期刊
JOURNAL OF INTERNATIONAL MONEY AND FINANCE
卷 26, 期 7, 页码 1206-1228出版社
ELSEVIER SCI LTD
DOI: 10.1016/j.jimonfin.2007.06.005
关键词
financial contagion; Asian crises; herding; dynamic conditional correlation; sovereign credit rating
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. (c) 2007 Elsevier Ltd. All rights reserved.
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