Flavin, Thomas J.; Panopoulou, Ekaterini - Institute for International Integration Studies (IIIS), … - 2007
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...