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Testing contagion of the 1997-98 crisis in Asian stock markets with structural breaks and incubation periods


  • Baek, In-Mee
  • Jun, Jongbyung


This study tests for the existence of financial contagion, using a method that allows an incubation period before contagion takes effect. We define contagion as an increase in cross-market linkages following shocks. With daily data on Asian stock markets during the 1997-98 crisis, we find significant upward shifts in the linkages between the Asian markets of both crisis and non-crisis countries. The upward shifts are maintained even after controlling for heteroskedasticity and common world and regional factors, providing strong evidence for financial contagion.

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  • Baek, In-Mee & Jun, Jongbyung, 2011. "Testing contagion of the 1997-98 crisis in Asian stock markets with structural breaks and incubation periods," Journal of Asian Economics, Elsevier, vol. 22(5), pages 356-368, October.
  • Handle: RePEc:eee:asieco:v:22:y:2011:i:5:p:356-368

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    References listed on IDEAS

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    Cited by:

    1. Saker Sabkha & Christian De Peretti & Dorra Hmaied, 2017. "International risk spillover in the sovereign credit markets: An empirical analysis," Working Papers hal-01652526, HAL.


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