International Financial Contagion

Dungey, Mardi; Tambakis, Demosthenes N.

doi:10.1093/acprof:oso/9780195187182.003.0001

Cited by 6 publications

(11 citation statements)

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“…Contagion between asset markets during financial crises is defined as the transmission of shocks via newly opened channels that are associated with crisis events (Dungey et al, 2005). Contagion between capital markets has been subject to extensive empirical research.…”

Section: Bogazici Journalmentioning

confidence: 99%

“…Contagion between capital markets has been subject to extensive empirical research. Most of the related research focuses on volatility spillovers in the context of financial crises (Bekaert and Harvey, 2003, Forbes and Rigobon, 2002, Dungey et al, 2005. Understanding contagion effects is vital for portfolio diversification and hedging strategies (i.e., investor behavior).…”

Section: Bogazici Journalmentioning

confidence: 99%

“…Although these authors do not use "contagion" in their research, they offer an insight into contagion research. Contagion is described as the transmission of unanticipated local shocks from one country to another (Dungey et al, 2005).…”

Section: Literature Reviewmentioning

confidence: 99%

“…Empirical implementation of specific tests of contagion are more recent: the most prominent papers include those of Dungey and Martin (2007) ;Bae, Karolyi and Stulz (2003) ;Bekaert, Harvey and Ng (2003); Forbes and Rigobon (2002) ;Corsetti, Pericoli and Sbracia (2002);andEichengreen, Rose andWyplosz (1995, 1996). Dungey et al (2005) showed how many of these tests can be nested within a factor model framework and highlighted the differences between these tests.…”

Section: Literature Reviewmentioning

confidence: 99%

“…[1] NIKKEI-225 is used as an additional conditioning variable for testing contagion among Turkey, the US and the UK (see Dungey et al, 2005 We calculate index returns as follows:…”

Section: Datamentioning

confidence: 99%

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International Financial Contagion: The Role of the UK

Yalama¹

2012

boun

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The purpose of this study is to consider the role of the United Kingdom in the effect of transferring the global credit crisis from the United States to Turkey. This study compares the results of the most commonly used contagion models, which are known as Forbes and Rigobon model and Dungey, Fry, Gonzalez-Hermosillo and Martin model. Moreover, this study presents evidence regarding the manner of transmission of the crisis. This study confirmed that there is a strong contagion effect from the United States to Turkey and the United Kingdom. The importance of the United Kingdom in transferring this shock is captured in the DFGM model more accurately than in the FR model. Finally, the global credit crisis is transferred to Turkey through financial linkages rather than trade linkages. The existence and direction of contagion create an opportunity for investors to use international hedging strategies and asset allocation.

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Section: Bogazici Journalmentioning

confidence: 99%

Section: Bogazici Journalmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

“…[1] NIKKEI-225 is used as an additional conditioning variable for testing contagion among Turkey, the US and the UK (see Dungey et al, 2005 We calculate index returns as follows:…”

Section: Datamentioning

confidence: 99%

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International Financial Contagion: The Role of the UK

Yalama¹

2012

boun

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How Has the Behavior of Cross‐Market Correlations Altered During Financial and Debt Crises?

Demiralay

Ulusoy

2016

The Manchester School

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In this paper, we analyze the time‐varying behavior of cross‐market correlations between emerging and developed markets. For this, we conduct the Asymmetric Dynamic Conditional Correlation ‐EGARCH model, which captures asymmetries both in the conditional variances and correlations. Our main results suggest the upward patterns of correlations, reflecting the increased equity market integration over time, and also provide that asymmetric behavior in the correlations is not as common as in the volatilities. We further analyze time‐paths of the correlations during the two latest crises; namely global financial crisis (GFC) and European Sovereign Debt Crisis to investigate whether the crises induce contagion effects and significant structural shifts. The empirical findings reveal that the correlation levels significantly increase and the emerging markets recouple in the latest two turmoil episodes, providing evidence of contagion incidences. Moreover, we examine whether the dynamic correlations possess abrupt changes in times of the crisis via multiple structural breakpoint tests and demonstrate that substantial regime shifts in the conditional correlations are present during both the GFC and the ESDC. Our results provide insights and have potential implications for global investors to optimize their portfolios as well as for authorities to handle contagion risk and prevent its adverse impacts.

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An Introduction to Financial Crises

Allen

Gale

2007

SSRN Journal

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International Financial Contagion

Cited by 6 publications

References 0 publications

International Financial Contagion: The Role of the UK

International Financial Contagion: The Role of the UK

How Has the Behavior of Cross‐Market Correlations Altered During Financial and Debt Crises?

An Introduction to Financial Crises

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