An examination of higher-moment contagion during the South Sea Bubble

Mohammad S. Hasan, Robert Gausden and Ortenca Kume

Applied Economics Letters, 2022, vol. 29, issue 20, 1949-1953

Abstract: The objective of this paper is to investigate the nature and the direction of the contagion during the episode of the South Sea Bubble. Previous research in this area has adopted a correlation and cointegration approach. In preference, though, we place reliance upon four different tests of linear and higher-moment contagion. From using daily data on the share prices of six companies from December 1719 to January 1721, strong evidence is obtained of contagion when applying co-skewness, co-volatility, and co-kurtosis tests.

Date: 2022
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DOI: 10.1080/13504851.2021.1971612

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