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    Detecting shift and pure contagion in East Asian equity markets: A Unified Approach

    Flavin, Thomas and Panopoulou, Ekaterini (2008) Detecting shift and pure contagion in East Asian equity markets: A Unified Approach. Working Paper. Department of Economics, Finance and Accounting, National University of Ireland Maynooth.

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    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 which do not exist during normal times.

    Item Type: Monograph (Working Paper)
    Additional Information: Preprint version of article published in the Pacific Economic Review (ISSN: 1361-374X), Vol.15 No.3, pp.401-421, August 2010, published by Wiley Blackwell. DOI: 10.1111/j.1468-0106.2010.00510.x
    Keywords: East Asian equity markets; Shift contagion; Pure contagion; Financial market crises; Regime switching;
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 894
    Depositing User: Thomas Flavin
    Date Deposited: 11 Feb 2008
    Publisher: Department of Economics, Finance and Accounting
    Refereed: No
    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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