Measuring equity market contagion in multiple financial events

Daryl Collins and Shana Gavron

Applied Financial Economics, 2005, vol. 15, issue 8, 531-538

Abstract: This paper expands the current body of literature on the empirical evidence of stock market contagion by measuring the occurrence of contagion across 42 countries during nine financial events. The selected list of events includes those that have been commonly tested as well as those that are more recent, originate from smaller markets and are less tested. Results indicate that there are 44 incidences of contagion in total during these nine events, with the recent Argentine Crisis of 2001 causing the most incidents of contagion.

Date: 2005
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DOI: 10.1080/09603100500056759

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