EconPapers    
Economics at your fingertips  
 

Detecting shift and pure contagion in East Asian equity markets: A Unified Approach

Thomas Flavin () and Ekaterini Panopoulou ()

Economics, Finance and Accounting Department Working Paper Series from Department of Economics, Finance and Accounting, National University of Ireland - Maynooth

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.

Keywords: Shift contagion; Pure contagion; Financial market crises; Regime switching (search for similar items in EconPapers)
JEL-codes: F42 G15 C32 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2008
New Economics Papers: this item is included in nep-fmk and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://repec.maynoothuniversity.ie/mayecw-files/N1890208.pdf (application/pdf)

Related works:
Journal Article: DETECTING SHIFT AND PURE CONTAGION IN EAST ASIAN EQUITY MARKETS: A UNIFIED APPROACH (2010) Downloads
Working Paper: Detecting Shift and Pure Contagion in East Asian Equity Markets: A Unified Approach (2007) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:may:mayecw:n1890208.pdf

Access Statistics for this paper

More papers in Economics, Finance and Accounting Department Working Paper Series from Department of Economics, Finance and Accounting, National University of Ireland - Maynooth Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2020-10-07
Handle: RePEc:may:mayecw:n1890208.pdf