DETECTING SHIFT AND PURE CONTAGION IN EAST ASIAN EQUITY MARKETS: A UNIFIED APPROACH
Thomas Flavin () and
Ekaterini Panopoulou ()
Pacific Economic Review, 2010, vol. 15, issue 3, 401-421
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 that do not exist during normal times.
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Working Paper: Detecting shift and pure contagion in East Asian equity markets: A Unified Approach (2008)
Working Paper: Detecting Shift and Pure Contagion in East Asian Equity Markets: A Unified Approach (2007)
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