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Detecting shift and pure contagion in East Asian equity markets: A Unified Approach

  • Thomas J. flavin

    ()

    (Economics, National University of Ireland, Maynooth)

  • Ekaterini Panopoulou

    (Department of Statistics and Insurance Science, University of Piraeus, Greece)

We test for contagion between pairs of East Asian equity markets over the period 1990-2007.We develop an econometric methodology that allows us to test for both 'shift'and 'pure' contagion within a unified framework. Using both Hong Kong and Thailand as potential shock sources, we find strong evidence of both types of contagion. Therefore during episodes of high-volatility, equity returns are influenced by changes in the transmission of common shocks and additionally by the diffusion of idiosyncratic shocks through linkages which do not exist during normal times.

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File URL: http://repec.maynoothuniversity.ie/mayecw-files/N1890208.pdf
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Paper provided by Department of Economics, Finance and Accounting, National University of Ireland - Maynooth in its series Economics, Finance and Accounting Department Working Paper Series with number n1890208.pdf.

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Length: 43 pages
Date of creation: 2008
Date of revision:
Handle: RePEc:may:mayecw:n1890208.pdf
Contact details of provider: Postal: Maynooth, Co. Kildare
Phone: 353-1-7083728
Fax: 353-1-7083934
Web page: http://www.maynoothuniversity.ie/economics-finance-and-accounting

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