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Correlation, contagion, and Asian evidence

McKibbin, Renee Anne; Dungey, Mardi; Martin, Vance L.

Description

This paper examines the empirical literature on financial market contagion in Asia during the 1997–98 financial crises with respect to existing tests of contagion. Empirical evidence shows that contagion affects both developed and emerging markets and does not seem to vary with the relative fundamental economic health or trade and financial linkages of the Asian economies. Contagion occurs across both asset types and geographical borders and tends to have larger effects in equity markets...[Show more]

CollectionsANU Research Publications
Date published: 2006
Type: Journal article
URI: http://hdl.handle.net/1885/11678
Source: Asian Economic Papers 5.2 (2006): 32-72
DOI: 10.1162/asep.2006.5.2.32

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