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Quantitative measurement of the contagion effect between US and Chinese stock market during the financial crisis

โœ Scribed by Chen, Wang; Wei, Yu; Zhang, Bangzheng; Yu, Jiang

Book ID
124113643
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
743 KB
Volume
410
Category
Article
ISSN
0378-4371

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In this paper we examine whether during the 1997 East Asian crisis there was any contagion from the four largest economies in the region (Thailand, Indonesia, Korea and Malaysia) to a number of developed countries (Japan, UK, Germany and France). Following Forbes and Rigobon, we test for contagion a