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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 |
| UTAS 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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