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On the stability of domestic financial market linkages in the presence of time-varying volatility

  • Thomas J. Flavin

    ()

    (Economics, National University of Ireland, Maynooth)

  • Ekaterini Panopoulou

    ()

  • Deren Unalmis

    ()

    (Economics, National University of Ireland, Maynooth)

We analyze the stability of domestic financial linkages between periods of calm and turbulent market conditions. Our model develops a simultaneous test of shift contagion and bi-directional pure contagion, which is applied to the equity and currency markets of a group of East Asian emerging economies. Our results show a great deal of instability in these markets with widespread evidence of pure contagion in both directions. There is less evidence of shift contagion with the transmission of common shocks unchanged between regimes for the majority of countries.

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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 n1981108.pdf.

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Length: 43 pages
Date of creation: 2008
Date of revision:
Handle: RePEc:may:mayecw:n1981108.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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  27. Billio, Monica & Pelizzon, Loriana, 2003. "Contagion and interdependence in stock markets: Have they been misdiagnosed?," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 405-426.
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