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Was There a Contagion during the Asian Crises?

Author

Listed:
  • Kazemi, Hossein S.
  • Ogus, Ayla

Abstract

The contagion of financial crises surrounding the markets around the world has been in the forefront of academic and public discussions. In this paper, we attempt to study the “contagion effect” of the stock market crises around the world by studying the correlations of global stock returns and volatility. We analyze the daily returns of major stock indexes around the world to discover the timing and path of the transmission of shocks that manifest themselves in stock market returns. We construct VARs of major stock market index returns and volatilities. Our work differs from the literature in analyzing spillover effects between emerging markets and other major stock markets.

Suggested Citation

  • Kazemi, Hossein S. & Ogus, Ayla, 2012. "Was There a Contagion during the Asian Crises?," MPRA Paper 54186, University Library of Munich, Germany, revised 01 Nov 2012.
    • Handle: RePEc:pra:mprapa:54186
    as

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    References listed on IDEAS

    as
    1. Kaplanis, Evi C., 1988. "Stability and forecasting of the comovement measures of international stock market returns," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 63-75, March.
    2. Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
    3. Ramchand, Latha & Susmel, Raul, 1998. "Volatility and cross correlation across major stock markets," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 397-416, October.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Financial Crises; Contagion; Global Stock Returns and Volatility;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • G1 - Financial Economics - - General Financial Markets
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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