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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: | 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 |
| Related URLs: | |
| URI: | https://mural.maynoothuniversity.ie/id/eprint/8011 |
| 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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