Contagion

The global financial crisis: An analysis of the spillover effects on African stock markets

“…This shift in parameters is known as 'contagion' in the literature; see Edwards (2000) for the alternative definitions of contagion. The existing literature is subtle in interchangeably using two terms, 'interdependence' and 'contagion'.…”

Are Foreign Institutional Investors Good for Emerging Markets?

“…It seems plausible -although it has not been directly proved -that local investors in emerging markets regard these new risks as more obscure than traditional risks (see also Edwards, 2000). The result of Chari and Henry (2002), i.e.…”

The 2007-2009 Financial Crisis on Emerging Markets: Quantitative Identification of Crisis in Continent-based Regions

“…This effect is often justified by the authors as the consequence of contagion, but undoubtedly contagion is not simply revealed by increased correlation of market returns during a crisis period. Edwards (2000) stressed that contagion has been defined in the economic literature in many different ways, including as any transmission of shocks across countries. He distinguished among three mechanisms through which economic shocks are propagated across countries: (1) global disturbances that affect all (or most) countries in the world, (2) shocks coming from a related country, and (3) all instances not covered by the two previous cases, in which contagion is defined as a residual, and thus as a situation where the extent and magnitude of the international transmission of shocks exceeds what was expected by market participants, for more details see Edwards (2000) and the references therein.…”

“…Edwards (2000) stressed that contagion has been defined in the economic literature in many different ways, including as any transmission of shocks across countries. He distinguished among three mechanisms through which economic shocks are propagated across countries: (1) global disturbances that affect all (or most) countries in the world, (2) shocks coming from a related country, and (3) all instances not covered by the two previous cases, in which contagion is defined as a residual, and thus as a situation where the extent and magnitude of the international transmission of shocks exceeds what was expected by market participants, for more details see Edwards (2000) and the references therein. Pericoli and Sbracia (2003) presented five definitions of contagion adopted by the literature and the corresponding measures used in empirical work.…”