Cobreaking of Stock Prices and Contagion
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.
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|Date of creation:||04 Jul 2008|
|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.|
|Contact details of provider:|| Postal: Hanken School of Economics, Arkadiankatu 22, P.O.B. 479; FIN 00101 Helsinki, Finland|
Phone: +358-9-431 331
Fax: +358-9-431 33 333
Web page: http://www.hanken.fi
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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