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Contagion in Emerging Market Equities

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Date
2011-04-15
Authors
Li, Richard
Zhu, Yiwen
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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 thesis
Department
Economics
Subject
Equities
Emerging Markets
Contagion
Dispersion
Thai Crisis
Credit Crisis
Permalink
https://hdl.handle.net/10161/3403
Citation
Li, Richard; & Zhu, Yiwen (2011). Contagion in Emerging Market Equities. Honors thesis, Duke University. Retrieved from https://hdl.handle.net/10161/3403.
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This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 United States License.

Rights for Collection: Undergraduate Honors Theses and Student papers


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