No Contagion, Only Interdependence : Measuring Stock Market Comovements  

Oleh:

Rigobon, Roberto ; Forbes, Kristin J.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 5 (2002), page 2223-2262.
Topik: contagion effect; studies; securities markets; volatility; economic crisis; correlation analysis; global economy; many countries
Fulltext: p 2223.pdf (875.66KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Heteroskedasticity biases tests for contagion based on correlation coefficients. When contagion is defined as a significant increase in market comovement after a shock to one country, previous work suggests contagion occurred during recent crises. This paper shows that correlation coefficients are conditional on market volatility. Under certain assumptions, it is possible to adjust for this bias. Using this adjustment, there was virtually no increase in unconditional correlation coefficients (i.e., no contagion) during the 1997 Asian crisis, 1994 Mexican devaluation, and 1987 US market crash. There is a high level of market comovement in all periods, however, which is called interdependence.

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