Market Integration and Contagion

Geert Bekaert and Campbell Harvey ()

No 9510, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Contagion is usually defined as correlation between markets in excess of what would be implied by economic fundamentals; however, there is considerable disagreement regarding the definitions of the fundamentals, how the fundamentals might differ across countries, and the mechanisms that link the fundamentals to asset returns. Our research takes, as a starting point, a two-factor model with time-varying betas that accommodates various degrees of market integration between different markets. We apply this model to stock returns in three different regions: Europe, South-East Asia, and Latin America. In addition to providing new insights on contagion during crisis periods, we document patterns through time in world and regional market integration and measure the proportion of volatility driven by global, regional, and local factors.

JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2003-02
New Economics Papers: this item is included in nep-cfn, nep-fmk and nep-rmg
Note: IFM AP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (84)

Published as Geert Bekaert & Campbell R. Harvey & Angela Ng, 2005. "Market Integration and Contagion," Journal of Business, University of Chicago Press, vol. 78(1), pages 39-70, January.

Downloads: (external link)
http://www.nber.org/papers/w9510.pdf (application/pdf)

Related works:
Journal Article: Market Integration and Contagion (2005)
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:nbr:nberwo:9510

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w9510

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().