Journal article
Dynamic correlation analysis of financial contagion: Evidence from Asian markets
Journal of international money and finance, v 26(7), pp 1206-1228
01 Nov 2007
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
We apply a dynamic conditional-correlation model to nine Asian daily stock-return data series from 1990 to 2003. The empirical evidence confirms a contagion effect. By analyzing the correlation-coefficient series, we identify two phases of the Asian crisis. The first shows an increase in correlation (contagion); the second shows a continued high correlation (herding). Statistical analysis of the correlation coefficients also finds a shift in variance during the crisis period, casting doubt on the benefit of international portfolio diversification. Evidence shows that international sovereign credit-rating agencies play a significant role in shaping the structure of dynamic correlations in the Asian markets.
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Details
- Title
- Dynamic correlation analysis of financial contagion: Evidence from Asian markets
- Creators
- Thomas C. Chiang - Drexel University, FinanceBang Nam Jeon - Drexel University, Economics (School of Economics)Huimin Li - Drexel University
- Publication Details
- Journal of international money and finance, v 26(7), pp 1206-1228
- Publisher
- Elsevier
- Number of pages
- 23
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics); Accounting; Bennett S. LeBow College of Business; Finance
- Web of Science ID
- WOS:000250186300007
- Scopus ID
- 2-s2.0-34548287854
- Other Identifier
- 991014632314504721
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- Collaboration types
- Domestic collaboration
- Web of Science research areas
- Business, Finance