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Detecting contagion with correlation: Volatility and timing matter

Dungey, Mardi; Yalama, Abdullah

Description

The detection of contagion effects is sensitive to controlling for volatility changes between periods of tranquility and periods of crisis. An additional consideration is the use of synchronised data for geographically separated markets. We demonstrate how these effects can combine in a practical application to detecting contagion in European equity markets in the period of 2007-2009. Without controlling for volatility clustering synchronization does not apparently matter. Once volatility...[Show more]

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
URI: http://hdl.handle.net/1885/70027
Source: International Journal of Applied Business and Economic Research

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