unexplained increases in factor loadings as indicative of contagion. We find evidence of systematic contagion from US markets and … contagion from domestic equity markets to individual domestic equity portfolios, with its severity inversely related to the …

This Paper develops a test of contagion in financial markets based on bivariate correlation analysis, which generalizes … existing tests, and applies it to the international effects of the Hong Kong stock market crisis of October 1997. Contagion is … country-specific shocks in Hong Kong, our test finds evidence of contagion for 5 countries out of a sample of 17. This is in …

This paper explores to what extent the magnitude and speed of the contagion effects that materialized in East Asia in …

tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in … after the European Central Bank’s (ECB’s) announcement of its Outright Monetary Transactions (OMT) program in 2012. At the … same time, Italy and Spain became more interdependent after the OMT announcement, providing our only evidence of contagion …

traded quantities are determined by means of a matching algorithm. Contagion occurs through liquidity hoarding, interbank …

In this paper, we provide new evidence on the determinants of sovereign yield spreads and contagion effects in the euro … contagion driven by shifts in market sentiment. This evidence points to a discontinuity in the disciplinary role of financial …

This paper applies a full-information technique to test for the presence of contagion across the money markets of ERM … members. We show that whenever it is possible to estimate a model for interdependence, a test for contagion based o a full … information technique is more powerful. We test for the presence of contagion after having identified episodes of country …