Bad contagion, the downside component of contagion in international stock markets, has negative implications for financial stability. I propose a measure for the occurrence and severity of global contagion that combines the factor-model approach in Bekaert et al. (2005) with the model-free or...

Bad contagion, the downside component of contagion in international stock markets, has negative implications for financial stability. I propose a measure for the occurrence and severity of global contagion that combines the factor-model approach in Bekaert et al. (2005) with the model-free or...

Bad contagion, the downside component of contagion in international stock markets, has negative implications for financial stability. I propose a measure for the occurrence and severity of global contagion that combines the factor-model approach in Bekaert et al. (2005) with the model-free or...

The process of financial integration has increased the exposure of South African financial markets to foreign financial crises. This paper contributes to the understanding of crisis transmission by evaluating several hypotheses that claim to explain how financial crises are transmitted to South...

This study is an endeavor to empirically examine the long run impact of financial globalization on output volatility in a balanced panel of selected 22 Asian countries (full sample) during 1998-2015. The disaggregated analysis is also conducted with respect to Central Asia, East Asia, South Asia...

This paper proposes a new measure of contagion as the coincidence of large left-tail events in the idiosyncratic disturbances of international stock returns after controlling for their exposure to a global factor. Episodes of bad contagion, especially those involving a large number of countries,...