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An examination of higher-moment contagion during the South Sea Bubble

Hasan, Mohammad S., Gausden, Robert, Kume, Ortenca (2021) An examination of higher-moment contagion during the South Sea Bubble. Applied Economics Letters, . ISSN 1350-4851. E-ISSN 1466-4291. (doi:10.1080/13504851.2021.1971612) (KAR id:90049)

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The objective of this paper is to investigate the nature and the direction of the contagion during the episode of the South Sea Bubble. Previous research in this area has adopted a correlation and cointegration approach. In preference, though, we place reliance upon four different tests of linear and higher-moment contagion. From using daily data on the share prices of six companies from December 1719 to January 1721, strong evidence is obtained of contagion when applying co-skewness, co-volatility, and co-kurtosis tests.

Item Type: Article
DOI/Identification number: 10.1080/13504851.2021.1971612
Uncontrolled keywords: South Sea Bubble; contagion; adjusted correlation coefficient; higher-moment tests.
Subjects: H Social Sciences
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Mohammad Hasan
Date Deposited: 06 Sep 2021 13:41 UTC
Last Modified: 08 Sep 2021 09:29 UTC
Resource URI: (The current URI for this page, for reference purposes)
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