Market Integration and Contagion

Abstract

Contagion is usually defined as correlation between markets in excess of what would be implied by economic fundamentals; however, there is considerable disagreement regarding the definitions of the fundamentals, how the fundamentals might differ across countries, and the mechanisms that link the fundamentals to asset returns.Our research takes, as a starting point, a twofactor model with time-varying betas that accommodates various degrees of market integration between different markets.We apply this model to stock returns in three different regions: Europe, South-East Asia, and Latin America.In addition to providing new insights on contagion during crisis periods, we document patterns through time in world and regional market integration and measure the proportion of volatility driven by global, regional, and local factors.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 122 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.