Financial Contagion Vulnerability: A Comparison of European Capital Markets
European University Viadrina Frankfurt (Oder) - Department of Economics
Martin T. Bohl
University of Muenster
Postgraduate Research Programme Working Paper No. 5/2003
This paper investigates contagion to European capital markets associated with seven big financial shocks between 1997 and 2002. We apply a technique using heteroscedasticity adjusted
correlation coefficients to discriminate between contagion and interdependence. The analysis focuses on a comparison between developed Western European markets and emerging capital markets in Central and Eastern Europe. We find little evidence of significant increases in cross-market linkages after the crises under investigation. The Central and Eastern European capital
markets are not more vulnerable to contagion than Western European markets.
Number of Pages in PDF File: 18
Keywords: Financial Contagion, financial crises, Western, Central and Eastern European stock markets, adjusted correlation coefficient
JEL Classification: G15, C12working papers series
Date posted: November 24, 2003
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