A spatial contagion measure for financial time series

Durante, Fabrizio; Foscolo, Enrico; Jaworski, Piotr; Wang, Hao

doi:10.1016/j.eswa.2013.12.020

Cited by 41 publications

(26 citation statements)

References 28 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Hence, contagion may be understood as the difference between the correlation of very low negative index returns (in the lower tail of the bivariate distribution of returns) and that of returns from around their medians (in the central part of the return distribution). This is the basic idea of the spatial contagion measure proposed by Durante and Jaworski (2010) (see also Durante et al, 2014).…”

Section: Contagion Measure Between Two Marketsmentioning

confidence: 99%

Spatial contagion between stock markets in Central Europe

Czapkiewicz

Wójtowicz

2017

manage

View full text Add to dashboard Cite

Section: Contagion Measure Between Two Marketsmentioning

confidence: 99%

Spatial contagion between stock markets in Central Europe

Czapkiewicz

Wójtowicz

2017

manage

View full text Add to dashboard Cite

“…In this article, we concentrate on the regional features of the financial contagion, and thus we follow the literatures [8,58,59] to adopt an undirected symmetric measure. Following the definition of Gallegati [3], contagion occurs when the cross-linkages between markets increase significantly after a financial shock.…”

Section: Contagion Test and Measurementioning

confidence: 99%

“…As globalization is one of the main features of the contemporary world economy, researching financial contagion is helpful for investors and policymakers [7][8][9]. This field has already attracted many studies.…”

Section: Introductionmentioning

confidence: 99%

Mutual Information Based Analysis for the Distribution of Financial Contagion in Stock Markets

Wang¹,

Xia²

2017

Discrete Dynamics in Nature and Society

View full text Add to dashboard Cite

This paper applies mutual information to research the distribution of financial contagion in global stock markets during the US subprime crisis. First, we symbolize the daily logarithmic stock returns based on their quantiles. Then, the mutual information of the stock indices is calculated and the block bootstrap approach is adopted to test the financial contagion. We analyze not only the contagion distribution during the entire crisis period but also its evolution over different stages by using the sliding window method. The empirical results prove the widespread existence of financial contagion and show that markets impacted by contagion tend to cluster geographically. The distribution of the contagion strength is positively skewed and leptokurtic. The average contagion strength is low at the beginning and then witnesses an uptrend. It has larger values in the middle stage and declines in the late phase of the crisis. Meanwhile, the cross-regional contagion between Europe and America is stronger than that between either America and Asia or Europe and Asia. Europe is found to be the region most deeply impacted by the contagion, whereas Asia is the least affected.

show abstract

“…If there is no difference in the conditional correlation between tail and central set, then SCI α = 0, meaning that no shift of the dependence structure has been realized. As for the test statistic, in order to prevent the arbitrary choice of α, Durante et al (2014) suggest an average measure of contagion, where the index SCI α is evaluated on an interval of threshold values.…”

Section: What Financial Contagion Is and How To Detect Itmentioning

confidence: 99%

Dependence between Stock Returns of Italian Banks and the Sovereign Risk

2017

Self Cite

View full text Add to dashboard Cite

Abstract:We analyze the interdependence between the government yield spread and stock returns of the banking sector in Italy during the years [2003][2004][2005][2006][2007][2008][2009][2010][2011][2012][2013][2014][2015]. In a first step, we find that the Spearman's rank correlation between the yield spread and the Italian banking system changed significantly after September 2008. According to this finding, we split the time window in two sub-periods. While we show that the dependence between the banking industry and changes in the yield spread increased significantly in the second time interval, we find no contagion effects from changes in the yield spread to returns of the banking system.

show abstract

A spatial contagion measure for financial time series

Cited by 41 publications

References 28 publications

Spatial contagion between stock markets in Central Europe

Spatial contagion between stock markets in Central Europe

Mutual Information Based Analysis for the Distribution of Financial Contagion in Stock Markets

Dependence between Stock Returns of Italian Banks and the Sovereign Risk

Contact Info

Product

Resources

About