Franklin

Extreme Contagion in Equity Markets [electronic resource] Yao, James Y..

Author/Creator:
Yao, James Y.
Publication:
Washington, D.C. : International Monetary Fund, 2002.
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 02/98.
IMF Working Papers; Working Paper No. 02/98
Format/Description:
Government document
Book
1 online resource (25 p.)
Local subjects:
Asian crisis.
Bond.
Contagion.
Currency crisis.
Debt crisis.
Emerging stock markets.
Equity market.
Equity markets.
Financial contagion.
Financial crises.
Financial crisis.
Financial institutions.
Financial instruments.
Financial integration.
Financial market.
Financial markets.
Financial system.
General.
Hedge.
Hedge funds.
International capital.
International capital markets.
International finance.
International Financial Markets.
International financial system.
Stock market.
Stock markets.
Stock returns.
Systemic risk.
Hong Kong Special Administrative Region of China.
Japan.
United States.
Summary:
This study uses bivariate extremal dependence measures, based on the number of equity return co-exceedances in two markets, to quantify both negative and positive equity returns contagion in mature and emerging equity markets during the past decade. The results indicate (a) higher contagion for negative returns than for positive returns; (b) a secular increase in contagion in Latin America not matched in other regions; (c) global increases in contagion following the 1998 financial crises; and (d) that the use of simple correlations as a proxy for contagion could be misleading, as the former exhibit low correlation with extremal dependence measures of contagion.
Notes:
Description based on print version record.
Contributor:
Chan-Lau, Jorge A.
Mathieson, Donald J.
Yao, James Y.
Other format:
Print Version:
ISBN:
1451852150:
9781451852158
ISSN:
1018-5941
Publisher Number:
10.5089/9781451852158.001
Access Restriction:
Restricted for use by site license.
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