Luchtenberg, Kimberly F.; Vu, Quang Viet - In: Research in International Business and Finance 33 (2015) C, pp. 178-203
In this paper, we investigate worldwide contagion and its determinants during the 2008 financial crisis. Utilizing an international sample of returns from 2003 to 2009, we consider both uni- and bi-directional contagion. After controlling for crisis-related volatility, we find strong evidence...
