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Cited by 1,023

The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.

Market Integration and Contagion

Bekaert, Geert, Harvey, Campbell R., Ng, Angela·2005·The Journal of Business
DOI 10.1086/426519
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Abstract

Contagion is usually defined as correlation between markets in excess of what would be implied by economic fundamentals; however, there is considerable disagreement regarding the definitions of the fundamentals, how the fundamentals might differ across countries, and the mechanisms that link the fundamentals to asset returns.Our research takes, as a starting point, a twofactor model with time-varying betas that accommodates various degrees of market integration between different markets.We apply this model to stock returns in three different regions: Europe, South-East Asia, and Latin America.In addition to providing new insights on contagion during crisis periods, we document patterns through time in world and regional market integration and measure the proportion of volatility driven by global, regional, and local factors.

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Metadata

Authors
Bekaert, G., Harvey, C. R., & Ng, A.
Venue
The Journal of Business
Publisher
University of Chicago Press
Published
2005-01
Volume
78
Issue
1
Pages
39-69
ISSN
  • 0021-9398 (ISSN-L)
  • 1537-5374
DOI
10.1086/426519
OpenAlex
W3023758731
Cited by
1,023
References
2
FWCI
61.34
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Market Integration and Contagion. https://app.cochat.ai/papers/10.1086/426519
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Bekaert, G., Harvey, C. R., & Ng, A. (2005). Market Integration and Contagion. The Journal of Business. https://doi.org/10.1086/426519

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.