Proceedings of the 2016 International Conference on Politics, Economics and Law (ICPEL 2016)

Test for Contagion with Applications to Equity Markets

Authors
Yu Ling Hsiao
Corresponding Author
Yu Ling Hsiao
Available Online May 2016.
DOI
https://doi.org/10.2991/icpel-16.2016.6How to use a DOI?
Keywords
Contagion, Correlation change test, Coskewness change test, Financial Crisis
Abstract
We empirically examine the episode of extraordinary turbulence in global financial markets during the subprime mortgage crisis of 2007. The analysis focuses on equity markets captured by daily movements for ten countries based on changes in correlation and coskewness of contagion tests. The results show that significant contagion effects are widespread from the US to both Asian and European equity markets based on coskewness change tests during the subprime mortgage crisis. Based on change in correlation test, there is significant evidence of contagion only to Asian equity markets during the subprime mortgage crisis.
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Proceedings
2016 International Conference on Politics, Economics and Law (ICPEL 2016)
Part of series
Advances in Social Science, Education and Humanities Research
Publication Date
May 2016
ISBN
978-94-6252-190-2
ISSN
2352-5398
DOI
https://doi.org/10.2991/icpel-16.2016.6How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Yu Ling Hsiao
PY  - 2016/05
DA  - 2016/05
TI  - Test for Contagion with Applications to Equity Markets
BT  - 2016 International Conference on Politics, Economics and Law (ICPEL 2016)
PB  - Atlantis Press
SP  - 23
EP  - 26
SN  - 2352-5398
UR  - https://doi.org/10.2991/icpel-16.2016.6
DO  - https://doi.org/10.2991/icpel-16.2016.6
ID  - Hsiao2016/05
ER  -