The open financial economic systems of six Asian countries Taiwan, Malaysia, Singapore, Philippines, Indonesia and Japan - over the period 1986 through 1995 are identified from empirical data to determine how their stock markets, economies and financial markets are interrelated. The objective is...

Nowadays commodity investing is facing a tremendous interest from all kinds of investors, the surging amount invested in commodity related indices being one of the manifestations of this phenomenon. Due to their historical de-correlation with conventional securities and their hedging properties...

We seek for verification and explanation of arbitrage between securities of dual-listed Brazilian-based companies which are simultaneously traded on the Brazilian and the US stock markets. Following the extant literature, our underlying hypothesis is that arbitrage events can be explained by...

This study uses bivariate extremal dependence measures, based on the number of equity return co-exceedances in two markets, to quantify both negative and positive equity returns contagion in mature and emerging equity markets during the past decade. The results indicate (a) higher contagion for...

Contagion can be defined as the probability of observing large return realizations simultaneously across different financial markets (co-exceedances) rather than as increases in correlations. We introduce global extreme contagion measures constructed from bivariate extremal dependence measures....

This paper builds a general test of contagion in financial markets based on bivariate correlation analysis - a test that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in the data generating process of rates of return. Using a...

This paper builds on a standard factor model of stock market returns to reconsider recent empirical literature on contagion in financial markets based on bivariate correlation analysis. According to this literature, contagion is defined as a structural break in the linear transmission mechanism...