Extreme contagion in equity markets /

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Bibliographic Details
Author / Creator:Chan-Lau, Jorge A.
Imprint:[Washington, D.C.] : International Monetary Fund, ©2002.
Description:1 online resource (23 pages).
Series:IMF working paper ; WP/02/98
IMF working paper ; WP/02/98.
Subject:Stocks -- Econometric models.
Rate of return -- Econometric models.
Financial crises -- Econometric models.
Taux de rendement -- Modèles économétriques.
Financial crises -- Econometric models.
Rate of return -- Econometric models.
Stocks -- Econometric models.
Electronic books.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/12496429
Hidden Bibliographic Details
Other authors / contributors:Mathieson, Donald J.
Yao, James Y.
International Monetary Fund. International Capital Markets Department.
Notes:Includes bibliographical references (page 23).
Restrictions unspecified
Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
Summary:This study uses bivariate extremal dependence measures, based on the number of equity return co-exceedances in two markets, to quantify both negative and positive equity returns contagion in mature and emerging equity markets during the past decade. The results indicate (a) higher contagion for negative returns than for positive returns; (b) a secular increase in contagion in Latin America not matched in other regions; (c) global increases in contagion following the 1998 financial crises; and (d) that the use of simple correlations as a proxy for contagion could be misleading, as the former exhibit low correlation with extremal dependence measures of contagion.
Other form:Print version: Chan-Lau, Jorge A. Extreme contagion in equity markets. [Washington, D.C.] : International Monetary Fund, ©2002