There is now a reasonably large body of empirical work testing for the existence of
contagion during financial crises. A range of different methodologies are in use, making it …

This paper builds on a standard factor model of stock market returns to reconsider recent
empirical literature on contagion in financial markets based on bivariate correlation analysis …

We study the effect of a sovereign credit rating change of one country on the sovereign credit
spreads of other countries from 1991 to 2000. We find evidence of spillover effects; that is, a …

This paper investigates contagion to European stock markets associated with seven big
financial shocks between 1997 and 2002. We apply methods using heteroscedasticity …

This paper attempts to explore the underlying causes of twin crises experienced by Turkey in
November 2000 and February 2001. We study an extensive set of leading indicators of …

随着国际经济一体化程度的提高, 经济风险的波及效应也日益显著. 20 世纪90
年代以来爆发的国际金融危机, 通过金融市场体系对各国产生的传染效应便是典型的表现之一 …

The explosion and dramatic reversal of capital flows to emerging markets in the 1990s have
ignited a heated debate, with many arguing that globalization has gone too far and that …

Using daily data from the Asian currency crisis, the present paper examines high‐frequency
contagion effects among six Asian countries. The 'origin'(of exchange rate depreciation, or …

I review theory and empirical evidence on herd behaviour by banks. I consider both rational
and behavioural aspects of herding and offer a simple taxonomy of effects that narrow banks …

This paper develops a test of contagion in financial markets by considering a measure of co-
movement based on the notion of common cycles to detect short-run co-movements …