Testing contagion of the 1997-98 crisis in Asian stock markets with structural breaks and incubation periods
This study tests for the existence of financial contagion, using a method that allows an incubation period before contagion takes effect. We define contagion as an increase in cross-market linkages following shocks. With daily data on Asian stock markets during the 1997-98 crisis, we find significant upward shifts in the linkages between the Asian markets of both crisis and non-crisis countries. The upward shifts are maintained even after controlling for heteroskedasticity and common world and regional factors, providing strong evidence for financial contagion.
Year of publication: |
2011
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Authors: | Baek, In-Mee ; Jun, Jongbyung |
Published in: |
Journal of Asian Economics. - Elsevier, ISSN 1049-0078. - Vol. 22.2011, 5, p. 356-368
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Publisher: |
Elsevier |
Keywords: | Crisis contagion Financial crisis Structural break Asian market |
Saved in:
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