Year: 2003
Type: report
Abstract: Contagion is usually defined as correlation between markets in excess of what would be implied by economic fundamentals; however, there is considerable disagreement regarding the definitions of the fundamentals, how the fundamentals might differ across countries, and the mechanisms that link the fundamentals to asset returns.Our research takes, as a starting point, a twofactor model with time-varying betas that accommodates various degrees of market integration between different markets.We apply this model to stock returns in three different regions: Europe, South-East Asia, and Latin America.In addition to providing new insights on contagion during crisis periods, we document patterns through time in world and regional market integration and measure the proportion of volatility driven by global, regional, and local factors.
DOI: 10.3386/w9510
Authors: Geert Bekaert, Campbell Harvey
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
Funder: National Science Foundation
OpenAlex ID: W2744848893