Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion

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No contagion, only globalization and flight to quality (2012, background): “Empirical studies (Billio and Caporin, 2010; Corsetti et al., 2005; De Santis and Gérard, 1997; Hossein and Nossman, 2011; Lin et al., 1994; Wälti, 2003) find that correlations increased in equity markets during hectic periods, pointing to the presence of contagion.”
Determinants of stock market comovements among US and emerging economies during the US financial crisis (2013, background): “Corsetti et al. (2005), however, point out that Forbes and Rigobon's test is biased towards the null hypothesis of no contagion, and report stronger evidence of contagion with an alternative test.”
Contagion and Banking Crisis - International Evidence for 2007-2009 (2015, background): “The approach is related to the latent factor specifications used in the literature reviews of Corsetti et al. (2005) and Dungey et al. (2005) who both show how other frameworks to test contagion are nested within this general specification.”
The global financial crisis: An analysis of the spillover effects on African stock markets (2014, methodology): “Accordingly, this paper uses the new method created by Diebold and Yilmaz (2012). Antonakakis (2012), Awartani and Maghyereh (2013) and Duncan and Kabundi (2013) adopt the Diebold and Yilmaz (2012) methodology.”