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Are stock market crises contagious? The role of crisis definitions

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  • Mierau, Jochen O.
  • Mink, Mark

Abstract

Financial contagion studies generally examine whether co-movement between markets increases during a crisis. We use a flexible co-movement measure to examine how conclusions of such analyses depend on the sample chosen as the ‘crisis’. To this end, we analyse stock market co-movement during the 1997 Asian crisis and the 2007 global financial crisis for all possible source countries and for all possible time periods or extreme return quantiles. This way we account for the main crisis dating approaches adopted in the literature. Our results suggest there is no clear relationship between excess co-movement and commonly used crisis samples.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 37 (2013)
Issue (Month): 12 ()
Pages: 4765-4776

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Handle: RePEc:eee:jbfina:v:37:y:2013:i:12:p:4765-4776

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Keywords: Contagion; Financial crises; Global financial crisis; Asian crisis;

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Cited by:
  1. Ioana Moldovan & Claudia Medrega, 2011. "Correlation of International Stock Markets Before and During the Subprime Crisis," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 14(40), pages 173-193, June.
  2. Ioana MOLDOVAN, 2011. "Stock Markets Correlation: before and during the Crisis Analysis," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(8(561)), pages 111-122, August.

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