Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises
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]
|Collections||ANU Research Publications|
|Source:||North American Journal of Economics and Finance 18.2(2007): 155–174|
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