Multivariate contagion and interdependence

Baur, DG; Fry, R

Multivariate contagion and interdependence

Baur, DG Fry, R

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Publisher:: Elsevier BV
Publication Type:: Journal Article
Citation:: Journal of Asian Economics, 2009, 20 (4), pp. 353 - 366
Issue Date:: 2009-01

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Field	Value	Language
dc.contributor.author	Baur, DG	en_US
dc.contributor.author	Fry, R	en_US
dc.date.issued	2009-01	en_US
dc.identifier.citation	Journal of Asian Economics, 2009, 20 (4), pp. 353 - 366	en_US
dc.identifier.issn	1049-0078	en_US
dc.identifier.uri	http://hdl.handle.net/10453/9947
dc.description.abstract	This paper proposes a multivariate test to measure the statistical and economic significance of contagion through analysis of extreme unobserved common shocks. Contagious episodes are endogenously determined with no need, but the possibility, to specify the source country. Application to a panel of equity returns during the Asian crisis of 19971998 finds that interdependencies are substantially more important than contagion. However, the periods of contagion evident show that it is short-lived, split between positive and negative movements and reverses quickly. In comparison to other Asian crisis countries, Hong Kong is the main driver of contagion in the crisis. The proposed methodology and the empirical findings provide a more detailed picture of contagion than commonly applied tests.	en_US
dc.publisher	Elsevier BV	en_US
dc.relation.ispartof	Journal of Asian Economics	en_US
dc.relation.isbasedon	10.1515/peps-2013-0014	en_US
dc.subject.classification	Economics	en_US
dc.title	Multivariate contagion and interdependence	en_US
dc.type	Journal Article
utslib.citation.volume	4	en_US
utslib.citation.volume	20	en_US
utslib.for	1499 Other Economics	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1403 Econometrics	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	4	en_US
pubs.volume	20	en_US

Abstract:

This paper proposes a multivariate test to measure the statistical and economic significance of contagion through analysis of extreme unobserved common shocks. Contagious episodes are endogenously determined with no need, but the possibility, to specify the source country. Application to a panel of equity returns during the Asian crisis of 19971998 finds that interdependencies are substantially more important than contagion. However, the periods of contagion evident show that it is short-lived, split between positive and negative movements and reverses quickly. In comparison to other Asian crisis countries, Hong Kong is the main driver of contagion in the crisis. The proposed methodology and the empirical findings provide a more detailed picture of contagion than commonly applied tests.

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http://hdl.handle.net/10453/9947