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Essays on financial contagion and re...

Li, Huimin.

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Essays on financial contagion and regime shifts.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on financial contagion and regime shifts./
Author:	Li, Huimin.
Description:	118 p.
Notes:	Source: Dissertation Abstracts International, Volume: 65-04, Section: A, page: 1480.
Contained By:	Dissertation Abstracts International65-04A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3129095
ISBN:	0496763555

Essays on financial contagion and regime shifts.
Li, Huimin.

Essays on financial contagion and regime shifts. - 118 p.

Source: Dissertation Abstracts International, Volume: 65-04, Section: A, page: 1480.

Thesis (Ph.D.)--Drexel University, 2004.

This study reexamines the Asian stock market contagion by employing a dynamic multivariate GARCH model. Based on a commonly held definition, contagion is defined as a significant increase in comovements between asset returns across markets. By analyzing the correlation coefficient series, this paper identifies two phases of the Asian crisis. The first phase shows an increase in correlation (contagion) and the second phase shows continued high correlation (herding). Statistical analysis of correlation coefficients shows both the level and the variance shifts, providing evidence of contagion effect and casting some doubt on the benefit of international portfolio diversifications during the crises.

ISBN: 0496763555Subjects--Topical Terms:

626650
Economics, Finance.

Essays on financial contagion and regime shifts.
LDR:03066nmm 2200301 4500 001 1849535
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008 130614s2004 eng d
020 $a 0496763555
035 $a (UnM)AAI3129095
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040 $a UnM $c UnM
100 1 $a Li, Huimin. $3 1937489
245 1 0 $a Essays on financial contagion and regime shifts.
300 $a 118 p.
500 $a Source: Dissertation Abstracts International, Volume: 65-04, Section: A, page: 1480.
500 $a Advisers: Bang N. Jeon; Thomas C. Chiang.
502 $a Thesis (Ph.D.)--Drexel University, 2004.
520 $a This study reexamines the Asian stock market contagion by employing a dynamic multivariate GARCH model. Based on a commonly held definition, contagion is defined as a significant increase in comovements between asset returns across markets. By analyzing the correlation coefficient series, this paper identifies two phases of the Asian crisis. The first phase shows an increase in correlation (contagion) and the second phase shows continued high correlation (herding). Statistical analysis of correlation coefficients shows both the level and the variance shifts, providing evidence of contagion effect and casting some doubt on the benefit of international portfolio diversifications during the crises.
520 $a This study further explores the contagion effects through sovereign rating changes during the crisis, i.e. how the sovereign rating changes in one country affected its own stock markets and stock markets in other Asian crisis countries. Using the sovereign rating changes announced by Standard & Poor's during the period from 1990 to 2003, the panel estimation finds that overall, rating changes do not show strong evidence of a pro-cyclical tendency during the crisis period. However, the contagion effect was found to exist in the sense that rating changes in one country affect the stock markets in other crisis countries. During the crisis, the contagion effect was coming from the instances of upgrades; no comparable evidence has been found in the cases of downgrades. One possible explanation is the market expectations in the downside of the market. Event study further confirms the contagion effects during the crisis period.
520 $a Lastly, this study contributes to the literature by studying the contagion effects from the currency markets to the stock markets. The non-linear relationship between exchange rate changes and stock returns is examined by using various specifications of Markov regime-switching models. The models endogenously distinguish two different regimes. The exchange rate exposure of the national stock returns is mainly through the real channel in tranquil period and through financial channel in volatile periods.
590 $a School code: 0065.
650 4 $a Economics, Finance. $3 626650
690 $a 0508
710 2 0 $a Drexel University. $3 1018434
773 0 $t Dissertation Abstracts International $g 65-04A.
790 1 0 $a Jeon, Bang N., $e advisor
790 1 0 $a Chiang, Thomas C., $e advisor
790 $a 0065
791 $a Ph.D.
792 $a 2004
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3129095