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Cobreaking of Stock Prices and Contagion

Author

Listed:
  • Ahlgren, Niklas

    (Swedish School of Economics and Business Administration)

  • Antell, Jan

    (Swedish School of Economics and Business Administration)

Abstract

Financial 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.

Suggested Citation

  • Ahlgren, Niklas & Antell, Jan, 2008. "Cobreaking of Stock Prices and Contagion," Working Papers 537, Hanken School of Economics.
    • Handle: RePEc:hhb:hanken:0537
    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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    References listed on IDEAS

    as
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    7. Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2005. "'Some contagion, some interdependence': More pitfalls in tests of financial contagion," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1177-1199, December.
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    12. repec:adr:anecst:y:2002:i:67-68:p:03 is not listed on IDEAS
    13. Niklas Ahlgren & Jan Antell, 2002. "Testing for cointegration between international stock prices," Applied Financial Economics, Taylor & Francis Journals, vol. 12(12), pages 851-861.
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