A new approach to measuring financial contagion

• 成果类型: Article
• 署名作者: Bae, KH; Karolyi, GA; Stulz, RM
• 署名单位: University System of Ohio; Ohio State University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhg012
• 发表日期: 2003
• 页码: 717
• 关键词: international transmission; volatility; RISK; crises; diversification; returns; MARKETS; JAPAN; move; US

摘要

This article proposes a new approach to evaluate contagion in financial markets. Our measure of contagion captures the coincidence of extreme return shocks across countries within a region and across regions. We characterize the extent of contagion, its economic significance, and its determinants using a multinomial logistic regression model. Applying our approach to daily returns of emerging markets during the 1990s, we find that contagion is predictable and depends on regional interest rates, exchange rate changes, and conditional stock return volatility. Evidence that contagion is stronger for extreme negative returns than for extreme positive returns is mixed.