IDEAS home Printed from https://ideas.repec.org/a/taf/quantf/v19y2019i3p473-490.html
   My bibliography  Save this article

Joint tests of contagion with applications

Author

Listed:
  • Renée Fry-McKibbin
  • Cody Yu-Ling Hsiao
  • Vance L. Martin

Abstract

Joint tests of contagion are derived which are designed to have power where contagion operates simultaneously through coskewness, cokurtosis and covolatility. Finite sample properties of the new tests are evaluated and compared with existing tests of contagion that focus on a single channel. Applying the tests to daily euro zone equity returns from 2005 to 2014 shows that contagion operated mainly through higher order moment channels during the GFC and the European debt crisis, which were not necessarily detected by traditional tests based on correlations. The empirical results have important implications for pricing risk and constructing well diversified portfolios.

Suggested Citation

  • Renée Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2019. "Joint tests of contagion with applications," Quantitative Finance, Taylor & Francis Journals, vol. 19(3), pages 473-490, March.
    • Handle: RePEc:taf:quantf:v:19:y:2019:i:3:p:473-490
    DOI: 10.1080/14697688.2018.1475747
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/14697688.2018.1475747
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/14697688.2018.1475747?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Fry-McKibbin, Renée & Greenwood-Nimmo, Matthew & Hsiao, Cody Yu-Ling & Qi, Lin, 2022. "Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 45(C).
    2. Reinhold Heinlein & Scott M. R. Mahadeo, 2023. "Oil and US stock market shocks: Implications for Canadian equities," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 56(1), pages 247-287, February.
    3. Cody Yu-Ling Hsiao & James Morley, 2022. "Debt and financial market contagion," Empirical Economics, Springer, vol. 62(4), pages 1599-1648, April.
    4. Yu-Ling Hsiao, Cody & Wei, Xinyang & Sheng, Ni & Shao, Chengwu, 2021. "A joint test of policy contagion with application to the solar sector," Renewable and Sustainable Energy Reviews, Elsevier, vol. 141(C).
    5. Jarosław Duda & Henryk Gurgul & Robert Syrek, 2022. "Multi-feature evaluation of financial contagion," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(4), pages 1167-1194, December.
    6. Fry-McKibbin, Renée & Hsiao, Cody Yu-Ling & Martin, Vance L., 2021. "Measuring financial interdependence in asset markets with an application to eurozone equities," Journal of Banking & Finance, Elsevier, vol. 122(C).
    7. Krzysztof Brania & Henryk Gurgul, 2021. "Contagion effects on capital and forex markets around GFC and COVID-19 crises. A comparative study," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 31(2), pages 59-92.
    8. Yu-Ling Hsiao, Cody & Ai, Dan & Wei, Xinyang & Sheng, Ni, 2021. "The contagious effect of China’s energy policy on stock markets: The case of the solar photovoltaic industry," Renewable Energy, Elsevier, vol. 164(C), pages 74-86.
    9. Meng-Shiuh Chang & Meng-Wei Chen & Peijie Ju, 2023. "Asymmetry in Hedges, Safe Havens, Flights and Contagion: Unconditional Quantile Regression Approach," SAGE Open, , vol. 13(4), pages 21582440231, November.
    10. Cody Yu-Ling Hsiao & Weishun Lin & Xinyang Wei & Gaoyun Yan & Siqi Li & Ni Sheng, 2019. "The Impact of International Oil Prices on the Stock Price Fluctuations of China’s Renewable Energy Enterprises," Energies, MDPI, vol. 12(24), pages 1-17, December.
    11. Hsiao, Cody Yu-Ling & Yang, Rui & Zheng, Xin & Chiu, Yi-Bin, 2023. "Evaluations of policy contagion for new energy vehicle industry in China," Energy Policy, Elsevier, vol. 173(C).
    12. Yu-Ling Hsiao, Cody & Sheng, Ni & Fu, Shenze & Wei, Xinyang, 2022. "Evaluation of contagious effects of China's wind power industrial policies," Energy, Elsevier, vol. 238(PB).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:19:y:2019:i:3:p:473-490. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.