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Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises

McKibbin, Renee Anne; Dungey, Mardi; Gonz´alez-Hermosillo, Brenda; Martin, Vance L.

Description

The Russian and LTCM financial crises in 1998 originated in bond markets, but rapidly transmitted through international equity markets. A multi-factor model of financial markets with multiple regimes is used to estimate the transmission effects in equity markets due to global, regional and contagious transmission mechanisms during the crises. Using a panel of 10 emerging and industrial financial markets, the empirical results show that contagion is significant and widespread in international...[Show more]

CollectionsANU Research Publications
Date published: 2007-06-02
Type: Journal article
URI: http://hdl.handle.net/1885/11693
Source: North American Journal of Economics and Finance 18.2(2007): 155–174
DOI: 10.1016/j.najef.2007.05.003

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