Testing For Stock Market Contagion PDF Download
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| Author | : Sungyong Park |
| Publisher | : |
| Total Pages | : 57 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Testing for Stock Market Contagion Book in PDF, ePub and Kindle
Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile regression framework that is robust to model misspecification. Unlike conventional correlation-based tests, the proposed quantile contagion test allows us to investigate the stock market contagion at various quantiles, not only at the mean. We show that the quantile contagion test can detect a contagion effect that is possibly ignored by correlation-based tests. A wide range of simulation studies show that the proposed test is superior to the correlation-based tests in terms of size and power. We compare our test with correlation-based tests using three real data sets: the 1994 Tequila crisis, the 1997 Asia crisis, and the 2001 Argentina crisis. Empirical results show substantial differences between two types of tests.
| Author | : Sébastien Wälti |
| Publisher | : |
| Total Pages | : 40 |
| Release | : 2003 |
| Genre | : |
| ISBN | : |
Download Testing for Contagion in International Financial Markets Book in PDF, ePub and Kindle
This paper tests for the existence of contagion during the 1997/98 Asian crisis. We interpret contagion as a significant change in the way that country-specific shocks are transmitted across international stock markets. Using the full-information framework of Favero and Giavazzi (2002) we find that the null hypothesis of no contagion is widely rejected. We also uncover evidence of an asymmetric transmission of shocks. Since our results contrast with those obtained by Rigobon (2001, 2002) using a limited-information methodology we present Monte Carlo simulations which show that certain necessary conditions must be satisfied for this method to have power. For parameter values in line with our econometric estimations we conclude that the power of the limited-information approach remains relatively low.
| Author | : Kristin Forbes |
| Publisher | : |
| Total Pages | : 54 |
| Release | : 1999 |
| Genre | : Contagion (Social psychology) |
| ISBN | : |
Download No Contagion, Only Interdependence Book in PDF, ePub and Kindle
This paper examines stock market co-movements. It begins with a discussion of several conceptual issues involved in measuring these movements and how to test for contagion. Standard tests examine if cross-market correlation in stock market returns increase during a period of crisis. The measure of cross-market correlations central to this standard analysis, however, is biased. The unadjusted correlation coefficient is conditional on market movements over the time period under consideration, so that during a period of turmoil when stock market volatility increases, standard estimates of cross-market correlations will be biased upward. It is straightforward to adjust the correlation coefficient to correct for this bias. The remainder of the paper applies these concepts to test for stock market contagion during the 1997 East Asian crises, the 1994 Mexican peso collapse, and the 1987 U.S. stock market crash. In each of these cases, tests based on the unadjusted correlation coefficients find evidence of contagion in several countries, while tests based on the adjusted coefficients find virtually no contagion. This suggests that high market co-movements during these periods were a continuation of strong cross-market linkages. In other words, during these three crises there was no contagion, only interdependence.
| Author | : Scott M. R. Mahadeo |
| Publisher | : |
| Total Pages | : |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Download Contagion Testing in Embryonic Markets Under Alternative Stressful US Market Scenarios Book in PDF, ePub and Kindle
We consolidate alternative ways for identifying stable and stressful scenarios in the S&P 500 market to construct contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into discrete conditions of: (1) Tranquil versus turbulent volatility; (2) Bull versus bear market phases; (3) Normal periods versus asset bubbles and crises. We analyse the relationship between the S&P 500 and major emerging Caribbean stock markets and find that, despite the prominent trade related exposure to the US, financial linkages are much less pronounced than might be expected outside of the Great Recession.
