Measuring Financial Market Interdependence and Assessing Possible Contagion Risk in the EMEAP Region
In this paper, we assess the interdependence between equity markets in the EMEAP region and the US, and across the EMEAP markets using two indicators, namely the dynamic conditional correlation and the spillover index. These indicators show that equity market interdependence has increased steadily since early 2006, and rose sharply following the collapse of the Lehman Brothers in September 2008. We also test for the existence of contagion, and find no significant evidence of contagion between equity markets in the US and the EMEAP region. On the other hand, intra-regional contagion is found to be more significant, suggesting that investors may have treated the regional markets indiscriminately when facing common external shocks.
|Date of creation:||Dec 2008|
|Date of revision:|
|Contact details of provider:|| Postal: 55th Floor, Two International Finance Centre, 8 Finance Street, Central|
Web page: http://www.info.gov.hk/hkma/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:hkg:wpaper:0818. 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: (Simon Chan)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 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.