Shift Versus Traditional Contagion in Asian Markets
National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics
University of Kent, Canterbury - Kent Business School; University of Piraeus - Department of Statistics and Insurance Science
IIIS Discussion Paper No. 176
We test for shift contagion between pairs of East Asian equity markets over a sample including the financial crisis of the 1990's. Employing the methodology of Gravelle et al. (2006), we find little evidence of change in the mechanism by which common shocks are transmitted between countries. Furthermore, we analyze the effects of idiosyncratic shocks and generate time-varying conditional correlations. While there clearly is significant time variation in the pair wise correlations, this is not more pronounced during the Asian crisis than it had been historically.
Number of Pages in PDF File: 43
Keywords: Shift contagion, Financial market crises, Regime switching, Structural transmission, Emerging markets
JEL Classification: F42, G15, C32working papers series
Date posted: November 19, 2006
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