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No Contagion, Only Interdependence: Measuring Stock Market Comovements
Abstract
Heteroskedasticity biases tests for contagion based on correlation coefficients. When contagion is defined as a significant increase in market comovement after a shock to one country, previous work suggests contagion occurred during recent crises. This paper shows that correlation coefficients are conditional on market volatility. Under certain assumptions, it is possible to adjust for this bias. Using this adjustment, there was virtually no increase in unconditional correlation coefficients (i.e., no contagion) during the 1997 Asian crisis, 1994 Mexican devaluation, and 1987 U.S. market crash. There is a high level of market comovement in all periods, however, which we call interdependence.
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Cites
Correlations in price changes and volatility across international stock markets
Hamao, Y., Masulis, R. W., & Ng, V. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.2.281 · Cited by 1,926
Cited by
Synchronization in complex networks
Arenas, A., Díaz-Guilera, A., Kurths, J., Moreno, Y., & Zhou, C. (2008) · Physics Reports · doi:10.1016/j.physrep.2008.09.002 · Cited by 3,713
The Distribution of Realized Exchange Rate Volatility
Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2001) · Journal of the American Statistical Association · doi:10.1198/016214501750332965 · Cited by 2,104
Is gold a safe haven? International evidence
Baur, D. G., & McDermott, T. K. (2010) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2009.12.008 · Cited by 1,947
Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*
Baruník, J., & Křehlík, T. (2018) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nby001 · Cited by 1,766
Dynamic correlation analysis of financial contagion: Evidence from Asian markets
Chiang, T. C., Jeon, B. N., & Li, H. (2007) · Journal of International Money and Finance · doi:10.1016/j.jimonfin.2007.06.005 · Cited by 894
Metadata
- Authors
- Forbes, K. J., & Rigobon, R.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2002-10
- Volume
- 57
- Issue
- 5
- Pages
- 2223-2261
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3021709961
- Cited by
- 4,615
- References
- 1
- FWCI
- 142.08
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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