Shift Versus Traditional Contagion in Asian Markets

Flavin, Thomas; Panopoulou, Ekaterini

doi:10.2139/ssrn.929676

Shift Versus Traditional Contagion in Asian Markets

40 Pages Posted: 12 Sep 2006

See all articles by Thomas Flavin

Thomas Flavin

National University of Ireland, Maynooth (Maynooth University) - Department of Economics, Finance and Accounting

Ekaterini Panopoulou

Essex Business School

There are 2 versions of this paper

Date Written: September 2006

Abstract

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.

Keywords: Shift contagion, Financial market crises, Regime switching, Structural transmission, Emerging markets

JEL Classification: F42, G15, C32

Suggested Citation: Suggested Citation

Flavin, Thomas J and Panopoulou, Ekaterini, Shift Versus Traditional Contagion in Asian Markets (September 2006). Available at SSRN: https://ssrn.com/abstract=929676 or http://dx.doi.org/10.2139/ssrn.929676