This paper proposes an original three-part sequential testing procedure (STP), with which to test for contagion using a … test is applied to the correlation matrix to identify and date the potential contagion mechanism. As a third element, the … STP tests for the distinctiveness of the break dates previously found. Compared to traditional contagion tests in a …

aggravating financial instability. In the EU and more specifically the Euro Area, multiple channels of spillovers and contagion …

This paper sheds new light on the impact of information risk and market stress on herding of institutional traders from … herding intensity should increase with information risk. Market stress should affect herding asymmetrically: while there is … more sell herding when the market becomes more pessimistic and more uncertain, buy herding intensity should decrease. We …

international financial interconnections is dominant, while contagion through trade is inessential. Further, with regard to …