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dc.contributor.authorYiu, Matthew S.
dc.contributor.authorHo, Wai-Yip Alex
dc.contributor.authorChoi, Daniel F.S.
dc.date.accessioned2010-06-14T04:33:27Z
dc.date.available2010-06-14T04:33:27Z
dc.date.issued2010
dc.identifier.citationYiu, M.S., Ho, W.-Y.A. & Choi, D.F.S. (2010). Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil. Applied Financial Economics, 20(4), 345-354.en_NZ
dc.identifier.urihttps://hdl.handle.net/10289/3987
dc.description.abstractThis article investigates the dynamics of correlation between 11 Asian stock markets and the US stock market. By utilizing the method of 'principal components', we identify a single latent factor that can explain a major portion of variation in the weekly returns of these 11 markets from 1993 to early 2009. We employ the asymmetric Dynamic Conditional Correlation (DCC) model to estimate the correlation between this Asian factor and the US stock market. We find that there is a mean shift in the estimated DCC in the period from late of 2007. We refer this finding as contagion from the US to the Asian markets. However, we find no such evidence of having contagion between the US and individual markets in Asia during the Asian financial crisis.en_NZ
dc.language.isoen
dc.publisherTaylor and Francisen_NZ
dc.relation.urihttp://www.informaworld.com/smpp/content~content=a918428382~db=all~jumptype=rssen_NZ
dc.subjecteconomicsen_NZ
dc.subjectmacroeconomicsen_NZ
dc.titleDynamic correlation analysis of financial contagion in Asian markets in global financial turmoilen_NZ
dc.typeJournal Articleen_NZ
dc.identifier.doi10.1080/09603100903494946en_NZ
dc.relation.isPartOfApplied Financial Economicsen_NZ
pubs.begin-page345en_NZ
pubs.elements-id34980
pubs.end-page354en_NZ
pubs.issue4en_NZ
pubs.volume20en_NZ


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