European Parliament Library

Determinants of Financial Market Spillovers :, The Role of Portfolio Diversification, Trade, Home Bias, and Concentration, Yoko Shinagawa

Abstract
This paper defines financial market spillovers as the comovement between two countries’ financial markets and analyzes financial market spillovers over the period 2001-12 through four channels: bilateral portfolio investment, bilateral trade, home bias, and country concentration. The paper finds that, if a country has a large amount of bilateral portfolio exposure in another country, these two countries’ comovement of bond yields are large. Also, countries’ geographical preferences impact financial spillovers; if a country has a stronger home bias, the country could have less spillovers from foreign financial markets. A policy implication from this result is that, if countries become less home-biased and have a greater amount of portfolio investment assets, they should strengthen prudential regulations to mitigate against rising risks of financial spillovers (or risk greater volatility owing to comovement with foreign markets)
Table Of Contents
Cover; Contents; I. Introduction; II. Financial Market Spillovers: What's Involved; A. Concepts and Definitions of Financial Market Spillovers; B. Spillover Channels; III. Data; IV. Financial Market Spillovers: Stylized Facts and Possible Determinants; Tables; 1. Summary Statistics; 2. Equity Correlation in 2012 between Advanced Economies; Figures; 1. Average Bilateral Correlation; 2. Geographical Portfolio in Percent of GDP for Selected Advanced Economies; 3. Geographical Portfolio in Percent of GDP for Selected Emerging Economies
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (25 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781498311878

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