Abstract

http://ssrn.com/abstract=302797
 
 

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Market Integration and Contagion


Geert Bekaert


Columbia Business School - Finance and Economics; National Bureau of Economic Research (NBER)

Campbell R. Harvey


Duke University - Fuqua School of Business; National Bureau of Economic Research (NBER)

Angela Ng


Hong Kong University of Science & Technology - Department of Finance

March 14, 2002

EFA 2002 Berlin Meetings Presented Paper

Abstract:     
Contagion is usually defined as correlation between markets in excess of what would be implied by economic fundamentals. However, there is considerable disagreement regarding the definitions of the fundamentals, how the fundamentals might differ across countries and the mechanisms that link the fundamentals to asset returns. Our research takes as a starting point, a two-factor model with time-varying betas that accommodates various degrees of market integration between the different markets. We apply this model to stock returns in three different regions, Europe, South-East Asia and Latin America. In addition to providing new insights on contagion during crisis periods, we document patterns through time in world and regional market integration and measure the proportion of volatility driven by global, regional, as well as, local factors.

Number of Pages in PDF File: 39

JEL Classification: G15, G12

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Date posted: March 22, 2002  

Suggested Citation

Bekaert, Geert and Harvey, Campbell R. and Ng, Angela, Market Integration and Contagion (March 14, 2002). EFA 2002 Berlin Meetings Presented Paper. Available at SSRN: http://ssrn.com/abstract=302797 or http://dx.doi.org/10.2139/ssrn.302797

Contact Information

Geert Bekaert
Columbia Business School - Finance and Economics ( email )
3022 Broadway
New York, NY 10027
United States

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Campbell R. Harvey
Duke University - Fuqua School of Business ( email )
Box 90120
Durham, NC 27708-0120
United States
919-660-7768 (Phone)
919-660-8030 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Angela Ng (Contact Author)
Hong Kong University of Science & Technology - Department of Finance ( email )
Clear Water Bay, Kowloon
Hong Kong
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