Stock market linkages and financial contagion: A cobreaking analysis |
| |
Authors: | Niklas Ahlgren Jan Antell |
| |
Institution: | Hanken School of Economics, Department of Finance and Statistics, P.O. Box 479, Arkadiagatan 22, 00101 Helsingfors, Finland |
| |
Abstract: | Financial crises have shown that dramatic movements in one financial market can have a powerful impact on other markets. This paper proposes to use cobreaking to model comovements between stock markets during crises and to test for contagion. We find evidence of cobreaking between developed stock markets. In emerging stock markets, the evidence of cobreaking is mainly due to the non-financial event of the World Trade Center terrorist attacks in 2001. We find evidence of short-term linkages during times of crisis but not contagion. These short-term linkages have important implications for investors, risk managers and regulators. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|