This paper examines how the U.S. subprime crisis affected foreign stock markets. In chapter 1, I construct a data set of financial statistics and stock returns for 3768 firms in 7 Asian markets. Results show that firms with direct sales exposure to the U.S. had significantly lower abnormal stock returns. The results suggest that trade channels are important factors determining how the U.S. subprime crisis is transmitted to Asian markets. In chapter 2, I utilize the event-study methodology to evaluate how the news events during the crisis affected the stock returns and volatility in BRIC markets. Results show that the passing of the Emergency Economic Stabilization Act caused significant jumps in BRIC stock prices, while the announcement of TARP boosted stock returns and mitigated volatility in BRIC markets.
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