Are stock market crises contagious? The role of crisis definitions

Jochen Mierau and Mark Mink

Journal of Banking & Finance, 2013, vol. 37, issue 12, 4765-4776

Abstract: Financial contagion studies generally examine whether co-movement between markets increases during a crisis. We use a flexible co-movement measure to examine how conclusions of such analyses depend on the sample chosen as the ‘crisis’. To this end, we analyse stock market co-movement during the 1997 Asian crisis and the 2007 global financial crisis for all possible source countries and for all possible time periods or extreme return quantiles. This way we account for the main crisis dating approaches adopted in the literature. Our results suggest there is no clear relationship between excess co-movement and commonly used crisis samples.

Keywords: Contagion; Financial crises; Global financial crisis; Asian crisis (search for similar items in EconPapers)
JEL-codes: F30 G01 G15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:12:p:4765-4776

DOI: 10.1016/j.jbankfin.2013.08.025

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