass, {Lars Helge} and Christian Koziol and Denis Schweizer",
year = "2014",
month = jun,
doi = "10.1111/j.1468-036X.2013.12011.x",
language = "English",
volume = "20",
pages = "548--573",
journal = "European Financial Management",
issn = "1354-7798",
publisher = "Wiley-Blackwell",
number = "3",

}

RIS

TY - JOUR

T1 - What drives contagion in financial markets?

T2 - liquidity versus information spill-over

AU - Hass, Lars Helge

AU - Koziol, Christian

AU - Schweizer, Denis

PY - 2014/6

Y1 - 2014/6

N2 - 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.

AB - 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.

KW - financial contagion

KW - information spill-over

KW - open-ended property funds

U2 - 10.1111/j.1468-036X.2013.12011.x

DO - 10.1111/j.1468-036X.2013.12011.x

M3 - Journal article

VL - 20

SP - 548

EP - 573

JO - European Financial Management

JF - European Financial Management

SN - 1354-7798

IS - 3

ER -