Conditional risk, return and contagion in the banking sector in asia

Brailsford, Tim; Lin, Shu-Ling; Penm, Jack Hw

doi:10.1016/j.ribaf.2005.03.001

Cited by 11 publications

(2 citation statements)

References 28 publications

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“…As regards method of measuring contagion, current studies offer many methods to measure the propagation of international shocks across countries. Forbes and Rigobon (2002) indicated that four different methodologies have been utilised to measure how shocks are transmitted internationally: cross market correlation coefficients (King & Wadhwani, 1990;Forbes & Rigobon, 2002;Collins & Biekpe, 2003;Lee et al, 2007;Lee & Wu, 2009;Asongu, 2012;Asongu, 2013); ARCH and GARCH models (Hamao et al, 1990;King et al, 1994;Bekaert et al, 2005;Brailsford et al, 2006;Lee & Wu, 2009;Saleem, 2009); cointegration techniques (Longin & Solnik, 1995;Kanas, 1998;Yang & Bessler, 2008); and direct estimation of specific transmission mechanisms (Forbes, 2000;Ang & Bekaert, 2002). To be consistent with the broad definition and the restrictive definition of contagion, the paper shall adopt Forbes and Rigobon (2002) and GJR-GARCH model for the examination of political earthquake.…”

Section: Definitions Of Contagionmentioning

confidence: 99%

Are there contagion effects in the REIT market? The case of Brexit

Liau

Wang

2020

Economic Research-Ekonomska Istraživanja

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On June 23, 2016 the Brexit event that tremendously surprised and shocked investors around the world was considered the largest black swan with a political earthquake in 2016, and even spread to the international financial market and real estate market. This study uses the heteroscedasticity biases based on correlation coefficients by Forbes and Rigobon and the GJR-GARCH model to examine the contagion effects of the Brexit event on global REITs markets. The data are collected at the daily interval covering the time period from June 23, 2015 to December 30, 2016. Evidence reveals that no REITs markets suffered from Brexit, suggesting no transmission of Brexit across REITs markets, even the neighbouring markets, is found.

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Section: Definitions Of Contagionmentioning

confidence: 99%

Are there contagion effects in the REIT market? The case of Brexit

Liau

Wang

2020

Economic Research-Ekonomska Istraživanja

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“…However, comovement and persistence properties of business cycles in the Asian countries were very similar to those of the group of seven developed nations' (G7) economies. Brailsford et al () investigate risk and return in the banking sector in Taiwan, China and Hong Kong. The study focuses on the risk–return relation in a conditional factor generalized autoregressive conditional heteroskedasticity‐in‐mean (GARCH‐M) framework that controls for time‐series effects.…”

Section: Introductionmentioning

confidence: 99%

Volatility Contagion in the Asian Crisis: New Evidence of Volatility Tail Dependence

Karmann

Herrera

2014

Review Development Economics

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We analyze empirically the existence and the extent of financial contagion by means of extreme value theory in the Asian crisis. We consider two key markets, the stock exchange and the foreign exchange using daily data in the period 1992-2001. We present several notions of financial contagion as a significant change in volatility tail dependence (VTD) among different assets. To this end, we introduce a semiparametric VTD estimator in the framework of regularly varying strictly stationary time series. Our analysis provides mixed evidence with respect to the "interdependence vs contagion" dispute. Within-country contagion is more likely to hold than across-country contagion. Because the latter is typically symmetric, contagion in stocks and foreign exchange coincide, in line with "portfolio rebalancing" arguments. Across-market contagion supports the "wake up call" argument of loss of confidence, as small countries' currency markets affect contagiously the stock markets of the larger economies.

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Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management

Tsuji

2020

International Review of Financial Analysis

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Conditional risk, return and contagion in the banking sector in asia

Cited by 11 publications

References 28 publications

Are there contagion effects in the REIT market? The case of Brexit

Are there contagion effects in the REIT market? The case of Brexit

Volatility Contagion in the Asian Crisis: New Evidence of Volatility Tail Dependence

Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management

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