Bae, Kee-Hong; Karolyi, G. Andrew; Stulz, Rene M. - National Bureau of Economic Research (NBER) - 2000
This paper proposes a new approach to evaluate contagion in financial markets. Our measure of contagion captures the co-incidence of extreme return shocks across countries within a region and across regions that cannot be explained by linear propagation models of shocks. We characterize the...