Detecting Shift And Pure Contagion In East Asian Equity Markets: A Unified Approach
AbstractWe 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 InfoArticle provided by Wiley Blackwell in its journal Pacific Economic Review.
Volume (Year): 15 (2010)
Issue (Month): 3 (08)
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Other versions of this item:
- Thomas J. flavin & Ekaterini Panopoulou, 2008. "Detecting shift and pure contagion in East Asian equity markets: A Unified Approach," Economics, Finance and Accounting Department Working Paper Series n1890208.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
- Thomas J. Flavin and Ekaterini Panopoulou, 2007. "Detecting Shift and Pure Contagion in East Asian Equity Markets: A Unified Approach," The Institute for International Integration Studies Discussion Paper Series iiisdp236, IIIS.
- F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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