Financial Contagion within a Small Country

International Journal of Business and Information, 2006, Volume 1, Number 2, 119-136.

18 Pages Posted: 23 Jan 2013 Last revised: 9 Jan 2017

See all articles by Nuttawat Visaltanachoti

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance

Hang (Robin) Luo

Xihua University

Puspakaran Kesayan

Universiti Utara Malaysia (UUM)

Date Written: May 8, 2006

Abstract

This study examines the behavior of financial contagion within the New Zealand stock market. The degree of financial contagion is measured by the coincidence of extreme stock returns. The extent of the effect and its economic significance are examined using the multinomial regression. The findings show that the contagion is highly persistent. Macroeconomic factors have a slightly stronger impact on the co-movement of extreme positive returns compared with the co-movement of extreme negative returns. There is little evidence showing that the contagion is determined by the fluctuation of foreign exchange rates, government bond yield, and the term spread.

Keywords: Financial contagion, extreme value, New Zealand

Suggested Citation

Visaltanachoti, Nuttawat and Luo, Hang (Robin) and Kesayan, Puspakaran, Financial Contagion within a Small Country (May 8, 2006). International Journal of Business and Information, 2006, Volume 1, Number 2, 119-136. , Available at SSRN: https://ssrn.com/abstract=2205591

Nuttawat Visaltanachoti (Contact Author)

Massey University - Department of Economics and Finance ( email )

School of Economics and Finance
Private Bag 102904, NSMC
Auckland
New Zealand
64 9 414 0800 (43169) (Phone)
64 9 441 8177 (Fax)

Hang (Robin) Luo

Xihua University

School of Economics
Xihua University
Chengdu, SIchuan 610039
China

Puspakaran Kesayan

Universiti Utara Malaysia (UUM) ( email )

Finance Dept, School of Econ., Finance & Banking
East Wing, COB Main Bldg,Universiti Utara Malaysia
Sintok 06010 Kedah, 06010
Malaysia
+604-9286966 (Phone)
+604-928 (Fax)

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