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Measurement of Contagion in Banks' Equity Prices · Study

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PreprintMeasurement of Contagion in Banks' Equity Prices

Reint Gropp2004

OA

Preprintgreen2004

Measurement of Contagion in Banks' Equity Prices

Reint Gropp · Gerard A. Moerman

21 citations·0/0 files stored·SSRN Electronic Journal

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Banking stability, regulation, efficiency Global Financial Crisis and Policies Financial Risk and Volatility Modeling

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References

2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 2001Extreme Correlation of International Equity Markets 1990Correlations in Price Changes and Volatility across International Stock Markets 2002Asymmetric correlations of equity portfolios 1989Transmission of Volatility Between Stock Markets 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility 2000A New Approach to Measuring Financial Contagion 1998Volatility and cross correlation across major stock markets

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2004Measurement of contagion in banks’ equity pricesarticle · 12 shared references 2005Empirical Studies on Asset Pricing and Banking in the Euro Areathesis · 12 shared references 2008Extreme US stock market fluctuations in the wake of 9/11article · 8 shared references 2006Price and Volatility Transmission across Bordersarticle · 8 shared references 2004Asset Market Linkages in Crisis Periodsarticle · 7 shared references 2000A New Approach to Measuring Financial Contagionpreprint · 7 shared references

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Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations21

Files0 public / 0

ShelfBanking stability, regulation, efficiency

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doi10.2139/ssrn.487482

openalex_workW2153301324

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