TY  - BOOK
AU  - Yao,James Y.
AU  - Chan-Lau,Jorge A.
AU  - Mathieson,Donald J.
AU  - Yao,James Y.
TI  - Extreme Contagion in Equity Markets
T2  - IMF Working Papers; Working Paper
SN  - 1451852150 :
SN  - 1018-5941
PY  - 2002///
CY  - Washington, D.C.
PB  - International Monetary Fund
KW  - Contagion
KW  - imf
KW  - Econometric and Statistical Methods: General
KW  - Extreme Value Theory
KW  - Financial Markets
KW  - General Financial Markets: General (Includes Measurement and Data)
KW  - International Finance: Genera
KW  - Hong Kong Special Administrative Region of China
KW  - Japan
KW  - United States
N2  - This study uses bivariate extremal dependence measures, based on the number of equity return co-exceedances in two markets, to quantify both negative and positive equity returns contagion in mature and emerging equity markets during the past decade. The results indicate (a) higher contagion for negative returns than for positive returns; (b) a secular increase in contagion in Latin America not matched in other regions; (c) global increases in contagion following the 1998 financial crises; and (d) that the use of simple correlations as a proxy for contagion could be misleading, as the former exhibit low correlation with extremal dependence measures of contagion
UR  - http://elibrary.imf.org/view/IMF001/02280-9781451852158/02280-9781451852158/02280-9781451852158.xml
UR  - http://www.imfbookstore.org/IMFORG/9781451852158
ER  -