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

    Flavin, Thomas and Panopoulou, Ekaterini and Unalmis, Deren (2008) On the stability of domestic financial market linkages in the presence of time-varying volatility. Emerging Markets Review, 9. pp. 280-301. ISSN 1566-0141

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    We analyze the stability of domestic financial linkages between periods of calm and turbulentmarket conditions.Ourmodel 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 contagionwith the transmission of common shocks unchanged between regimes for the majority of countries.

    Item Type: Article
    Keywords: Shift contagion; Pure contagion; Financial market crises; Regime switching;
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 8012
    Identification Number:
    Depositing User: Thomas Flavin
    Date Deposited: 08 Mar 2017 15:40
    Journal or Publication Title: Emerging Markets Review
    Publisher: Elsevier
    Refereed: Yes
    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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