What question did this study set out to answer?

To establish a quantitative framework for measuring financial market contagion based on the joint occurrence of extreme return shocks across countries and regions.

July 1, 2003Review of Financial Studies

A New Approach to Measuring Financial Contagion

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To establish a quantitative framework for measuring financial market contagion based on the joint occurrence of extreme return shocks across countries and regions.
Evaluated daily equity return series from emerging markets during the 1990s.
Modeled the simultaneous occurrence of extreme regional and cross-regional market shocks using multinomial logistic regression to identify key economic determinants.
Contagion was demonstrated to be predictable, driven systematically by regional interest rates, currency exchange rate movements, and conditional stock return volatility.
Statistical tests provided mixed evidence regarding whether contagion is significantly stronger during extreme negative returns compared to extreme positive returns.

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Implication

Econometric analysis reveals predictable financial contagion driven by macro indicators in emerging markets during the 1990s, highlighting how regional shocks propagate across borders.

Cite This Study

Bae et al. (2003) studied this question.

synapsesocial.com/papers/6a0402368235fcdee82b423a https://doi.org/10.1093/rfs/hhg012

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Implication

Econometric analysis reveals predictable financial contagion driven by macro indicators in emerging markets during the 1990s, highlighting how regional shocks propagate across borders.

A New Approach to Measuring Financial Contagion

Key Points

Discussion

Implication

Cite This Study

A New Approach to Measuring Financial Contagion

Key Points

Discussion

Implication

Cite This Study

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