Mierau, Jochen O.; Mink, Mark - In: Journal of Banking & Finance 37 (2013) 12, pp. 4765-4776
Financial contagion studies generally examine whether co-movement between markets increases during a crisis. We use a flexible co-movement measure to examine how conclusions of such analyses depend on the sample chosen as the ‘crisis’. To this end, we analyse stock market co-movement during...