Time-varying regional and global integration and contagion: Evidence from style portfolios

- We utilise a global sample of nearly 31,000 firms across 31 markets and examine the timevarying nature of integration and the patterns of contagion for style portfolios over four recent crisis periods.
- We document key differences in the impact of crisis periods on both the level of integration and comovement and the evidence of contagion.
- There are distinct differences in the prevalence of contagion across various style portfolios with the global financial crisis impacting most styles including large, value and illiquid portfolios across most regions.
- The Mexican and Asian crises have only limited regional effects.

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.