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Flavin, Thomas, 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: | 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 |
| Related URLs: | |
| 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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