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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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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 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 |
| Related URLs: | |
| URI: | https://mural.maynoothuniversity.ie/id/eprint/894 |
| 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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