This paper examines financial contagion, that is, whether the cross-market linkages in financial markets increases after a shock to a country. We introduce the use of a new measure of local dependence (introduced by Hufthammer and Tjøstheim (2009)) to study the contagion effect. The central...

It is a common view among finance analysts and econometricians that the correlation between financial objects becomes stronger as the market is going down, and that it approaches one when the market crashes, having the effect of destroying the benefit of diversification. The purpose of this...

This paper examines financial contagion, that is, whether the cross-market linkages in financial markets increase after a shock to a country. We use a new measure of local dependence (introduced by Tjøstheim and Hufthammer (2013)) to study the contagion effect. The central idea of the new...