Li, Bingqing; Wang, Han; Xiao, Xinrong - In: Applied Economics Letters 21 (2014) 9, pp. 631-635
This article applies general social interaction model to measure contagion across stock markets in a given trade network. We divide the whole sample period into five types of subperiods according to the extent of negative and positive coexceedances. We find that interdependence and contagion in...