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

Lars Helge Hass; Christian Koziol; Denis Schweizer

doi:10.1111/j.1468-036X.2013.12011.x

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

Lars Helge Hass, Christian Koziol, Denis Schweizer

Accounting And Finance

Research output: Contribution to journal › Article › peer-review

8 Citations (Scopus)

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.

Original language	English
Pages (from-to)	548-573
Number of pages	26
Journal	European Financial Management
Volume	20
Issue number	3
DOIs	https://doi.org/10.1111/j.1468-036X.2013.12011.x
Publication status	Published - 1 Jun 2014

Keywords

financial contagion
information spill-over
open-ended property funds

Access to Document

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

Cite this

@article{82762eb8f05f4d85b003b93288d22f9f,

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,

day = "1",

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",

}

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 - 2014/6/1

Y1 - 2014/6/1

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 - Article

SN - 1354-7798

VL - 20

SP - 548

EP - 573

JO - European Financial Management

JF - European Financial Management

IS - 3

ER -

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

Abstract

Keywords

Access to Document

Fingerprint

Cite this