کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5087973 | 1375470 | 2007 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Measuring financial market contagion using dually-traded stocks of Asian firms
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper investigates stock market contagion between U.S. and Asian markets. To distinguish between contagion and fundamentals-based stock price comovement, we use NYSE-traded stocks issued by Asian firms. Among the results, first we find that the empirical results show significant bilateral contagion effects in returns and return volatility. Second, contagion effects from U.S. market to Asian markets are stronger than in the reverse direction, indicating that the U.S. market plays a major role in the transmission of information to foreign markets. Third, the intensity of contagion was significantly greater during the Asian financial crisis than after the crisis.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Asian Economics - Volume 18, Issue 1, February 2007, Pages 217-236
Journal: Journal of Asian Economics - Volume 18, Issue 1, February 2007, Pages 217-236
نویسندگان
Kentaro Iwatsubo, Kazuyuki Inagaki,