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CONTAGION AND FLIGHT-TO-QUALITY: EVIDENCES FROM THE ASIA-PACIFIC ECONOMIC COOPERATION (APEC) REGION

Yu-Tung Peng, Hue Hwa Au Yong and Sirimon Treepongkaruna

Review of Applied Economics, 2014, vol. 10, issue 1-2

Abstract: This paper investigates the existence and determinants of contagion and flight-toquality phenomena during crisis periods in the stock and bond markets of APEC countries between 1995 and 2010. The findings show the presence of contagion effects among stock markets of APEC countries and between the U.S. and Canadian bond markets. There are evidences of flight-to-quality from majority of the stock markets to the U.S. bond market. Market sentiment plays an important role in explaining both contagion and flight-to-quality phenomena. Our findings suggest that governments should facilitate bond market development to prevent the propagation of crises across countries.

Keywords: Financial Economics; International Development (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:ags:reapec:264593

DOI: 10.22004/ag.econ.264593

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