We examine the time varying nature of integration and the patterns of contagion of asset portfolios over five recent crisis periods including the global financial crisis and the European debt crisis. We investigate a large sample of 30,838 common stocks from thirty one markets across the globe establishing the key differences in the transmission of shocks between country, and firm-level characteristic constructed or style portfolios. Our findings point to distinct differences in the impact on integration and level of contagion from each crisis. Style portfolios exhibit notably shifts in both global and regional integration between states. There is widespread evidence of contagion effects during the global crisis while the impact of the Mexican and Asian crises is limited to regional effects.
- financial crisis; contagion; comovement; regime switching; style investing