Dynamic correlation analysis of financial contagion: Evidence from Asian markets

By T. C. Chiang, B. Jeon, Huming Li. 2007

927 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/af9d6adb34100632d63f08b35ba1715614f1d7bd

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Citations in the corpus

The Outbreak of COVID-19 and Stock Market Responses: An Event Study and Panel Data Analysis for G-20 Countries (2020, background): “Chiang et al. (2007) investigated a high-degree correlation among the Asian countries during periods of major events.”
Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets (2011, neutral): “The first papers that empirically implement such a definition base their measure of crossmarket linkages on correlations via time series models; for instance, Caporale et al. (2005) and Chiang et al. (2007).”
Can Bitcoin be a diversifier, hedge or safe haven tool? (2019, background): “Popper (2015), Dyhrberg (2016a) and Bouri, Molnar, Azzi, Roubaud, and Hagfors (2017b) among others found that Bitcoin acted as a hedge and a diversifer, and consequently regarded Bitcoin as the digital gold. Klein, Hien, and Walther (2018), on the other hand, found that Bitcoin behaves the exact opp”
Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets (2010, background): “As pointed out by Chiang et al. (2007), the main problem of”
Stock Market Integration For The Transition Economies: Time‐Varying Conditional Correlation Approach (2008, neutral): “Several studies have found that international correlation tends to increase in periods of high turbulence (e.g. Longin and Solnik, 1995; Ramchad and Susmel, 1998; Chiang et al., 2007).”
An empirical analysis of herd behavior in global stock markets (2010, background): “Chiang et al. (2007) report that the contagion effect took place during the early stage of the Asian financial crisis and that herding behavior dominated the later stage of the crisis, as the bad news became widespread and investors realized the full impact of the crisis.”
Determinants of stock market comovements among US and emerging economies during the US financial crisis (2013, methodology): “jumps in DCCs at the beginning of the US financial crisis, which is evidence of contagion (Chiang et al., 2007).”