No Contagion, Only Interdependence: Measuring Stock Market Comovements

Keywords

Stock market, Economics, Volatility (finance), Financial economics, Stock market crash

References

• The Asian Flu and Russian Virus: Firm-Level Evidence on How Crises are Transmitted InternationallyKristin J. Forbes — 2000
• Contagious Currency Crises: First TestsBarry Eichengreen, Andrew K. Rose, Charles Wyplosz — 1996
• Interest Rate Volatility, Capital Controls, and ContagionSebastián Edwards — 1998
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• The Excess Co-Movement of Commodity PricesRobert S. Pindyck, Julio J. Rotemberg — 1988
• International Financial Contagion: An overview of the Issues and the BookS. Claessens, Kristin Forbes — 2001
• Contagion: Why Crises Spread and How This Can Be StoppedS. Claessens, R. Dornbusch, Y. Park — 2001

Cited by

• Contagion in Emerging Market EquitiesRichard Li, Yiwen Zhu — 2011
• The Association of China Stock Index with Japan and USMeng-Long Shih, Shu-Hua Hsiao, Fang-Sheng Chen — 2008
• Flight-to-Quality phenomenon as a source of financial instabilityMariya Gubareva — 2013
• Time Varying Herding and Anti-Herding Behavior and Dynamic Conditional Correlations in European Market IndicesStavros Stavroyiannis, Vassilios Babalos, Leonidas Zarangas — 2013
• Analysis of contagion from the dynamic conditional correlation model with Markov Regime switchingPedro Nielsen Rotta, Pedro L. Valls Pereira — 2016
• Sovereign Risk Premiums in CEEC Countries: A Non-Parametric Matching MethodFrédéric Laurin — 2012
• Asymmetric Effects of Return and Volatility on Correlation between International Equity MarketsAbderrahim Taamouti, Georges Tsafack — 2009
• Crises in the Global Economy from Tulips to TodayLarry Neal, Marc Weidenmier — 2003
• International stock market liquidityChristof W. Stahel — 2004
• Does economic inequality cause financial crisesB. Manning — 2014
• Macro-Economic and Financial Determinants of Comovement across Global Real Estate Security MarketsSimon Stevenson — 2016
• Corporate Bond Rating Changes, Cross-Market Information Transfer and the Spillover Effect in the United KingdomHasniza Mohd Taib — 2010
• Modeling Asymmetric Dependence of Financial Returns with Multivariate Dynamic CopulasValentin Braun, Martin Grizska — 2011
• Essays on Systemic Risk and Stock Market ContagionClaudio Nicolai Wewel — 2014
• How Important is Foreign Ownership for International Stock Co-Movement?Söhnke M. Bartram, John M. Griffin, David T. Ng — 2009
• Essays in Empirical FinanceMagnus Andersson — 2007
• Determinants of Chinese Stock Market ReturnsFei Wang — 2012
• Testing the contagion hypotheses using multivariate volatility modelsEmerson Fernandes Marçal, Pedro L. Valls Pereira — 2008
• Conditional Correlations and Volatility Spillovers between Oil Price and OECD Stock index: a Multivariate AnalysisAnna Cretì, Khaled Guesmi, Ilyes Abid — 2014
• The Factors Affecting Stock Market Volatility and ContagionParamin Khositkulporn — 2015

Related papers

• Financial Market Contagion in the Asian CrisisTaimur Baig, Ilan Goldfajn — 1999
• Contagious Currency CrisesBarry Eichengreen, Andrew Rose, Charles Wyplosz — 1996
• On crises, contagion, and confusionGraciela Kaminsky, Carmen Reinhart — 2000
• Contagion: Monsoonal Effects, Spillovers, and Jumps Between Multiple EquilibriaPaul R. Masson — 1998
• Rational contagion and the globalization of securities marketsGuillermo A. Calvo, Enrique G. Mendoza — 2000
• A Rational Expectations Model of Financial ContagionLaura E. Kodres, Matthew Pritsker — 2002
• What Triggers Market Jitters? A Chronicle of the Asian CrisisGraciela Kaminsky — 1999
• Contagion and Trade: Why Are Currency Crises Regional?Reuven Glick, Andrew Rose — 1998