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A new class of tests of contagion with applications

Fry, Renée; Martin, Vance L.; Tang, Chrismin

Description

A new class of tests of contagion is proposed identifying transmission channels of financial market crises through changes in higher order moments of the distribution of returns such as coskewness. Applying the framework to test for contagion in real estate and equity markets following the Hong Kong crisis in 1997–1998 and the U.S. subprime crisis in 2007 shows that the coskewness-based tests of contagion detect additional channels not identified by the correlation-based tests. Implications of...[Show more]

CollectionsANU Research Publications
Date published: 2010-07
Type: Journal article
URI: http://hdl.handle.net/1885/11654
Source: Journal of Business and Economic Statistics 28.3 (2010):423-437
DOI: 10.1198/jbes.2010.06060

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