Skip to main content

Shift versus Traditional Contagion in Emerging Markets: A Unified Approach

Flavin, Thomas J., Panopoulou, Ekaterini (2010) Shift versus Traditional Contagion in Emerging Markets: A Unified Approach. Pacific Economic Review, 15 (3). pp. 401-421. ISSN 1361-374X. (doi:10.1111/j.1468-0106.2010.00510.x) (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)

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. (Contact us about this Publication)
Official URL
https://doi.org/10.1111/j.1468-0106.2010.00510.x

Abstract

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 that do not exist during normal times.

Item Type: Article
DOI/Identification number: 10.1111/j.1468-0106.2010.00510.x
Subjects: H Social Sciences
H Social Sciences > H Social Sciences (General)
Divisions: Faculties > Social Sciences > Kent Business School
Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Cathy Norman
Date Deposited: 10 Jul 2013 15:55 UTC
Last Modified: 29 May 2019 10:22 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/34608 (The current URI for this page, for reference purposes)
Panopoulou, Ekaterini: https://orcid.org/0000-0001-5080-9965
  • Depositors only (login required):