Contagion Risks in Emerging Stock Markets: New Evidence from Asia and Latin America
Abstract
:1. Introduction
2. Review of Studies
3. Methodology
3.1. Dynamic Conditional Correlation Model
- is a k.1 column vector of residual returns of .
- is a k.k diagonal matrix of the time varying standard deviations of residual returns.
- is a column vector of standardized residual returns.
- is a k.k matrix of time-varying covariance.
- is a k.k matrix of time-varying conditional correlations.
- is the unconditional covariance of the standardized residuals resulting from the univariate GARCH(1,1) equation.
- and are positive parameters which satisfy + < 1.
3.2. Contagion Tests
- : =
- : >
4. Data and Descriptive Statistics
5. Empirical Findings
5.1. Dynamic Conditional Correlations
5.2. Contagion Tests
5.2.1. Contagion during the Mexican “Tequila” Crisis
5.2.2. Contagion during the Asian “flu” Crisis
5.2.3. Contagion during the US Subprime Crisis
6. Conclusions
Funding
Conflicts of Interest
References
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1. | The interdependence term here refers to a high level of market comovement in all periods. |
2. | See Pericoli and Sbracia (2003) for a review of contagion definition. |
3. | See Dornbusch et al. (2001). |
4. | See Forbes and Rigobon (2001). |
5. | Problem raised by Forbes and Rigobon (2002) as discussed above. |
6. | Lehman Brothers is the fourth largest U.S. Investment Bank, which filed for bankruptcy on 15 September 2008. |
7. | This result is consistent with the work of Cho and Parhizgari (2008). |
Stable Period 1 January 1993–16 December 1994 | Turnoil Period 19 December 1994–31 March 1995 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Mean | Std Dev | Skewness | Kurtosis | N | Mean | Std Dev | Skewness | Kurtosis | N | |
Asian emerging markets | ||||||||||
Indonesia | 0.1004 | 0.9222 | −0.4486 *** | 2.6498 *** | 511 | 0.0150 | 1.0549 | −0.6917 ** | 0.9270 | 75 |
Hong Kong | 0.0802 | 1.5790 | −0.2401 ** | 1.7596 *** | 511 | 0.0528 | 1.7043 | 0.1988 | 0.9235 | 75 |
Korea | 0.0929 | 1.2632 | 0.1009 | 1.1744 *** | 511 | −0.0995 | 1.3775 | −0.2445 | 0.6534 | 75 |
Malaysia | 0.0811 | 1.4140 | 0.0312 | 7.9182 *** | 511 | 0.0554 | 1.5279 | 0.5262 * | 1.9441 *** | 75 |
Philippines | 0.1901 | 1.1940 | −0.0740 | 1.4608 *** | 511 | −0.1428 | 1.4014 | −0.6524 ** | 1.1863 ** | 75 |
Singapore | 0.0548 | 0.8429 | 0.0260 | 3.6975 *** | 511 | −0.0522 | 1.0070 | −1.3139 *** | 5.2778 *** | 75 |
Taiwan | 0.1695 | 1.8683 | 0.3141 *** | 2.2656 *** | 511 | −0.0700 | 1.2675 | 0.0863 | 1.9812 *** | 75 |
Thailand | 0.1344 | 1.6338 | −0.1610 | 3.3274 *** | 511 | −0.0396 | 1.5237 | 0.0994 | 1.1044* | 75 |
Latin American emerging markets | ||||||||||
Argentina | 0.0628 | 1.7080 | −0.4579 *** | 1.7082 *** | 511 | −0.3181 | 3.4888 | 0.5977 ** | 1.2190 ** | 75 |
Chile | 0.1474 | 0.9804 | −0.1968 * | 1.4879 *** | 511 | −0.0893 | 1.9833 | 0.8658 *** | 2.1619 *** | 75 |
Colombia | 0.1092 | 0.8248 | 0.6607 *** | 4.2164 *** | 511 | 0.0963 | 0.7902 | 1.8254 *** | 4.5397 *** | 75 |
