Contagion in Emerging Market Equities
Abstract
Adapting the definition from Forbes (2002), financial contagion is the significant
increase in asset return correlation or transmission of volatility after a shock has
occurred to a country or region. In this paper, we analyze country and regional equity
data during the Thai Crisis of 1997 and the Credit Crisis of 2007. We derive regression
models for equity returns and cross-sectional variance (dispersion) to determine relationships
in these variables between key countries during the crisis periods. We find evidence
of contagion between countries during the Thai Crisis and to lesser extent during
the Credit Crisis.
Description
Honors Thesis, advised by Emma Rasiel and Aino Levonmaa
Type
Honors thesisDepartment
EconomicsPermalink
https://hdl.handle.net/10161/3403Citation
Li, Richard; & Zhu, Yiwen (2011). Contagion in Emerging Market Equities. Honors thesis, Duke University. Retrieved from https://hdl.handle.net/10161/3403.Collections
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