Flavin, Thomas and Panopoulou, Ekaterini (2010) Detecting shift and pure contagion in East Asian equity markets: a unified approach. Pacific Economic Review, 15 (3). pp. 401-421. ISSN 1361-374X

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Abstract

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 that do not exist during normal times.

Item Type:	Article
Keywords:	Detecting; shift and pure contagion; East Asian; equity markets; unified approach;
Academic Unit:	Faculty of Social Sciences > Economics, Finance and Accounting
Item ID:	8011
Identification Number:	https://doi.org/10.1111/j.1468-0106.2010.00510.x
Depositing User:	Thomas Flavin
Date Deposited:	08 Mar 2017 15:30
Journal or Publication Title:	Pacific Economic Review
Publisher:	Blackwell Publishing
Refereed:	Yes
URI:	Publisher
Use Licence:	This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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