tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in … same time, Italy and Spain became more interdependent after the OMT announcement, providing our only evidence of contagion …

included in the regression; we provide evidence in the paper that this effect does not derive from contagion as commonly …

phenomenon known as contagion. The model generates predictions consistent with other important empirical results such as …

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 …

stock market. We conduct our analysis by explicitly considering the distinction between interdependence and contagion. By … equilibrium for US shares? Is there short-term interdependence and contagion between US and European stock markets, i.e. do short …

wealth transfers to or from the Periphery countries. These implicit transfers are responsible for creating contagion among …

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 …