Dynamic correlation analysis of financial contagion: Evidence from Asian markets

We apply a dynamic conditional-correlation model to nine Asian daily stock-return data series from 1990 to 2003. The empirical evidence confirms a contagion effect. By analyzing the correlation-coefficient series, we identify two phases of the Asian crisis. The first shows an increase in correlation...

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Bibliographic details
Volume: 26
Main Author: Chiang, Thomas C
Jeon, Bang Nam
Li, Huimin
Format: Journal Article
Language: English
Zielgruppe: Professional
Academic
Place of publication: Elsevier Ltd 2007
Elsevier
Elsevier B.V
published in: Journal of international money and finance Vol. 26; no. 7; pp. 1206 - 1228
Data of publication: 2007
ISSN: 0261-5606
1873-0639
EISSN: 1873-0639
Discipline: Business
Series: Journal of International Money and Finance
Subjects:
F30
G15
Online Access: available in Bonn?
Database: RePEc
RePEc IDEAS
CrossRef
Academic OneFile (A&I only)
Database information Databases - DBIS