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Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises

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  • Dungey, Mardi
  • Fry, Renee
  • Gonzalez-Hermosillo, Brenda
  • Martin, Vance L.

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Bibliographic Info

Article provided by Elsevier in its journal The North American Journal of Economics and Finance.

Volume (Year): 18 (2007)
Issue (Month): 2 (August)
Pages: 155-174

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Handle: RePEc:eee:ecofin:v:18:y:2007:i:2:p:155-174

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Web page: http://www.elsevier.com/locate/inca/620163

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References

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  1. Marcello Pericoli & Massimo Sbracia, 2001. "A Primer on Financial Contagion," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 407, Bank of Italy, Economic Research and International Relations Area.
  2. Glick, Reuven & Rose, Andrew K, 1998. "Contagion and Trade: Why are Currency Crises Regional," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1947, C.E.P.R. Discussion Papers.
  3. Hartmann, P. & Straetmans, S. & De Vries, C.G., 2001. "Asset Market Linkages in Crisis Periods," Papers 71, Quebec a Montreal - Recherche en gestion.
  4. Vance L. Martin & Brenda Gonzalez-Hermosillo, & Mardi Dungey & Renee A. Fry, 2004. "Empirical Modelling of Contagion: A Review of Methodologies," Econometric Society 2004 Australasian Meetings 243, Econometric Society.
  5. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, 09.
  6. Sentana, E. & Fiorentini, G., 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model," Papers, Centro de Estudios Monetarios Y Financieros- 9709, Centro de Estudios Monetarios Y Financieros-.
  7. Rigobon, Roberto, 2003. "On the measurement of the international propagation of shocks: is the transmission stable?," Journal of International Economics, Elsevier, Elsevier, vol. 61(2), pages 261-283, December.
  8. Favero, Carlo A. & Giavazzi, Francesco, 2002. "Is the international propagation of financial shocks non-linear?: Evidence from the ERM," Journal of International Economics, Elsevier, Elsevier, vol. 57(1), pages 231-246, June.
  9. King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, Econometric Society, vol. 62(4), pages 901-33, July.
  10. Van Rijckeghem, Caroline & Weder, Beatrice, 2001. "Sources of contagion: is it finance or trade?," Journal of International Economics, Elsevier, Elsevier, vol. 54(2), pages 293-308, August.
  11. Dornbusch, Rudiger & Park, Yung Chul & Claessens, Stijn, 2000. "Contagion: Understanding How It Spreads," World Bank Research Observer, World Bank Group, World Bank Group, vol. 15(2), pages 177-97, August.
  12. Solnik, B H, 1974. "The International Pricing of Risk: An Empirical Investigation of the World Capital Market Structure," Journal of Finance, American Finance Association, American Finance Association, vol. 29(2), pages 365-78, May.
  13. Granger, Clive W.J. & Huang, Bwo-Nung & Yang, Chin W., 1998. "A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asia Flu," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego qt9bk607p6, Department of Economics, UC San Diego.
  14. Masson, Paul, 1999. "Contagion:: macroeconomic models with multiple equilibria," Journal of International Money and Finance, Elsevier, Elsevier, vol. 18(4), pages 587-602, August.
  15. Van Rijckeghem, Caroline & Weder, Beatrice, 2003. "Spillovers through banking centers: a panel data analysis of bank flows," Journal of International Money and Finance, Elsevier, Elsevier, vol. 22(4), pages 483-509, August.
  16. Goodhart, Charles & Dai, Lu, 2003. "Intervention to Save Hong Kong: The Authorities' Counter-Speculation in Financial Markets," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780199261109, October.
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Citations

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Cited by:
  1. Saleem, Kashif, 2009. "International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis," Research in International Business and Finance, Elsevier, Elsevier, vol. 23(3), pages 243-256, September.
  2. Kenourgios, Dimitris & Padhi, Puja, 2012. "Emerging markets and financial crises: Regional, global or isolated shocks?," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 22(1), pages 24-38.
  3. Marguerite Schneider & Lori Ryan, 2011. "A review of hedge funds and their investor activism: do they help or hurt other equity investors?," Journal of Management and Governance, Springer, Springer, vol. 15(3), pages 349-374, August.
  4. Saleem, Kashif, 2008. "International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis," BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition 8/2008, Bank of Finland, Institute for Economies in Transition.
  5. Chrismin Tang & Mardi Dungey & Vance Martin & Brenda González-Hermosillo & Renee Fry, 2010. "Are Financial Crises Alike?," IMF Working Papers 10/14, International Monetary Fund.
    • MArdi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin & Chrismin Tang, 2008. "Are Financial Crises Alike?," CAMA Working Papers 2008-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  6. Sin, Chor-Yiu (CY), 2013. "Using CARRX models to study factors affecting the volatilities of Asian equity markets," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 26(C), pages 552-564.
  7. Allard Bruinshoofd & Bertrand Candelon & Katharina Raabe, 2010. "Banking Sector Fragility and the Transmission of Currency Crises," Open Economies Review, Springer, Springer, vol. 21(2), pages 263-292, April.
  8. Renée Fry-McKibbin & Cody Hsiao & Chrismin Tang, 2014. "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, Springer, Springer, vol. 25(3), pages 521-570, July.
  9. Ahlgren, Niklas & Antell, Jan, 2010. "Stock market linkages and financial contagion: A cobreaking analysis," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 50(2), pages 157-166, May.

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