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Dynamic correlation analysis of financial contagion: evidence from Asian markets
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http://hdl.handle.net/1860/2614
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| Title: | Dynamic correlation analysis of financial contagion: evidence from Asian markets |
| Authors: | Chiang, Thomas C.
Jeon, Bang Nam
Li, Huimin |
| Keywords: | Financial Contagion
Asian Crises
Herding
Dynamic Conditional Correlation
Sovereign Credit-Rating |
| Issue Date: | 2007 |
| Publisher: | Elsevier |
| Citation: | Journal of International Money and Finance, 26(7): pp. 1206-1228. |
| Abstract: | We apply a dynamic conditional correlation model to nine Asian daily stock-return data from 1996 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), and the second shows a continued high correlation (herding). Statistical analysis of the correlation coefficients shows 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. |
| URI: | http://dx.doi.org/10.1016/j.jimonfin.2007.06.005
http://hdl.handle.net/1860/2614 |
| Appears in Collections: | Faculty Research and Publications (Accounting and Tax)
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