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Identifying Contagion: A Unifying Approach

Lookup NU author(s): Dr Deeya Sewraj, Professor Bartosz GebkaORCiD, Dr Robert AndersonORCiD

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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY-NC-ND).

Abstract

We propose a new approach to identify financial contagion. Our method accounts for possible trends in market linkages, and allows a description of the contagion process over the crisis period. Results for a sample of 25 stock markets show that the impact of the 2007-9 crisis on domestic markets from financial shocks originating in the US was largely heterogeneous. Markets are found to experience the crisis differently, regardless of whether these effects are found to be contagious. Contagion was also less common than could be expected based on a more commonly employed model, which assumes constant market interdependencies within subperiods.

Publication metadata

Author(s): Sewraj D, Gebka B, Anderson RDJ

Publication type: Article

Publication status: Published

Journal: Journal of International Financial Markets, Institutions and Money

Year: 2018

Volume: 55

Pages: 224-240

Print publication date: 01/07/2018

Online publication date: 24/02/2018

Acceptance date: 22/02/2018

Date deposited: 19/03/2018

ISSN (print): 1042-4431

ISSN (electronic): 1873-0612

Publisher: Elsevier BV

URL: https://doi.org/10.1016/j.intfin.2018.02.012

DOI: 10.1016/j.intfin.2018.02.012

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