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Shocks and Systemic Influences: Contagion in Global Equity Markets in 1998

Citation

Dungey, MH and Fry, R and Gonzalez-Hermosillo, B and Vance, M, Shocks and Systemic Influences: Contagion in Global Equity Markets in 1998, North American Journal of Economics & Finance, 18, (2) pp. 155-174. ISSN 1062-9408 (2007) [Refereed Article]

DOI: doi:10.1016/j.najef.2007.05.003

Abstract

The Russian and LTCM financial crises in 1998 originated in bond markets, but rapidly transmitted through international equity markets. A multi-factor model of financial markets with multiple regimes is used to estimate the transmission effects in equity markets due to global, regional and contagious transmission mechanisms during the crises. Using a panel of 10 emerging and industrial financial markets, the empirical results show that contagion is significant and widespread in international equity markets during the LTCM crisis, but is more selective during the Russian crisis. Contagion effects in equities differ to those previously noted in bond markets for this period. © 2007 Elsevier Inc. All rights reserved.

Item Details

Item Type:Refereed Article
Research Division:Commerce, Management, Tourism and Services
Research Group:Banking, Finance and Investment
Research Field:Financial Econometrics
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Monetary Policy
Author:Dungey, MH (Professor Mardi Dungey)
ID Code:57067
Year Published:2007
Deposited By:Economics and Finance
Deposited On:2009-06-16
Last Modified:2017-12-06
Downloads:0

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