ENDOGENOUS CONTAGION - A PANEL DATA ANALYSIS

Dirk Baur () and Renee Fry-McKibbin

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: This paper proposes a multivariate test for contagion that distinguishes between vulnerability, positive and negative contagion. The model provides a time series of contagion with which the existence, severity and significance of crisis periods can be endogenously determined. Eleven stock markets from the Asian region are analyzed during the Asian crisis, and contagion is significant in four periods. These episodes are split equally between positive and negative movements. Anecdotal evidence is matched to significant contagion, with events surrounding Hong Kong the key drivers.

JEL-codes: C10 C51 F36 G14 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2006-01
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2006-09

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