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An alternative method to test for contagion with an application to the Asian financial crisis

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Author Info
Abdulnasser Hatemi-J
R. Scott Hacker

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Abstract

This paper investigates the size properties of a test for contagion based on an asymptotic t -distribution. The simulations show that this asymptotic test does not have correct size properties. An alternative test method based on case-resampling bootstrapping is introduced to improve on the correctness of inference. The simulations show that this new test has much better size properties. It also has quite high power properties and it is robust to ARCH effects. The method is applied to testing for contagion from Thailand to Indonesia during the Asian financial crisis.

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Article provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.

Volume (Year): 1 (2005)
Issue (Month): 6 (November)
Pages: 343-347
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Handle: RePEc:taf:apfelt:v:1:y:2005:i:6:p:343-347

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. King, Mervyn A & Wadhwani, Sushil, 1990. "Transmission of Volatility between Stock Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(1), pages 5-33. [Downloadable!] (restricted)
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  2. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October. [Downloadable!] (restricted)
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  3. Melisso Boschi, 2005. "International financial contagion: evidence from the Argentine crisis of 2001-2002," Applied Financial Economics, Taylor and Francis Journals, vol. 15(3), pages 153-163, February. [Downloadable!] (restricted)
  4. Abdulnasser Hatemi-J & Eduardo Roca, 2005. "Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries," Applied Financial Economics, Taylor and Francis Journals, vol. 15(8), pages 539-546, May. [Downloadable!] (restricted)
  5. Calvo, Sara & Reinhart, Carmen, 1996. "Capital flows to Latin America : Is there evidence of contagion effects?," Policy Research Working Paper Series 1619, The World Bank. [Downloadable!]
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  6. Yamori, Nobuyoshi, 1999. "Contagion Effects of Bank Liquidation in Japan," Applied Economics Letters, Taylor and Francis Journals, vol. 6(11), pages 703-05, November. [Downloadable!] (restricted)
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  1. Matesanz, David & Ortega , Guillermo J., 2008. "Network analysis of exchange data: Interdependence drives crisis contagion," MPRA Paper 7720, University Library of Munich, Germany. [Downloadable!]
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