On the stability of domestic financial market linkages in the presence of time-varying volatility
Thomas Flavin (),
Ekaterini Panopoulou () and
Economics, Finance and Accounting Department Working Paper Series from Department of Economics, Finance and Accounting, National University of Ireland - Maynooth
We analyze the stability of domestic financial linkages between periods of calm and turbulent market conditions. Our model develops a simultaneous test of shift contagion and bi-directional pure contagion, which is applied to the equity and currency markets of a group of East Asian emerging economies. Our results show a great deal of instability in these markets with widespread evidence of pure contagion in both directions. There is less evidence of shift contagion with the transmission of common shocks unchanged between regimes for the majority of countries.
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-cfn and nep-opm
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Journal Article: On the stability of domestic financial market linkages in the presence of time-varying volatility (2008)
Working Paper: On the Stability of Domestic Financial Market Linkages in the Presence of time-varying Volatility (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:may:mayecw:n1981108.pdf
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