Endogenous contagion – a panel data analysis
View / Open Files
Authors
Baur, Dirk
Fry, Renee
Publication Date
2006Series
CFAP Working Paper
25
Publisher
CFAP, Cambridge Judge Business School, University of Cambridge
Language
English
Type
Working Paper
Metadata
Show full item recordCitation
Baur, D., & Fry, R. (2006). Endogenous contagion – a panel data analysis. http://www.dspace.cam.ac.uk/handle/1810/225155
Abstract
This paper proposes a panel data model to analyze contagion in a multivariate framework. The model distinguishes between vulnerability and contagion, and provides a time series of contagion. The most important feature of the model is the endogenous determination of contagion without an a priori and potentially arbitrary specification of the crisis period. In addition, the model can distinguish between positive and negative contagion, and no assumption needs to be made about the source of the crisis. Eleven stock markets from the Asian region are analyzed during the Asian financial crisis, and contagion is found to be significant in four broad periods. These episodes are split equally between positive and negative movements. Anecdotal evidence is matched to the significant incidences of contagion, and it is found that events surrounding Hong Kong equity markets are key drivers of contagion.
Keywords
contagion, vulnerability, interdependence, endogenous crisis period, common movements, panel data, fixed time effects
Identifiers
This record's URL: http://www.dspace.cam.ac.uk/handle/1810/225155
Statistics
Recommended or similar items
The current recommendation prototype on the Apollo Repository will be turned off on 03 February 2023. Although the pilot has been fruitful for both parties, the service provider IKVA is focusing on horizon scanning products and so the recommender service can no longer be supported. We recognise the importance of recommender services in supporting research discovery and are evaluating offerings from other service providers. If you would like to offer feedback on this decision please contact us on: support@repository.cam.ac.uk