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Measuring stock market contagion: Local or common currency returns? · Study

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ArticleMeasuring stock market contagion: Local or common currency returns?

Mark Mink2014

Article2014

Measuring stock market contagion: Local or common currency returns?

43 citations·0/0 files stored·Emerging Markets Review

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

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References

2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1995Is the correlation in international equity returns constant: 1960–1990?1970International Diversification of Investment Portfolios 2005Market Integration and Contagion 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows 2003A New Approach to Measuring Financial Contagion 2007Measuring financial contagion: A Copula approach 2005‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion

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2016International contagion through financial versus non-financial firms 2017Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance 2017Financial contagion: review of empirical literature 2020Are Islamic stocks immune from financial crises? Evidence from contagion tests 2014Evidence of contagion in global REITs investment 2021Spatial financial contagion during the COVID-19 outbreak: Local correlation approach

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Year2014

Typearticle

Published2014-12-03

VenueEmerging Markets Review

ISSN-L1566-0141

Languageen

Citations43

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ememar.2014.11.003

openalex_workW2081492014

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2023The directional spillover effects and time-frequency nexus between stock markets, cryptocurrency, and investor sentiment during the COVID-19 pandemic