Contagion in the Presence of Stochastic Interdependence

Ball, Clifford A.; Torous, Walter N.

doi:10.2139/ssrn.930640

Cited by 8 publications

(12 citation statements)

References 35 publications

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“…Hence most of the interesting information about the co-movements of x t and y t is provided by F − t (y|x) for θ ≤ 0.5 and by F + t (y|x) for θ > 0.5. 3 For hedging purposes, we would be interested in the likelihood that the hedge asset returns are high when the returns on the asset to be hedged are low. We would define G − t (y|x) ≡ Pr(y t ≥ y|x t ≤ x) and G + t (y|x) ≡ Pr(y t ≤ y|x t ≥ x).The conditional probability of interest is then…”

Section: The Comovement Boxmentioning

confidence: 99%

Measuring Comovements by Regression Quantiles

Cappiello

Gérard

Kadareja

et al. 2014

Journal of Financial Econometrics

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in C O N T E N T S Abstract 4Non-technical summary 5

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Section: The Comovement Boxmentioning

confidence: 99%

Measuring Comovements by Regression Quantiles

Cappiello

Gérard

Kadareja

et al. 2014

Journal of Financial Econometrics

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“…Lastly, Ball and Torous (2006) consider three possible durations for the crisis period: 1 year, 2 years and 3 years.…”

Section: Asia 1997mentioning

confidence: 99%

No contagion, only globalization and flight to quality

Brière

Chapelle

Szafarz

2012

Journal of International Money and Finance

103

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In this article, tests for globalization and contagion are separated using an ex ante definition of crises, and contagion tests are neutralized with respect to globalization effects. A large database is constructed to study the stability of correlation matrices for four asset classes: equities, government bonds, investment-grade corporate bonds, and high-yield corporate bonds, in four geographical zones. Overall, the results confirm the instability of correlations and point to a combination of globalization and flight to quality, while emphasizing that contagion on the equity markets appears as an artifact due to globalization. AbstractIn this article, tests for globalization and contagion are separated using an ex ante definition of crises, and contagion tests are neutralized with respect to globalization effects. A large database is constructed to study the stability of correlation matrices for four asset classes: equities, government bonds, investment-grade corporate bonds, and high-yield corporate bonds, in four geographical zones. Overall, the results confirm the instability of correlations and point to a combination of globalization and flight to quality, while emphasizing that contagion on the equity markets appears as an artifact due to globalization.

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“…This helps capturing integration during non-tranquil and tranquil times (Ball and Torous, 2006). Based on the ongoing debate on whether or not the SC represents a robust measure of integration (Carrieri et al, 2007; indicator of financial integration.…”

Section: Introductionmentioning

confidence: 99%

Which market integration measure?

Billio

Donadelli

Paradiso

et al. 2017

Journal of Banking & Finance

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This paper compares the dynamics of the financial integration process as described by different empirical approaches. To this end, a wide range of measures accounting for several dimensions of integration is employed. In addition, we evaluate the performance of each measure by relying on an established international finance result, i.e., increasing financial integration leads to declining international portfolio diversification benefits. Using monthly equity market data for three different country groups (i.e., developed markets, emerging markets, developed plus emerging markets) and a dynamic indicator of international portfolio diversification benefits, we find that (i) all measures give rise to a very similar long-run integration pattern; (ii) the standard correlation explains variations in diversification benefits as well or better than more sophisticated measures. These findings are robust to a battery of robustness checks.

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Contagion in the Presence of Stochastic Interdependence

Cited by 8 publications

References 35 publications

Measuring Comovements by Regression Quantiles

Measuring Comovements by Regression Quantiles

No contagion, only globalization and flight to quality

Which market integration measure?

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