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Detecting financial contagion in a multivariate system : conference paper

Blatt, Dominik; Candelon, Bertrand; Manner, Hans - 2014

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 …

Persistent link: https://www.econbiz.de/10010484769

Contagion between US and Asian Stock Markets

Yoo, Sung-Jin; Chung, Sang-Kuck - In: Journal of international trade & commerce 15 (2019) 5, pp. 57-75

Persistent link: https://www.econbiz.de/10012546742

Global financial crisis and cyclical co-movements of Asian financial markets

Liow, Kim Hiang - In: Journal of property investment & finance 34 (2016) 4, pp. 465-495

Persistent link: https://www.econbiz.de/10011599028

Volatility spillovers among the U.S. and Asian stock markets : a comparison between the periods of Asian currency crisis and subprime credit crisis

Lien, Da-hsiang Donald; Lee, Geul; Li, Yang; Zhang, Yuyin - In: The North American journal of economics and finance : a … 46 (2018), pp. 187-201

Persistent link: https://www.econbiz.de/10012036617

Stock market contagion : a new approach

Lyócsa, Štefan; Horváth, Roman - In: Open economies review 29 (2018) 3, pp. 547-577

Persistent link: https://www.econbiz.de/10012041397

Currency crisis transmission through trade channel : Asian and Mexican crises revisited

Khan, Saleheen - In: Journal of economic integration 33 (2018) 4, pp. 818-840

Persistent link: https://www.econbiz.de/10011960072

Is the COVID-19 pandemic more contagious for the Asian stock markets? : a comparison with the Asian financial, the US subprime and the Eurozone debt crisis

Chopra, Monika; Mehta, Chhavi - In: Journal of Asian economics 79 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013431209

Contagion or interdependence? : evidence from Asian emerging stock markets in times of COVID-19 pandemic

Bagchi, Bhaskar; Ghosh, Raktim - In: Global business & economics review 28 (2023) 2, pp. 155-174

Persistent link: https://www.econbiz.de/10014230980

Correlation meets causality : a holistic measure of financial contagion

Sencer Atasoy, Burak; Ozkan, Ibrahim - In: Finance research letters 65 (2024), pp. 1-11

Persistent link: https://www.econbiz.de/10014552747

Financial market integration in sub-Saharan Africa : how important is contagion?

Akunga, Robert; Ahmad, Ahmad Hassan; Coleman, Simeon - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 3637-3653

Persistent link: https://www.econbiz.de/10014429158