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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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.

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:	https://doi.org/10.1016/j.ememar.2008.10.002
Depositing User:	Thomas Flavin
Date Deposited:	08 Mar 2017 15:40
Journal or Publication Title:	Emerging Markets Review
Publisher:	Elsevier
Refereed:	Yes
URI:	Publisher

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