stock market. We conduct our analysis by explicitly considering the distinction between interdependence and contagion. By … equilibrium for US shares? Is there short-term interdependence and contagion between US and European stock markets, i.e. do short …

financial emerging markets and the issue of contagion. We find no evidence that a fixed exchange rate regime has helped to …

Cet article a pour objet d’´etudier empiriquement le ph´enom`ene de contagion lors de la crise asiatique de 1997 …

largest Central and Eastern European Countries (CEECs) can be attributed to contagion or to interdependence. Our tests based … on simple unadjusted correlation analysis uncover evidence of conta-gion between all pairs of countries. Adjusting for … market volatility during turmoil, however, produces dif-ferent results. We then find contagion from the Czech Republic to …

financial contagion across countries and sectors and finds that the crisis led to an increased co-movement of returns among …

contagion of the U.S. financial crisis by constructing shock models for partially overlapping and non-overlapping markets. There … exists important bi-directional, yet asymmetric, interdependence and contagion in emerging markets, with important regional … variations. Interdependence is driven more by U.S. shocks, while contagion is driven more by emerging market shocks. Frontier …

This paper investigates financial contagion of three emerging market crises of the late 1990s, as well as the subprime … the global impact of the Russian default, the contagion effects of the subprime crisis, the regional aspect of the Asian …

We argue that Korea's recent financial distresses reflect contagion of the crisis, beyond normal interdependence … estimated from the DCC-GARCH and STC-GARCH models lend support to our argument. The contagion occurs mainly during Leman … system. The nature of contagion of the crisis implies that macroeconomic policies that can stabilize the entire financial …

Financial contagion studies generally examine whether co-movement between markets increases during a crisis. We use a …