| Author | : Stijn Claessens |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 461 |
| Release | : 2013-04-17 |
| Genre | : Business & Economics |
| ISBN | : 1475733143 |
Download International Financial Contagion Book in PDF, ePub and Kindle
No sooner had the Asian crisis broken out in 1997 than the witch-hunt started. With great indignation every Asian economy pointed fingers. They were innocent bystanders. The fundamental reason for the crisis was this or that - most prominently contagion - but also the decline in exports of the new commodities (high-tech goods), the steep rise of the dollar, speculators, etc. The prominent question, of course, is whether contagion could really have been the key factor and, if so, what are the channels and mechanisms through which it operated in such a powerful manner. The question is obvious because until 1997, Asia's economies were generally believed to be immensely successful, stable and well managed. This question is of great importance not only in understanding just what happened, but also in shaping policies. In a world of pure contagion, i.e. when innocent bystanders are caught up and trampled by events not of their making and when consequences go far beyond ordinary international shocks, countries will need to look for better protective policies in the future. In such a world, the international financial system will need to change in order to offer better preventive and reactive policy measures to help avoid, or at least contain, financial crises.
| Author | : Giancarlo Corsetti |
| Publisher | : |
| Total Pages | : 42 |
| Release | : 2002 |
| Genre | : Financial crises |
| ISBN | : |
Download Some Contagion, Some Interdependence Book in PDF, ePub and Kindle
| Author | : Giancarlo Corsetti |
| Publisher | : |
| Total Pages | : 38 |
| Release | : 2003 |
| Genre | : |
| ISBN | : |
Download Correlation Analysis of Financial Contagion Book in PDF, ePub and Kindle
This paper builds a general test of contagion in financial markets based on bivariate correlation analysis - a test that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in the data generating process of rates of return. Using a factor model of returns as theoretical framework, we nest leading contributions in the literature as special cases of our test. We show that, while the literature on correlation analysis of contagion is successful in controlling for a potential bias induced by changes in the variance of global shocks, current tests are conditional on a specific yet arbitrary assumption about the variance of country specific shocks. Our results suggest that, for a number of pairs of country stock markets, the hypothesis of 'no contagion' can be rejected only if the variance of country specific shocks is set to levels that are not consistent with the evidence.
| Author | : Mardi Dungey |
| Publisher | : |
| Total Pages | : 24 |
| Release | : 2001 |
| Genre | : Contagion (Social psychology) |
| ISBN | : |
Download Testing for Contagion Using Correlations Book in PDF, ePub and Kindle
| Author | : Mr.Taimur Baig |
| Publisher | : International Monetary Fund |
| Total Pages | : 60 |
| Release | : 1998-11-01 |
| Genre | : Business & Economics |
| ISBN | : 1451857284 |
Download Financial Market Contagion in the Asian Crisis Book in PDF, ePub and Kindle
This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. Cross-country correlations among currencies and sovereign spreads are found to increase significantly during the crisis period, whereas the equity market correlations offer mixed evidence. A set of dummy variables using daily news is constructed to capture the impact of own-country and cross-border news on the markets. After controlling for own-country news and other fundamentals, the paper shows evidence of cross-border contagion in the currency and equity markets.
| Author | : Khositkulporn Paramin |
| Publisher | : LAP Lambert Academic Publishing |
| Total Pages | : 212 |
| Release | : 2015-11-24 |
| Genre | : |
| ISBN | : 9783659800658 |
Download The Factors Affecting Stock Market Volatility and Contagion Book in PDF, ePub and Kindle
The Factors Affecting Stock Market Volatility and Contagion: Thailand and South-East Asia Evidence provide an understanding of the dominant factors affecting stock market volatility in Thailand and measure the contagion effects of stock market volatility in Thailand on other South-East Asian stock markets. The study adopted quantitative methods in testing the research hypotheses. The multiple regression and GARCH models have been employed to examine the factors affecting Thailand stock market volatility. Also, the correlation coefficient and Granger causality tests were employed to hypothesis testing for contagion in South-East Asia. The study results indicate that the movements of major stock markets and political uncertainty have direct effects on stock market volatility, while the movements of oil prices have an indirect effect on firm performance. The contagion tests imply that the South-East Asian stock markets have a strong interrelationship in regards to market integration. However, the implementation of economic strategies and adaption of financial systems and regulation in each country can bring the stock market independent.
