Date of Award
Doctor of Philosophy (PhD)
Dr. Andre V. Mollick
Dr. Diego Escobari
Dr. Hong Qin
In this dissertation we examine the financial contagion from the U.S. to the Americas during the U.S. financial crisis.
First, we examine the relationship between the U.S. perceived market volatility (VIX), perceived credit risk (TED spread), and the U.S. financial crisis, on the stock returns of these countries. Our findings suggest that VIX has negatively effects on the stock returns of all these countries and that this relationship increases significantly during the U.S. financial crisis. We also identify that increases in the TED spread, have negative effects on the stock market returns of Canada and Latin America, and this increases during the U.S. financial crisis. Our findings suggest that increases in market volatility and credit risk were contributing factors, of the financial contagion from the U.S. to the Americas, during the U.S. Financial Crisis.
Second, we explore the role of perceived market volatility (VIX), individual investor sentiment, and institutional investor sentiment in the propagation of the U.S. financial crisis to the Americas. We confirm our findings from the previous essay in regards to VIX. We then find that individual and institutional investor sentiments positively affect the stock market returns of the countries in this study, and that the financial crisis has a positive effect on these relationships. We look in more detail and identify that institutional investor sentiment has a stronger effect than individual sentiment, highlighting the influence of institutional investors.
Third, we study the effects of the 2008–2009 U.S. financial crisis, oil price returns, and U.S. market volatility, on the stock market returns of six oil producing countries in the Americas. We find evidence of contagion from the U.S. to the other oil producers during the U.S. financial crisis, finding positive effects on the conditional correlations between oil price returns and the oil producers’ stock market returns. We find evidence that due to the U.S. financial crisis, the conditional correlations between stock market returns and oil prices increase substantially, and that these correlations remain higher than the pre-crisis period.
Rodriguez-Nieto, Juan Andres, "Essays on Stock Market Contagion: Evidence From the Americas" (2017). Theses and Dissertations - UTRGV. 182.