The International Transmission Of The 2008 Crisis: Evidence From Japanese Stock Market
The authors investigate the international transmission of the credit crisis in September 2008 using Japanese stock market data. While Cumulative Returns (CR) are consistent with the hypotheses of trade and financial channels, evidences of risk-adjusted Cumulative Abnormal Returns (CAR) supporting those hypotheses are limited. As for trade channels, the authors find that exposure to foreign markets does not affect CAR, though the composition and concentration of export destination significantly affects CAR after controlling for total exports. As for financial channels, they find the evidence of credit crunch only after the US legislation of bank bailout bill failed.