Cobreaking of Stock Prices and Contagion

Niklas Ahlgren () and Jan Antell
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Niklas Ahlgren: Swedish School of Economics and Business Administration, Postal: Arkadiankatu 22, P.O.B. 479; FIN 00101 Helsinki, Finland

No 537, Working Papers from Hanken School of Economics

Abstract: Financial crises have shown that dramatic movements in one financial market can have a powerful impact on other markets. The paper proposes to use cobreaking to model comovements between financial markets during crises and to test for conta-gion. It finds evidence of cobreaking between stock returns in developed markets. Finding cobreaking has implications for the diversification of international investments. For emerging mar-ket stock returns the evidence of cobreaking is mainly due to the non-financial event of the 9/11 terrorist attacks in 2001. Fi-nancial crises originating in one emerging market do not spread to other markets, i.e., no contagion.

Keywords: cobreaking; contagion; international financial markets (search for similar items in EconPapers)
Pages: 20 pages
Date: 2008-07-04
Note: This paper is published as: Ahlgren, Niklas and Antell, Jan (2010): 'Stock Market Linkages and Financial Contagion', Quarterly Review of Economics and Finance, 50, 157-166.
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Persistent link: https://EconPapers.repec.org/RePEc:hhb:hanken:0537

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