Measuring financial market contagion using dually-traded stocks of Asian firms

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Abstract

This paper investigates stock market contagion between U.S. and Asian markets. To distinguish between contagion and fundamentals-based stock price comovement, we use NYSE-traded stocks issued by Asian firms. Among the results, first we find that the empirical results show significant bilateral contagion effects in returns and return volatility. Second, contagion effects from U.S. market to Asian markets are stronger than in the reverse direction, indicating that the U.S. market plays a major role in the transmission of information to foreign markets. Third, the intensity of contagion was significantly greater during the Asian financial crisis than after the crisis.

Journal

  • Journal of Asian Economics

    Journal of Asian Economics 18(1), 217-236, 2007-02

    Elsevier B.V.

Codes

  • NII Article ID (NAID)
    120000818808
  • NII NACSIS-CAT ID (NCID)
    AA10780670
  • Text Lang
    ENG
  • Article Type
    journal article
  • ISSN
    1049-0078
  • Data Source
    IR 
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