Markwat, Thijs; Kole, Erik; van Dijk, Dick - In: Journal of Banking & Finance 33 (2009) 11, pp. 1996-2012
This paper shows that stock market contagion occurs as a domino effect, where confined local crashes evolve into more widespread crashes. Using a novel framework based on ordered logit regressions we model the occurrence of local, regional and global crashes as a function of their past...