Extreme Contagion in Equity Markets

Extreme Contagion in Equity Markets
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... READ MORE...

Publication date: May 2002
ISBN 9781451852158
$15.00

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