Measuring Financial Market Contagion Using Dually-Traded Stocks of Asian Firms

Kentaro Iwatsubo, 健太郎 岩壷, ケンタロウ イワツボ, Kazuyuki Inagaki, 一之 稲垣 and カズユキ イナガキ

No 2006-14, CEI Working Paper Series from Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University

Abstract: This paper investigates stock market contagion between U.S. and Asian markets. To distinguish between contagion and fundamentals-based stock price comovement, we use NYSE-traded stocks issued by Asian firms. Among the results, first we find that the empirical results show significant bilateral contagion effects in returns and return volatility. Second, contagion effects from U.S. market to Asian markets are stronger than in the reverse direction, indicating that the U.S. market plays a major role in the transmission of information to foreign markets. Third, the intensity of contagion was significantly greater during the Asian financial crisis than after the crisis.

Keywords: Asian financial crisis; ADRs; EGARCH; Contagion (search for similar items in EconPapers)
JEL-codes: F37 G15 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2006-12
New Economics Papers: this item is included in nep-cfn, nep-fmk and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: Measuring financial market contagion using dually-traded stocks of Asian firms (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:hit:hitcei:2006-14

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