Mexico | 0.0588 | 1.3187 | −0.0576 | 2.2076 *** | 511 | −0.2413 | 2.5392 | 0.2928 | 0.6904 | 75 |
Venezuela | 0.1356 | 2.8743 | 0.8210 *** | 8.0160 *** | 511 | 0.0285 | 1.4287 | 1.3654 ** | 7.0395 ** | 75 |
Stable Period 1 January 1996–1 July 1997 | Turmoil Period 2 July 1997–31 December 1998 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Mean | Std Dev | Skewness | Kurtosis | N | Mean | Std Dev | Skewness | Kurtosis | N | |
Asian emerging markets | ||||||||||
Indonesia | 0.0782 | 1.0492 | −0.3121 ** | 2.3480 *** | 392 | −0.0727 | 3.1918 | 0.2923 ** | 3.2094 *** | 392 |
Hong Kong | 0.1164 | 1.0426 | −1.2222 | 8.9774 | 392 | −0.1301 | 2.7824 | 0.4175 | 5.8187 | 392 |
Korea | −0.0467 | 1.3586 | 0.1910 | 0.7480 *** | 392 | −0.0060 | 3.3631 | 0.3847 *** | 1.1348 *** | 392 |
Malaysia | 0.0225 | 0.8135 | −0.4775 *** | 2.6060 *** | 392 | −0.1452 | 3.3526 | 0.6484 *** | 12.4451 *** | 392 |
Philippines | 0.0406 | 0.9691 | −0.1981 | 2.5731 *** | 392 | −0.0839 | 2.2471 | 0.2459 ** | 2.1380 *** | 392 |
Singapore | −0.0264 | 0.80150 | −0.1321 | 0.6031 ** | 392 | −0.0665 | 1.8973 | 0.3777 *** | 3.6296 *** | 392 |
Taiwan | 0.1674 | 1.3831 | −0.0006 | 3.6794 *** | 392 | −0.0752 | 1.7950 | −0.0360 | 1.4828 *** | 392 |
Latin American emerging markets | ||||||||||
Argentina | 0.0976 | 1.2867 | −0.1673 | 1.9277 *** | 392 | −0.0763 | 2.3432 | −0.5134 *** | 6.2535 *** | 392 |
Brazil | 0.1766 | 0.9540 | 0.14830 | 3.4620 *** | 392 | −0.1811 | 2.4182 | −0.6825 *** | 3.1787 *** | 392 |
Chile | 0.0252 | 0.6937 | 0.4481 *** | 0.5236 ** | 392 | −0.1179 | 1.1195 | 0.1355 | 3.4237 *** | 392 |
Colombia | 0.0587 | 1.0545 | −0.7724 *** | 47.0383 *** | 392 | −0.0800 | 1.0778 | −0.0039 | 9.7246 *** | 392 |
Mexico | 0.1178 | 0.9133 | 0.5029 *** | 1.6971 *** | 392 | −0.0380 | 1.7365 | 0.0213 | 7.6136 *** | 392 |
Venezuela | 0.3457 | 1.6706 | 1.0121 *** | 3.7608 *** | 392 | −0.1866 | 2.7841 | 1.1492 *** | 12.5781 *** | 392 |
Stable Period 1 January 1996–16 October 1997 | Turnoil Period 17 October 1997–31 December 1998 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Mean | Std Dev | Skewness | Kurtosis | N | Mean | Std Dev | Skewness | Kurtosis | N | |
Asian emerging markets | ||||||||||
Indonesia | 0.0166 | 1.4280 | 0.6768 *** | 12.7077 *** | 469 | −0.0178 | 3.3212 | 0.1758 | 2.8525 *** | 315 |
Hong Kong | 0.0663 | 1.2338 | −0.7219 *** | 7.0780 *** | 469 | −0.1157 | 2.9568 | 0.4178 *** | 5.3991 *** | 315 |
Korea | −0.1033 | 1.3825 | 0.0313 | 0.9223 *** | 469 | 0.0882 | 3.6760 | 0.3107 ** | 0.5446 * | 315 |
Malaysia | −0.0367 | 1.2673 | 1.5841 *** | 25.3818 *** | 469 | −0.0981 | 3.5274 | 0.5284 *** | 12.0150 *** | 315 |
Philippines | −0.0352 | 1.2483 | −0.3863 *** | 7.4819 *** | 469 | −0.0015 | 2.2680 | 0.2740 ** | 1.9341 *** | 315 |
Singapore | −0.0393 | 0.9059 | −0.2921 ** | 1.8088 *** | 469 | −0.0572 | 2.0150 | 0.4080 *** | 3.3187 *** | 315 |
Taiwan | 0.1163 | 1.4502 | −0.1110 | 2.5102 *** | 469 | −0.0584 | 1.8105 | 0.0031 | 1.9019 *** | 315 |
Thailand | −0.1493 | 2.0219 | 0.6848 *** | 3.3557 *** | 469 | −0.1054 | 3.2393 | 0.7468 *** | 2.1230 *** | 315 |
