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Article

Li Jin

The purpose of this paper is to analyze the network path and internal mechanism of risks’ cross-contagion between shadow banks and design strategies for preventing risk…

Abstract

Purpose

The purpose of this paper is to analyze the network path and internal mechanism of risks’ cross-contagion between shadow banks and design strategies for preventing risk infection between shadow banks.

Design/methodology/approach

Using the complex network theory, analyze the mechanism of risks’ cross-contagion between shadow banks from the credit network, business relationship network (BRN) and social network (SN); the cross-contagion mechanism using the structural equation model on the basis of China’s shadow banks is tested; based on the three risk infection paths, the prevention and control strategies for risk infection using the mathematical models of epidemic diseases are designed.

Findings

There are three network risk contagion paths between shadow banks. One, the credit network, risks are infected crossly mainly through debt and equity relationships; two, the BRN, risks are infected crossly mainly through business network and macro policy transmission; three, investor SN, risks are infected crossly mainly through individual SN and fractal relationships. The following three strategies for preventing risk’s cross-contagion between shadow banks: one, the in advance preventing strategy is more effective than the ex post control strategy; two, increasing the risk management coefficient; three, reducing the number of risk-infected submarkets.

Originality/value

The research of this study, especially the strategies for preventing the risks’ cross-contagion, could provide theoretical and practical guidance for regulatory authorities in formulating risk supervision measures.

Details

Kybernetes, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0368-492X

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Article

Haytem Troug and Matt Murray

The purpose of this paper then, is to add to the existing literature on financial contagion. While a vast amount of the debate has been made using data from the late…

Abstract

Purpose

The purpose of this paper then, is to add to the existing literature on financial contagion. While a vast amount of the debate has been made using data from the late 1990s, this paper differentiates itself by analysing more current data, centred around the most recent global financial crisis, with specific focus on the stock markets of Hong Kong and Tokyo.

Design/methodology/approach

Employing Pearson and Spearman correlation measures, the dynamic relationship of the two markets is determined over tranquil and crisis periods, as specified by an Markov-Switching Bayesian Vector AutoRegression (MSBVAR) model.

Findings

The authors find evidence in support of the existence of financial contagion (defined as an increase in correlation during a crisis period) for all frequencies of data analysed. This contagion is greatest when examining lower-frequency data. Additionally, there is also weaker evidence in some data sub-samples to support “herding” behaviour, whereby higher market correlations persist, following a crisis period.

Research limitations/implications

The intention of this paper was not to analyse the cause or transmission mechanism of contagion between financial markets. Therefore future studies could extend the methodology used in this paper by including exogenous macroeconomic factors in the MSBVAR model.

Originality/value

The results of this paper serve to explain why the debate of the persistence and in fact existence of financial contagion remains alive. The authors have shown that the frequency of a time series dataset has a significant impact on the level of observed correlation and thus observation of financial contagion.

Details

Journal of Economic Studies, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0144-3585

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Book part

Hieu Nguyen, Neal M. Ashkanasy, Stacey L. Parker and Yiqiong Li

Abusive supervision is associated with many detrimental consequences. In this theory-review chapter, we extend the abusive supervision literature in two ways. First, we…

Abstract

Abusive supervision is associated with many detrimental consequences. In this theory-review chapter, we extend the abusive supervision literature in two ways. First, we argue that more attention needs to be given to the emotion contagion processes between the leader and followers. More specifically, leaders’ negative affect can lead to followers’ experiences of negative affect, thereby influencing followers’ perception of abusive supervision. Second, we explore how employees draw upon their cognitive prototypes of an ideal leader or Implicit Leadership Theories (ILTs) to evaluate leader behaviors. In this regard, we argue that ILTs can influence the (negative) emotional contagion process between the leaders’ negative affect and followers’ perception of abusive supervision. In our proposed model, leaders’ expressions of negative affect, via emotional contagion, influence followers’ negative affect, perception of abusive supervision, and two behavioral responses: affect- and judgment-driven. The negative emotional contagion process between the leader and followers also differs depending on followers’ susceptibility to emotional contagion and their ILTs. We conclude by discussing the theoretical and practical implications of our model.

Details

Individual, Relational, and Contextual Dynamics of Emotions
Type: Book
ISBN: 978-1-78754-844-2

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Book part

Pablo Estrada and Leonardo Sánchez-Aragón

Financial contagion refers to the propagation of shocks that can generate widespread failures. The authors apply a financial contagion model proposed by Elliott, Golub…

Abstract

Financial contagion refers to the propagation of shocks that can generate widespread failures. The authors apply a financial contagion model proposed by Elliott, Golub, and Jackson (2014) to a cross-shareholding network of firms in Ecuador. The authors use a novel dataset to study the potential channels for contagion. Although diversification is not high, results reveal enough conditions for a contagion event to occur. However, the low level of integration attenuates the effects of shocks. The authors run simulations affecting a particular firm at the time, and find that two firms coming from the finance and trade industry cause the highest contagion. In addition, when an entire industry receives a shock, trade and manufacturing industries contagion more companies than the rest. Finally, the model can assist policymakers to monitor the market and evaluate the fragility of the network in different scenarios.

