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

cost of borrowing for the surviving banks. Such information contagion is thus costly to bank owners. Given their limited … rise to a pro-cyclical pattern in the correlation of bank loan returns. The direction of information contagion, the … localized nature of contagion and herding, and the welfare properties, are also characterized. …

related payment and settlement systems. At the heart of systemic risk are contagion effects, various forms of external effects … rigorous models of bank and payment system contagion have now been developed, although a general theoretical paradigm is still … missing. Direct econometric tests of bank contagion effects seem to be mainly limited to the United States. Empirical studies …

likely than in bond markets. Moreover, stock-bond contagion is about as frequent as flight to quality from stocks into bonds …

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 …