Measuring Financial Market Contagion Using Dually-Traded Stocks of Asian Firms
AbstractThis paper investigates stock market contagion between U.S. and Asian markets. To distinguish between contagion and fundamentals-based stock price comovement, we use NYSE-traded stocks issued by Asian firms. Among the results, first we find that the empirical results show significant bilateral contagion effects in returns and return volatility. Second, contagion effects from U.S. market to Asian markets are stronger than in the reverse direction, indicating that the U.S. market plays a major role in the transmission of information to foreign markets. Third, the intensity of contagion was significantly greater during the Asian financial crisis than after the crisis.
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Bibliographic InfoPaper provided by Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University in its series CEI Working Paper Series with number 2006-14.
Length: 33 p.
Date of creation: Dec 2006
Date of revision:
Asian financial crisis; ADRs; EGARCH; Contagion;
Other versions of this item:
- Iwatsubo, Kentaro & Inagaki, Kazuyuki, 2007. "Measuring financial market contagion using dually-traded stocks of Asian firms," Journal of Asian Economics, Elsevier, vol. 18(1), pages 217-236, February.
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-08-18 (All new papers)
- NEP-CFN-2007-08-18 (Corporate Finance)
- NEP-FMK-2007-08-18 (Financial Markets)
- NEP-SEA-2007-08-18 (South East Asia)
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