Was There a Contagion during the Asian Crises?

• 作者: Ayla Ogus Hossein S. Kazemi
• 来源期刊: 应用数学(英文)
• 学科: 医学
• 关键词: FINANCIAL Crises Contagion GLOBAL STOCK Returns and VOLATILITY
• 年，卷（期）: 2013,（1）
• 页码范围: 29-39
• 页数: 11页
• 分类号: R73

摘要

The contagion of financial crises surrounding the markets around the world has been in the forefront of academic and public discussions. In this paper, we attempt to study the “contagion effect” of the stock market crises around the world by studying the correlations of global stock returns and volatility. We analyze the daily returns of major stock indexes around the world to discover the timing and path of the transmission of shocks that manifest themselves in stock market returns. We construct VARs of major stock market index returns and volatilities. Our work differs from the literature in analyzing spillover effects between emerging markets and other major stock markets.