On the Stability of Domestic Financial Linkages in the Presence of Time Varying Volatility

Flavin, Thomas J., Panopoulou, Ekaterini, Unalmis, Deren (2008) On the Stability of Domestic Financial Linkages in the Presence of Time Varying Volatility. Emerging Markets Review, 9 (4). pp. 280-301. ISSN 1566-0141. (doi:10.1016/j.ememar.2008.10.002) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:34300)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL: http://dx.doi.org/10.1016/j.ememar.2008.10.002

Abstract

We analyze the stability of domestic financial linkages between periods of

calm and turbulentmarket conditions.Ourmodel 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 contagionwith the transmission of common shocks

unchanged between regimes for the majority of countries.

Item Type:	Article
DOI/Identification number:	10.1016/j.ememar.2008.10.002
Uncontrolled keywords:	Shift contagion Pure contagion Financial market crises Regime switching
Subjects:	H Social Sciences H Social Sciences > H Social Sciences (General)
Divisions:	Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User:	Catherine Norman
Date Deposited:	17 Jun 2013 14:20 UTC
Last Modified:	16 Nov 2021 10:11 UTC
Resource URI:	https://kar.kent.ac.uk/id/eprint/34300 (The current URI for this page, for reference purposes)

University of Kent Author Information

Panopoulou, Ekaterini.

Creator's ORCID:	https://orcid.org/0000-0001-5080-9965
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