Stock Market Interdependence, Contagion, and the U.S. Financial Crisis: The Case of Emerging and Frontier Markets

By Lalith P. Samarakoon. 2011

267 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/42d73e4b67bb348a20656ebe89ad40d557e202ce

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Citations in the corpus

Equity Market Contagion During the Global Financial Crisis: Evidence from the World's Eight Largest Economies (2014, unknown): “We use an Iterative Cumulative Sum of Square (ICSS) algorithm based on the CUSUM test to detect the structural change in variance of an individual return series (Inclan and Tiao, 1994; Sanso et al., 2004) and first applied to crisis period detection by Wang and Nguyen Thi (2012). The ICSS approach a”
Global Financial Crisis and Emerging Stock Market Contagion: A Multivariate FIAPARCH-DCC Approach (2013, background): “Samarakoon (2011) shows evidence of contagion among USA and frontier equity markets, but not among USA and emerging markets by constructing various shock models.”
On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010 (2014, result): “Aloui et al. (2011), Kenourgios et al. (2011), Samarakoon (2011), and Dufrénot et al. (2011) among others find indeed an increase in dependence between international stock markets, and similar findings are reported by Coudert et al. (2011) and Bubak et al. (2011) for foreign exchange markets.”
Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis (2014, methodology): “…Tsui, 2003; Conrad et al., 2010; Aloui et al., 2011; Sedik and Williams, 2011) rolling bi-correlation tests (Lim et al., 2008), and copula theory (Ye et al., 2012; Rodriguez, 2007; Aloui et al., 2011; Samarakoon, 2011), were implemented to shed light on stock market co-movement and risk assessment.”
Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence? (2013, background): “…at the time when the economy is completely in the grip of downturn caused by the rapid transmission of shocks originating from neighboring or far distant country (see Aloui et al., 2011; Cappiello et al., 2006; Kim et al., 2005; Marçal et al., 2011; Phylaktis and Ravazzolo, 2005; Samarakoon, 2011).”