Work

Unravelling financial market linkages during crises

Year: 2007

Type: article

Abstract: An empirical model of multiple asset classes across countries is formulated in a latent factor framework. A special feature of the model is that financial market linkages during periods of financial crises, including spillover and contagion effects, are formally specified. The model also captures a range of common factors including global shocks, country and market shocks, and idiosyncratic shocks. The framework is applied to modelling linkages between currency and equity markets during the East Asian financial crisis of 1997–98. The results provide strong evidence that cross‐market links are important. Spillovers have a relatively larger effect on volatility than contagion, but both are statistically significant. Copyright © 2007 John Wiley & Sons, Ltd.

Source: Journal of Applied Econometrics

DOI: 10.1002/jae.936

Authors: Mardi Dungey, Vance L. Martin

Institutions: Australian National University, University of Cambridge, The University of Melbourne

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2137200489

FWCI: 17.15

Cites: 92

Cited by: 196

Related to: 10