Measuring financial market contagion using dually-traded stocks of Asian firms
AbstractThis paper investigates stock market contagion between U.S. and Asian markets. To distinguish between contagion and fundamentals-based stock price comovement, we use NYSE-traded stocks issued by Asian firms. Among the results, first we find that the empirical results show significant bilateral contagion effects in returns and return volatility. Second, contagion effects from U.S. market to Asian markets are stronger than in the reverse direction, indicating that the U.S. market plays a major role in the transmission of information to foreign markets. Third, the intensity of contagion was significantly greater during the Asian financial crisis than after the crisis.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Asian Economics.
Volume (Year): 18 (2007)
Issue (Month): 1 (February)
Contact details of provider:
Web page: http://www.elsevier.com/locate/asieco
Other versions of this item:
- Iwatsubo, Kentaro & Inagaki, Kazuyuki, 2006. "Measuring Financial Market Contagion Using Dually-Traded Stocks of Asian Firms," CEI Working Paper Series 2006-14, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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