Cobreaking of Stock Prices and Contagion
AbstractFinancial crises have shown that dramatic movements in one financial market can have a powerful impact on other markets. The paper proposes to use cobreaking to model comovements between financial markets during crises and to test for conta-gion. It finds evidence of cobreaking between stock returns in developed markets. Finding cobreaking has implications for the diversification of international investments. For emerging mar-ket stock returns the evidence of cobreaking is mainly due to the non-financial event of the 9/11 terrorist attacks in 2001. Fi-nancial crises originating in one emerging market do not spread to other markets, i.e., no contagion.
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Bibliographic InfoPaper provided by Hanken School of Economics in its series Working Papers with number 537.
Length: 20 pages
Date of creation: 04 Jul 2008
Date of revision:
Note: This paper is published as: Ahlgren, Niklas and Antell, Jan (2010): 'Stock Market Linkages and Financial Contagion', Quarterly Review of Economics and Finance, 50, 157-166.
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cobreaking; contagion; international financial markets;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-07-14 (All new papers)
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