The Effects of Contagion during the Global Financial Crisis in Government-Regulated and Sponsored Assets in Emerging Markets

摘要: The effects of financial contagion during the Global Financial Crisis (GFC) have been extensively studied in finance literature. One key issues is devastating effect crisis on wealth and asset prices. However, an important difference between this past crises was relatively small short duration emerging markets. Of particular interest resilience government-regulated -sponsored assets such as pension funds, state-owned enterprises, international local-currency government bonds. This thesis contributes to literature by analysing four cases different episodes GFC. second chapter analyses from US equity markets emerging-market autarchic (Colombian private funds) In paper we test for via changes correlation returns additional volatility spillovers. We propose a DCC-GJR GARCH framework where S&P 500 source transmission asset. find no evidence measured significant first two phases crises. Chapter 3 extend our analysis government-sponsored (state-owned enterprises (SOEs)) argue that these account substantial increasing fraction global foreign direct investment. While emerging-economy SOEs are often vehicles state-directed economic growth policy, performance compared with open question, particularly periods. estimate four-factor model SOE BRIC economies period 2000–12 show certain offered some protection investors 2007–09. use quantile regressions since approach robust presence outliers their impact factors results obtained provide empirical special role state protecting stabilising enterprises. 4 analyse GFC For objective propensity matching estimation measure sovereign spreads using data 43 countries. general underlying factor models allowing multiple channels then estimates select non-crisis benchmarks nine portfolios found debt Finally, 5 high-frequency Colombian bond perform event study news originating market-transmission mechanism. order avoid confounding effects, compare global, regional, local news. Our make interesting contribution understanding extent under postulates coupling/decoupling hypothesis market integration.