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Measuring equity market contagion in multiple financial events

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  • Daryl Collins
  • Shana Gavron

Abstract

This paper expands the current body of literature on the empirical evidence of stock market contagion by measuring the occurrence of contagion across 42 countries during nine financial events. The selected list of events includes those that have been commonly tested as well as those that are more recent, originate from smaller markets and are less tested. Results indicate that there are 44 incidences of contagion in total during these nine events, with the recent Argentine Crisis of 2001 causing the most incidents of contagion.

Suggested Citation

  • Daryl Collins & Shana Gavron, 2005. "Measuring equity market contagion in multiple financial events," Applied Financial Economics, Taylor & Francis Journals, vol. 15(8), pages 531-538.
    • Handle: RePEc:taf:apfiec:v:15:y:2005:i:8:p:531-538
    DOI: 10.1080/09603100500056759
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    References listed on IDEAS

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    4. Ceylan Onay & Gözde Ünal, 2012. "Cointegration and Extreme Value Analyses of Bovespa and the Istanbul Stock Exchange," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(1), pages 66-90, February.
    5. Renée Fry-McKibbin & Cody Hsiao & Chrismin Tang, 2014. "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, Springer, vol. 25(3), pages 521-570, July.
    6. Fernanda G Barba & Paulo S Ceretta, 2011. "Risk transmission between Latin America stock markets and the US: impacts of the 2007/2008 Crisis," Economics Bulletin, AccessEcon, vol. 31(2), pages 1025-1037.
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    8. Handika, Rangga & Soepriyanto, Gatot & Havidz, Shinta Amalina Hazrati, 2019. "Are cryptocurrencies contagious to Asian financial markets?," Research in International Business and Finance, Elsevier, vol. 50(C), pages 416-429.

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