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Contagion And Flight-To-Quality: Evidences From The Asia-Pacific Economic Cooperation (Apec) Region

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  • Peng, Yu-Tung
  • Au Yong, Hue Hwa
  • Treepongkaruna, Sirimon

Abstract

This paper investigates the existence and determinants of contagion and flight-toquality phenomena during crisis periods in the stock and bond markets of APEC countries between 1995 and 2010. The findings show the presence of contagion effects among stock markets of APEC countries and between the U.S. and Canadian bond markets. There are evidences of flight-to-quality from majority of the stock markets to the U.S. bond market. Market sentiment plays an important role in explaining both contagion and flight-to-quality phenomena. Our findings suggest that governments should facilitate bond market development to prevent the propagation of crises across countries.

Suggested Citation

  • Peng, Yu-Tung & Au Yong, Hue Hwa & Treepongkaruna, Sirimon, 2014. "Contagion And Flight-To-Quality: Evidences From The Asia-Pacific Economic Cooperation (Apec) Region," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 10(1-2), January.
    • Handle: RePEc:ags:reapec:264593
    DOI: 10.22004/ag.econ.264593
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