International Trade and Finance: A North American Perspective

By Khosrow Fatemi | Go to book overview
Variable Parameter
Estimate
T-ratio
Intercept -0.00029 -0.525
Slope 0.56835 8.655
Intercept
shift
0.00588 0.720
Slope
shift
0.10268 1.208
Day -5 -0.00297 -0.752
Day -4 -0.00281 -0.716
Day -3 -0.00306 -0.781
Day -2 -0.00525 -1.388
Day -1 0.00024 0.063
Day 0 -0.00296 -0.753
Day 1 -0.00039 -0.099
Day 2 0.00493 1.253
Day 3 0.00936 2.383
Day 4 -0.00428 -1.078
Day 5 0.00086 0.219
Source: Compiled by the author.

It is therefore concluded that the market was very efficient in assimilating the news of international defaults. Since the regional consumer banks were unaffected by the international debt crisis, we can also conclude that there is little evidence to support the "pure contagion effect hypothesis." At the same time, the loss of equity value for the multinational banks does not support the view that investors perceived an implicit federal guarantee of these institutions. These results are also consistent with Cornell and Shapiro and Aharoney and Swary.


NOTES
1.
J. Aharoney and 1. Swary, "Contagion Effects of Bank Failures: Evidence from the Capital Markets," Journal of Business 6 ( 1983):305-21.
2.
B. Cornell and Alan C. Shapiro, "The Reaction of Bank Stock Price to the InterParameter national Debt Crisis," Journal of Banking and Finance 10 ( 1986):53-73.

-157-

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