Baek, In-Mee; Jun, Jongbyung - In: Journal of Asian Economics 22 (2011) 5, pp. 356-368
This study tests for the existence of financial contagion, using a method that allows an incubation period before contagion takes effect. We define contagion as an increase in cross-market linkages following shocks. With daily data on Asian stock markets during the 1997-98 crisis, we find...