Cobreaking of Stock Prices and Contagion

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http://urn.fi/URN:ISBN:978-952-232-000-1
Title: Cobreaking of Stock Prices and Contagion
Author: Ahlgren, Niklas; Antell, Jan
Contributor: Swedish School of Economics and Business Administration, Department of Finance and Statistics, Finance
Publisher: Svenska handelshögskolan
Date: 2008-07-04
Language: en
Belongs to series: Working Papers - 537
ISBN: 978-952-232-000-1
ISSN: 0357-4598
URI: http://hdl.handle.net/10227/284
http://urn.fi/URN:ISBN:978-952-232-000-1
Abstract: Financial crises have shown that dramatic movements in one financial market can have a powerful impact on other markets. The paper proposes to use cobreaking to model comovements between financial markets during crises and to test for conta-gion. It finds evidence of cobreaking between stock returns in developed markets. Finding cobreaking has implications for the diversification of international investments. For emerging mar-ket stock returns the evidence of cobreaking is mainly due to the non-financial event of the 9/11 terrorist attacks in 2001. Fi-nancial crises originating in one emerging market do not spread to other markets, i.e., no contagion.
Subject: cobreaking
contagion
international financial markets
Rights: This publication is copyrighted. You may download, display and print it for Your own personal use. Commercial use is prohibited.


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