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Detecting shift and pure contagion in East Asian equity markets: A Unified Approach

Flavin, Thomas and Panopoulou, Ekaterini (2008) Detecting shift and pure contagion in East Asian equity markets: A Unified Approach. Department of Economics, Finance and Accounting, National University of Ireland Maynooth.

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Abstract

We test for contagion between pairs of East Asian equity markets over the period 1990-2007. We develop an econometric methodology that allows us to test for both "shift" and "pure" contagion within a unified framework. Using both Hong Kong and Thailand as potential shock sources, we find strong evidence of both types of contagion. Therefore during episodes of high-volatility, equity returns are influenced by changes in the transmission of common shocks and additionally by the diffusion of idiosyncratic shocks through linkages which do not exist during normal times.

Item Type: Other
Additional Information: Preprint version of article published in the Pacific Economic Review (ISSN: 1361-374X), Vol.15 No.3, pp.401-421, August 2010, published by Wiley Blackwell. DOI: 10.1111/j.1468-0106.2010.00510.x
Keywords: East Asian equity markets; Shift contagion; Pure contagion; Financial market crises; Regime switching;
Subjects: Social Sciences > Economics
Item ID: 894
Identification Number: Vol.15 No.3 (2010)
Depositing User: Ms Sandra Doherty
Date Deposited: 11 Feb 2008
Publisher: Department of Economics, Finance and Accounting
Refereed: No
URI:

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