Dynamic correlation analysis of financial contagion: Evidence from Asian markets
We apply a dynamic conditional-correlation model to nine Asian daily stock-return data series from 1990 to 2003. The empirical evidence confirms a contagion effect. By analyzing the correlation-coefficient series, we identify two phases of the Asian crisis. The first shows an increase in correlation...
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| Veröffentlicht in: | Journal of international money and finance 2007-11, Vol.26 (7), p.1206-1228 |
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| container_title | Journal of international money and finance |
| container_volume | 26 |
| creator | Chiang, Thomas C. Jeon, Bang Nam Li, Huimin |
| description | We apply a dynamic conditional-correlation model to nine Asian daily stock-return data series from 1990 to 2003. The empirical evidence confirms a contagion effect. By analyzing the correlation-coefficient series, we identify two phases of the Asian crisis. The first shows an increase in correlation (contagion); the second shows a continued high correlation (herding). Statistical analysis of the correlation coefficients also finds a shift in variance during the crisis period, casting doubt on the benefit of international portfolio diversification. Evidence shows that international sovereign credit-rating agencies play a significant role in shaping the structure of dynamic correlations in the Asian markets. |
| doi_str_mv | 10.1016/j.jimonfin.2007.06.005 |
| format | Article |
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Evidence shows that international sovereign credit-rating agencies play a significant role in shaping the structure of dynamic correlations in the Asian markets.</description><subject>Asia</subject><subject>Asian crises</subject><subject>Contagion</subject><subject>Correlation</subject><subject>Correlation analysis</subject><subject>Data analysis</subject><subject>Dynamic conditional correlation</subject><subject>Economic crisis</subject><subject>Economic models</subject><subject>Financial contagion</subject><subject>Financial crisis</subject><subject>Herding</subject><subject>International finance</subject><subject>Market analysis</subject><subject>Portfolio diversification</subject><subject>Rates of return</subject><subject>Rating services</subject><subject>Sovereign credit rating</subject><subject>Stock returns</subject><subject>Studies</subject><issn>0261-5606</issn><issn>1873-0639</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2007</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNqFkE-P0zAQxSPESpRdvgKKOHBLGNv1xOXEaln-SJXYw3K2HGcMDold7LRSvz2OChy4cJgZS_N7T55XVS8ZtAwYvhnb0c8xOB9aDtC1gC2AfFJtmOpEAyh2T6sNcGSNRMBn1fOcRwBAFGpTPbw_BzN7W9uYEk1m8THUJpjpnH2uo6uLrQnWm6kQYTHfyv5tfX_yAwVLtUtxrm-zN6GeTfpBS76prpyZMr34Pa-rrx_uH-8-NfsvHz_f3e4bK7FbGil7Ro5vB7GTzEonGe97txU9573kjqwC2LEOse9JClRSOlQKh62SO-qdFdfV64vvIcWfR8qLnn22NE0mUDxmLbATXSdlAV_9A47xmMqFWXMm1ZaDUgXCC2RTzDmR04fky0VnzUCvKetR_0lZrylrQF1SLsL9RZjoQPaviogKvsInLQzH0s7rY1UK40ut81CK8eLEOFf6-zIXu3cXOyrRnTwlna1fkx58IrvoIfr__egXoMyi3A</recordid><startdate>20071101</startdate><enddate>20071101</enddate><creator>Chiang, Thomas C.</creator><creator>Jeon, Bang Nam</creator><creator>Li, Huimin</creator><general>Elsevier Ltd</general><general>Elsevier</general><general>Elsevier Science Ltd</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20071101</creationdate><title>Dynamic correlation analysis of financial contagion: Evidence from Asian markets</title><author>Chiang, Thomas C. ; Jeon, Bang Nam ; Li, Huimin</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c567t-55b1ef24d3951c5f512bbf43b22b52fec80091766bbe536855f6886d4859ebfc3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2007</creationdate><topic>Asia</topic><topic>Asian crises</topic><topic>Contagion</topic><topic>Correlation</topic><topic>Correlation analysis</topic><topic>Data analysis</topic><topic>Dynamic conditional correlation</topic><topic>Economic crisis</topic><topic>Economic models</topic><topic>Financial contagion</topic><topic>Financial crisis</topic><topic>Herding</topic><topic>International finance</topic><topic>Market analysis</topic><topic>Portfolio diversification</topic><topic>Rates of return</topic><topic>Rating services</topic><topic>Sovereign credit rating</topic><topic>Stock returns</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Chiang, Thomas C.</creatorcontrib><creatorcontrib>Jeon, Bang Nam</creatorcontrib><creatorcontrib>Li, Huimin</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of international money and finance</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Chiang, Thomas C.</au><au>Jeon, Bang Nam</au><au>Li, Huimin</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Dynamic correlation analysis of financial contagion: Evidence from Asian markets</atitle><jtitle>Journal of international money and finance</jtitle><date>2007-11-01</date><risdate>2007</risdate><volume>26</volume><issue>7</issue><spage>1206</spage><epage>1228</epage><pages>1206-1228</pages><issn>0261-5606</issn><eissn>1873-0639</eissn><abstract>We apply a dynamic conditional-correlation model to nine Asian daily stock-return data series from 1990 to 2003. 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| ispartof | Journal of international money and finance, 2007-11, Vol.26 (7), p.1206-1228 |
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| language | eng |
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| source | RePEc; Elsevier ScienceDirect Journals Complete |
| subjects | Asia Asian crises Contagion Correlation Correlation analysis Data analysis Dynamic conditional correlation Economic crisis Economic models Financial contagion Financial crisis Herding International finance Market analysis Portfolio diversification Rates of return Rating services Sovereign credit rating Stock returns Studies |
| title | Dynamic correlation analysis of financial contagion: Evidence from Asian markets |
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