Chopra Monika, Mehta Chhavi
International Management Institute New Delhi, India.
J Asian Econ. 2022 Apr;79:101450. doi: 10.1016/j.asieco.2022.101450. Epub 2022 Jan 19.
The ongoing COVID-19 pandemic has sent shock waves across the global stock markets. Several financial crises in the past too have had a global impact with their reach extending beyond the country of origin. The current study compares the contagion effect of four such crises viz. the Asian financial crisis, the US subprime crisis, the Eurozone debt crisis, and the currently ongoing Covid-19 crisis on Asian stock markets to understand which of these has had the most severe impact. It finds that among all the four crises, the US subprime crisis has been the most contagious for the Asian stock markets. The study also highlights the difference between severities of a liquidity crisis versus a real crisis and identifies the markets that remained insulated from all these crises, a finding which will be useful for portfolio managers in devising their asset allocation.
持续的新冠疫情给全球股市带来了冲击。过去的几次金融危机也都产生了全球影响，其波及范围超出了起源国。当前的研究比较了四次此类危机，即亚洲金融危机、美国次贷危机、欧元区债务危机以及当前正在发生的新冠危机对亚洲股市的传染效应，以了解其中哪一次危机产生的影响最为严重。研究发现，在这四次危机中，美国次贷危机对亚洲股市的传染性最强。该研究还凸显了流动性危机与实际危机在严重程度上的差异，并确定了在所有这些危机中都未受影响的市场，这一发现将有助于投资组合经理制定资产配置策略。
