IDEAS home Printed from
   My bibliography  Save this article

Measuring financial contagion using general social interaction model with trade network structure


  • Bingqing Li
  • Han Wang
  • Xinrong Xiao


This article applies general social interaction model to measure contagion across stock markets in a given trade network. We divide the whole sample period into five types of subperiods according to the extent of negative and positive coexceedances. We find that interdependence and contagion in the given trade network exist significantly. Our empirical results also confirm previous evidences that contagion is stronger for extreme negative returns than for positive ones. However, the direction of asymmetry reverses when the degree of coexceedances becomes somewhat smaller. In addition, trade partners' macroeconomic fundamentals in trade network significantly impact on domestic stock market during extreme periods.

Suggested Citation

  • Bingqing Li & Han Wang & Xinrong Xiao, 2014. "Measuring financial contagion using general social interaction model with trade network structure," Applied Economics Letters, Taylor & Francis Journals, vol. 21(9), pages 631-635, June.
  • Handle: RePEc:taf:apeclt:v:21:y:2014:i:9:p:631-635
    DOI: 10.1080/13504851.2013.879279

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

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

    More about this item


    Access and download statistics


    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:apeclt:v:21:y:2014:i:9:p:631-635. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.