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
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
New Economics Papers: this item is included in nep-fmk and nep-sea
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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 (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:may:mayecw:n1890208.pdf
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