‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion

This paper builds on a standard factor model of stock market returns to reconsider recent empirical literature on contagion in financial markets based on bivariate correlation analysis. According to this literature, contagion is defined as a structural break in the linear transmission mechanism of f...

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Bibliographic details
Volume:	24
Main Author:	Corsetti, Giancarlo Pericoli, Marcello Sbracia, Massimo
Format:	Journal Article
Language:	English
Zielgruppe:	Professional Academic
Place of publication:	OXFORD Elsevier Ltd 2005 ELSEVIER SCI LTD Elsevier Elsevier B.V
published in:	Journal of international money and finance Vol. 24; no. 8; pp. 1177 - 1199
ORCID:	0000-0001-8965-9853
Data of publication:	2005
ISSN:	0261-5606 1873-0639
EISSN:	1873-0639
Discipline:	Business
Series:	Journal of International Money and Finance
Subjects:	Contagion Factor model Correlation analysis Financial crisis Business & Economics Business, Finance Social Sciences Analysis Correlation (Statistics) Forecasts and trends Financial markets Stock markets F30 Contagion C10 Factor model Correlation analysis G10 G15 Financial crisis contagion correlation analysis CURRENCY factor model CRISIS financial crisis
Online Access:	available in Bonn?
Database:	Social Sciences Citation Index Web of Science - Social Sciences Citation Index - 2005 Web of Knowledge Web of Science RePEc RePEc IDEAS CrossRef Academic OneFile (A&I only) Database information Databases - DBIS