Details

The Econometrics of Networks
Type: Book
ISBN: 978-1-83867-576-9

Keywords

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Article

Jungmu Kim and Yuen Jung Park

This study aims to investigate the existence of contagion between liquid and illiquid assets in the credit default swap (CDS) market around the recent financial crisis…

Abstract

This study aims to investigate the existence of contagion between liquid and illiquid assets in the credit default swap (CDS) market around the recent financial crisis. The authors perform analyses based on vector autoregression model and the dynamic conditional correlation model. The estimation of vector autoregression models reveals that changes in liquid CDS (LCDS) spreads lead to changes in illiquid CDS spreads at least one week ahead during the financial crisis period, whereas the leading direction is reversed during the post-crisis period. Moreover, the results are robust after controlling for structural variables which are proven as determinants of CDS spreads and are empirically supported. This study interprets that information was incorporated first into the LCDSs because of the flight-to-liquidity during the recent crisis period but there is a default contagion effect by reflecting illiquidity-induced credit risk after the crisis. Finally, the dynamic conditional correlation analysis also confirms the main results.

Details

Journal of Derivatives and Quantitative Studies: 선물연구, vol. 28 no. 3
Type: Research Article
ISSN: 1229-988X

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Book part

Kemal Gurkan Kucukergin and Bekir Bora Dedeoglu

In this chapter, emotional interactions between tourists and the individuals they are potentially in interaction with are examined within the scope of social aspects of…

Abstract

In this chapter, emotional interactions between tourists and the individuals they are potentially in interaction with are examined within the scope of social aspects of tourism atmosphere. Emotional interactions were analysed under the framework of emotional contagion. Regardless of whether the fact that emotional contagion occurs in non-conscious or conscious way, tourists are open to emotional cues to come from other individuals. Emotions of other individuals can influence tourists’ behavioural intentions by shaping their emotions. This chapter suggests a number of propositions, and develops a conceptual model to capture the role of emotional interactions.

Details

Atmospheric Turn in Culture and Tourism: Place, Design and Process Impacts on Customer Behaviour, Marketing and Branding
Type: Book
ISBN: 978-1-83867-070-2

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Abstract

Details

Cognitive Economics: New Trends
Type: Book
ISBN: 978-1-84950-862-9

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Article

Matteo Foglia, Alessandra Ortolano, Elisa Di Febo and Eliana Angelini

The purpose of this paper is to study the evolution of financial contagion between Eurozone banks, observing the credit default swaps (CDSs) market during the period 2009–2017.

Abstract

Purpose

The purpose of this paper is to study the evolution of financial contagion between Eurozone banks, observing the credit default swaps (CDSs) market during the period 2009–2017.

Design/methodology/approach

The authors use a dynamic spatial Durbin model that enables to explore the direct and indirect effects over the short and long run and the transmission channels of the contagion.

Findings

The results show how contagion emerges through physical and financial market links between banks. This finding implies that a bank can fail because people expect other related financial institutions to fail as well (self-fulfilling crisis). The study provides statistically significant evidence of the presence of credit risk spillovers in CDS markets. The findings show that equity market dynamics of “neighbouring” banks are important factors in risk transmission.

Originality/value

The research provides a new contribution to the analysis of EZ banking risk contagion, studying CDS spread determinants both under a temporal and spatial dimension. Considering the cross-dependence of credit spreads, the study allowed to verify the non-linearity between the probability of default of a debtor and the observed credit spreads (credit spread puzzle). The authors provide information on the transmission mechanism of contagion and, on the effects among the largest banks. In fact, through the study of short- and long-term impacts, direct and indirect, the paper classify banks of systemic importance according to their effect on the financial system.

Details

Studies in Economics and Finance, vol. 37 no. 4
Type: Research Article
ISSN: 1086-7376

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Book part

Elaine Hatfield, Richard L. Rapson and Victoria Narine

Recently, scholars from a wide variety of disciplines have begun to study the influence of attention, mimicry, and social context on emotional contagion. In this chapter…

Abstract

Recently, scholars from a wide variety of disciplines have begun to study the influence of attention, mimicry, and social context on emotional contagion. In this chapter, we will review the classic evidence documenting the role of these factors in sparking primitive emotional contagion, especially in occupational settings. Then we will discuss the new evidence, which scholars have amassed to help us better understand the role of culture in fostering the ability to read others’ thoughts, feelings, and emotions. Finally, we will briefly speculate as to where future research might be headed.

Details

Individual, Relational, and Contextual Dynamics of Emotions
Type: Book
ISBN: 978-1-78754-844-2

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Article

Rexford Abaidoo and Ayodele Alade

This study examines potential causal interactions between a dominant economy and its trading partners, with the view of verifying surmised economic contagion effects…

Abstract

Purpose

This study examines potential causal interactions between a dominant economy and its trading partners, with the view of verifying surmised economic contagion effects traditionally presumed to emanate from dominant economies toward trading partners.

Design/methodology/approach

The study used the Toda–Yamamoto Wald test approach to bi-variate causality analysis.

Findings

This study verified the existence of the economic contagion phenomenon; Estimated empirical evidence failed to fully support the presumption that such contagion effects mostly emanates from dominant economies toward trading partners, all things being equal. For instance, although this study found significant economic contagion effects emanating from the US economy toward the Chinese economy, the authors also detected six different uni-directional causal interactions with the direction of causality emanating from trading partners toward the US economy.

Originality/value

The uniqueness of this study stems not from its verification of the economic contagion phenomenon using equity market-related economic uncertainty as the potential contagion. This study fills a gap in the present literature by focusing on the happenings in the equity market as the potential candidate of the economic contagion phenomenon between a dominant economy and its key trading partners.

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