The current global financial crisis: Do Asian stock markets show contagion or interdependence effects?

Journal of Asian Economics - Tập 23 - Trang 616-626 - 2012
Lucía Morales1, Bernadette Andreosso-O’Callaghan2
1Dublin Institute of Technology, Department of Accounting and Finance, Aungier Street, Dublin 2, Dublin, Ireland
2Department of Economics, University of Limerick, Ireland

Tài liệu tham khảo

Agenor, 1999 Baig, 1999, Financial market contagion in the Asian crisis, IMF Staff Papers, 46, 167 Bekaert, 2005, Market integration and contagion, The Journal of Business, 78, 1, 10.1086/426519 Berndt, 1974, Estimation and inference in nonlinear structural models, Annals of Economic and Social Measurement, 3, 653 Calvo, G., & Reinhart, C. (1996). Capital flows to Latin America: Is there evidence of Contagio effects. MPRA paper 7124, University Library of Munich, Germany. Corsetti, 1999, What caused the Asian currency and financial crisis?, Japan and the World Economy, 11, 305, 10.1016/S0922-1425(99)00019-5 Diebold, F. X., & Yilmaz, K. (2005). Volatility contagion, University of Pennsylvania and NBER and Tusiad-Koç University Economic Research Forum, Working paper. Dungey, M., Fry, R. A., Gonzalez-Hermisillo, B., & Martin, V. L. (2002). International contagion effects from the Russian crisis and the LTCM near-collapse. IMF working paper WP/02/74. Dungey, M., Fry, R. A., Gonzalez-Hermisillo, B., & Martin, V. L. (2003). Empirical modelling of contagion: A review of methodologies, mimeo, ANU and CERF. Dornbusch, 2000, Contagion: Understanding how it spreads, The World Bank Research Observer, 15, 167, 10.1093/wbro/15.2.177 Eichengreen, 1995, Exchange market Mayhem: The antecedents and aftermath of speculative attacks, Economic Policy, 21, 249, 10.2307/1344591 Favero, 2002, Is the international propagation of financial shocks non-linear?. Evidence from the ERM, Journal of International Economics, 51, 231, 10.1016/S0022-1996(01)00139-8 Frankel, 1998, Crisis contagion, and country funds Forbes, 2002, No contagion, only interdependence: Measuring stock market co-movement, Journal of Finance, 57, 2223, 10.1111/0022-1082.00494 Forbes, K., & Rigobon, R. (1999). Measuring contagion: Conceptual and empirical issues, mimeo, MIT. Iwatsubo, 2007, Measuring financial markets contagion using dually-traded stocks of Asian firms, Journal of Asian Economics, 18, 217, 10.1016/j.asieco.2006.12.009 Masson, P. (1998). Contagion: Mansoonal effects, spillovers, and jumps between multiple equilibria. Working paper IMF, WP/98/142. Valdes, & Rodrigo, O. (1997). Emerging markets contagion: Evidence and theory, mimeo.