Multivariate contagion and interdependence

Baur, Dirk G.; Fry, Renée

doi:10.1016/j.asieco.2009.04.008

Cited by 49 publications

(16 citation statements)

References 47 publications

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“…Many papers have used correlation-based tests (detecting the presence of contagion) to detect the unexpected changes in transmission from Asian markets to international markets where the Asian markets are used as the source of potentially contagious shocks. This was particularly true during the Asian financial crisis and the literature on this includes Forbes and Rigobon (2002), who use Hong Kong, China as the source of shocks to other markets in a bivariate correlation framework; Sander and Kleimeier (2003), who look for contagion within Asia and from Asia to other emerging markets using Granger causality tests; Baur and Schulze (2005), who consider quantile regressions in a coexceedance framework for shocks from Thailand and Hong Kong, China to other Asian and international markets; and Baur and Fry (2009), who use both cross-section and time series identification to estimate the spread of contagion within Asian markets. Much of the literature on measuring the contagion from the Asian financial crisis is reviewed in Dungey, Fry, and Martin (2004).…”

Section: Literature Reviewmentioning

confidence: 99%

Changing Vulnerability in Asia:

Dungey¹,

Kangogo²,

Volkov³

2019

ADB Economics Working Paper Series

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The views expressed in this publication are those of the authors and do not necessarily reflect the views and policies of the Asian Development Bank (ADB) or its Board of Governors or the governments they represent. ADB does not guarantee the accuracy of the data included in this publication and accepts no responsibility for any consequence of their use. The mention of specific companies or products of manufacturers does not imply that they are endorsed or recommended by ADB in preference to others of a similar nature that are not mentioned. By making any designation of or reference to a particular territory or geographic area, or by using the term "country" in this document, ADB does not intend to make any judgments as to the legal or other status of any territory or area.

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Section: Literature Reviewmentioning

confidence: 99%

Changing Vulnerability in Asia:

Dungey¹,

Kangogo²,

Volkov³

2019

ADB Economics Working Paper Series

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“…Hence, we argue that our contribution is primarily empirical in nature and to provide the first hand evidence on the economic relationship among six emerging markets which have full potential of being the future investment targets worldwide. Our results reveal that there are significant linkages among CIVETS stock markets 1 See for example, Karim et al [2], Aggarwal et al [3], Alagidede & Panagiotidis [4], Alkulaib et al [5], Angelidis [6], Baur & Fry [7], Chancharoechai & Dibooglu [8], Chang & Su [9], Click & Plummer [10], Edwards & Susmel [11], Evans & McMillan [12], Fernandez [13], Gebka & Serwa [14]. during the time period of our analysis.…”

Section: Introductionmentioning

confidence: 77%

Financial Integration and Portfolio Diversification: Evidence from CIVETS Stock Markets

Saleem¹,

Al-Hares²,

Ahmed³

2016

TEL

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This paper investigates the extent of financial integration among a new group of six frontier markets called "CIVETS" by utilizing the multivariate GARCH framework of Engle and Kroner [1]. These countries are expected to show sustainable growth in productivity and domestic consumption over the next decade and are considered as potential corridor for the international investor from portfolio diversification point of view. We utilize weekly stock market return series of all the CIVIETS nations, and results exhibit significant return and volatility spillovers among all the markets under investigation. Our results reveal that there are significant linkages among CIVETS stock markets during the time of our analysis. However, the direction of relationship is asymmetric depending on the countries in the model. We believe, CIVIETS stock markets have full potential of being the future investment targets worldwide.

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“…We finally implement Baur and Fry’s (2008) test of joint endogenous contagion. In contrast to other approaches, this method captures system‐wide contagion based on a panel data modelling of market linkages.…”

Section: Methodsmentioning

confidence: 99%

“…Error terms ε it are assumed to exhibit conditional autoregressive heteroscedasticity modelled via a GARCH (1,1) process. Following Baur and Fry (2008), equation (12) is estimated in two stages. A univariate GARCH process is first specified separately for each country.…”

Section: Methodsmentioning

confidence: 99%

Shift‐contagion Vulnerability in the MENA Stock Markets

Lagoarde‐Segot

Lucey

2009

World Economy

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As part of a broader financial development reform agenda, the Middle East and North Africa (MENA) countries have successfully expanded and revitalised their stock markets over the last decade. Whereas previous contributions have investigated efficiency, international integration and portfolio diversification opportunities, very little is known about these markets' vulnerability to external financial crises. In this paper, we investigate shift-contagion to the MENA region using a comprehensive battery of econometric tests for a number of different crises episodes: the 1997 Asian crisis, the 1998 Russian virus and its Brazilian sequel, the 2000 Turkish collapse, the 9/11 turmoil, the 2001 Argentinean crisis, the 2002 Enron/WorldCom scandal and the 2007-09 global financial crisis. We found that Turkey, Israel and Jordan were the most vulnerable markets over the 1997-2009 period, followed by Tunisia, Morocco, Egypt and Lebanon. Our results also highlight heterogeneous but increasing levels of sensitivity to external financial shocks, especially during the recent global financial crisis. From a financial point of view, this suggests that MENA-based diversification strategies may be relatively inefficient during periods of global turmoil. From an economic point of view, our results suggest that stock market development also involves potential destabilisation costs. This issue should be acknowledged and addressed by policymakers if these countries are to ensure a smooth transition towards international financial integration. Copyright 2009 The Authors. Journal compilation 2009 Blackwell Publishing Ltd.

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Multivariate contagion and interdependence

Cited by 49 publications

References 47 publications

Changing Vulnerability in Asia:

Changing Vulnerability in Asia:

Financial Integration and Portfolio Diversification: Evidence from CIVETS Stock Markets

Shift‐contagion Vulnerability in the MENA Stock Markets

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