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
Abstract
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.
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