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Shift versus traditional contagion in Asian markets

Listed author(s):
  • Thomas Flavin
  • Ekaterini Panopoulou

We test for shift contagion between pairs of East Asian equity markets over a sample including the financial crisis of the 1990’s. Employing the methodology of Gravelle et al. (2006), we find little evidence of change in the mechanism by which common shocks are transmitted between countries. Furthermore, we analyze the effects of idiosyncratic shocks and generate time-varying conditional correlations. While there clearly is significant time variation in the pair wise correlations, this is not more pronounced during the Asian crisis than it had been historically.

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Paper provided by IIIS in its series The Institute for International Integration Studies Discussion Paper Series with number iiisdp176.

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Date of creation: 16 Nov 2006
Handle: RePEc:iis:dispap:iiisdp176
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  7. Karolyi, G Andrew, 2003. "Does International Financial Contagion Really Exist?," International Finance, Wiley Blackwell, vol. 6(2), pages 179-199, Summer.
  8. Thomas Flavin & Ekaterini Panopoulou, 2007. "International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility," Money Macro and Finance (MMF) Research Group Conference 2006 150, Money Macro and Finance Research Group.
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  17. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
  18. Toni Gravelle & Maral Kichian & James Morley, 2002. "Detecting shift-contagion in currency and bond markets," Computing in Economics and Finance 2002 58, Society for Computational Economics.
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  20. Michael D. Bordo & Antu P. Murshid, 2000. "Are Financial Crises Becoming Increasingly More Contagious? What is the Historical Evidence on Contagion?," NBER Working Papers 7900, National Bureau of Economic Research, Inc.
  21. Karolyi, G Andrew & Stulz, Rene M, 1996. " Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements," Journal of Finance, American Finance Association, vol. 51(3), pages 951-986, July.
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  23. Roberto Rigobon, 2003. "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 777-792, November.
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