Test for Contagion with Applications to Equity Markets
Yu Ling Hsiao
Yu Ling Hsiao
Available Online May 2016.
- https://doi.org/10.2991/icpel-16.2016.6How to use a DOI?
- Contagion, Correlation change test, Coskewness change test, Financial Crisis
- 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.
- 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 - Proceedings of the 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 -