Detecting Shift and Pure Contagion in East Asian Equity Markets: A Unified Approach

Thomas J. Flavin and Ekaterini Panopoulou
Authors registered in the RePEc Author Service: Thomas Flavin and Ekaterini Panopoulou

The Institute for International Integration Studies Discussion Paper Series from IIIS

Abstract: We test for contagion between pairs of East Asian equity markets over the period 1990-2007. We develop an econometric methodology that allows us to test for both ‘shift’ and ‘pure’ contagion within a unified framework. Using both Hong Kong and Thailand as potential shock sources, we find strong evidence of both types of contagion. Therefore during episodes of high-volatility, equity returns are influenced by changes in the transmission of common shocks and additionally by the diffusion of idiosyncratic shocks through linkages which do not exist during normal times.

Date: 2007-12-10
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Related works:
Journal Article: DETECTING SHIFT AND PURE CONTAGION IN EAST ASIAN EQUITY MARKETS: A UNIFIED APPROACH (2010)
Working Paper: Detecting shift and pure contagion in East Asian equity markets: A Unified Approach (2008)
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