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Detecting Shift And Pure Contagion In East Asian Equity Markets: A Unified Approach

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  • ThomasJ. Flavin
  • Ekaterini Panopoulou

Abstract

We test for contagion between pairs of East Asian equity markets over the period 1990-2007. We develop an econometric methodology that allows us to test for both 'shift' and 'pure' contagion within a unified framework. Using both Hong Kong and Thailand as potential shock sources, we find strong evidence of both types of contagion. Therefore, during episodes of high volatility, equity returns are influenced by changes in the transmission of common shocks and additionally by the diffusion of idiosyncratic shocks through linkages that do not exist during normal times. Copyright 2010 The Authors. Journal compilation 2010 Blackwell Publishing Asia Pty Ltd

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Pacific Economic Review.

Volume (Year): 15 (2010)
Issue (Month): 3 (08)
Pages: 401-421

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Handle: RePEc:bla:pacecr:v:15:y:2010:i:3:p:401-421

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Cited by:
  1. Flavin, Thomas J. & Panopoulou, Ekaterini & Unalmis, Deren, 2008. "On the stability of domestic financial market linkages in the presence of time-varying volatility," Emerging Markets Review, Elsevier, vol. 9(4), pages 280-301, December.

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