TitleEmerging market crises and US equity market returns
Publication TypeJournal Articles
Year of Publication2011
AuthorsBerger, D, Turtle, HJ
JournalGlobal Finance Journal
Date Published2011
KeywordsFinance, MBA

We find contagion effects are present in US small size portfolios during emerging market crises due to risk and liquidity concerns. Investors display flight from risk during emerging market crises, and as a result, safer larger stocks exhibit positive abnormal returns. We find little evidence of contagion in aggregate excess US market returns, indicating studies that focus on national aggregates may miss important within market dynamics during emerging market crises. The international dynamics that we document have important implications for investors, even when they may have limited global exposure.