Latin American emerging markets | ||||||||||
Argentina | 0.1020 | 1.2704 | −0.1831 | 1.7405 *** | 469 | −0.1255 | 2.5457 | −0.4468 *** | 5.2178 *** | 315 |
Brazil | 0.1530 | 1.1524 | −0.3935 *** | 6.2960 *** | 469 | −0.2335 | 2.5350 | −0.6586 *** | 2.9229 *** | 315 |
Chile | 0.0041 | 0.6880 | 0.4351 *** | 0.5212 ** | 469 | −0.1215 | 1.2074 | 0.1294 | 2.8595 *** | 315 |
Colombia | 0.0850 | 0.9906 | −0.8211 *** | 50.7480 *** | 469 | −0.1530 | 1.1604 | 0.1292 | 8.7253 *** | 315 |
Mexico | 0.1322 | 0.9512 | 0.3708 *** | 1.2385 *** | 469 | −0.0975 | 1.8516 | 0.0865 | 7.1560 *** | 315 |
Venezuela | 0.3240 | 1.6112 | 0.9646 *** | 3.8058 *** | 469 | −0.2844 | 3.0353 | 1.1840 *** | 10.8894 *** | 315 |
Stable Period 1 January 2006–31 July 2007 | Turnoil Period 1 July 2007–31 December 2008 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Mean | Std Dev | Skewness | Kurtosis | N | Mean | Std Dev | Skewness | Kurtosis | N | |
Asian emerging markets | ||||||||||
Indonesia | 0.1522 | 1.2398 | −0.7613 *** | 4.3101 *** | 411 | −0.1525 | 2.3802 | −0.4674 *** | 4.1386 *** | 371 |
Hong Kong | 0.1202 | 0.9329 | −0.7289 *** | 2.4423 *** | 411 | −0.1491 | 2.5215 | 0.0562 | 3.1464 *** | 371 |
Korea | 0.0724 | 1.0974 | −0.4801 *** | 1.3515 *** | 411 | −0.1397 | 2.2650 | −0.2754 ** | 4.6030 *** | 371 |
Malaysia | 0.1043 | 0.7091 | −1.2220 *** | 7.4879 *** | 411 | −0.1226 | 1.2308 | −1.3304 *** | 10.6139 *** | 371 |
Philippines | 0.1311 | 1.1670 | −0.863 *** | 5.8259 *** | 411 | −0.1711 | 1.7675 | −0.6680 *** | 5.8814 *** | 371 |
Singapore | 0.1081 | 0.8867 | −0.9309 *** | 2.9231 *** | 411 | −0.1902 | 1.8069 | −0.1860 | 3.0287 *** | 371 |
Taiwan | 0.0665 | 1.0303 | −0.8786 | 3.1950 *** | 411 | −0.1804 | 1.9659 | −0.0510 | 0.8381 *** | 371 |
Thailand | 0.0488 | 1.5232 | −2.8566 *** | 53.3222 *** | 411 | −0.1798 | 2.1168 | −0.6096 *** | 5.6193 *** | 371 |
Latin American emerging markets | ||||||||||
Argentina | 0.0882 | 1.0504 | −0.9743 *** | 5.9111 *** | 411 | −0.1113 | 1.3972 | −0.0210 *** | 3.3975 *** | 371 |
Brazil | 0.1365 | 1.2836 | −0.3056 ** | 1.5830 *** | 411 | −0.1121 | 2.4737 | −0.0278 | 2.9948 *** | 371 |
Chile | 0.1152 | 0.7406 | −1.1789 *** | 5.9941 *** | 411 | −0.0788 | 1.3721 | 0.5007 *** | 7.4257 *** | 371 |
Colombia | 0.0333 | 1.6017 | −0.0702 | 12.4863 *** | 411 | −0.0312 | 1.4454 | −0.4301 *** | 6.7485 *** | 371 |
Mexico | 0.1359 | 1.1573 | −0.1752 | 3.0393 *** | 411 | −0.0828 | 1.7243 | 0.3276 ** | 3.6350 *** | 371 |
Venezuela | 0.1247 | 1.5929 | −3.0199 *** | 33.0170 *** | 411 | −0.0758 | 0.6730 | 0.5511 *** | 3.1822 *** | 371 |
US stock market | ||||||||||
US | 0.0397 | 0.6747 | −0.5250 *** | 2.5716 *** | 411 | −0.1268 | 2.2007 | −0.1491 | 5.2257 *** | 371 |
Parameter | ||||||
Asian emerging markets | ||||||
Indonesia | 0.0629 *** | 0.2630 *** | 0.2332 *** | 0.4799 *** | 0.2687 *** | 0.2094 ** |
(2.6687) | (8.7874) | (6.6515) | (6.9350) | (5.2765) | (2.4816) | |
Korea | −0.0016 | 0.0926 *** | 0.0944 | 0.0748 *** | 0.0586 *** | 0.8927 *** |
(−0.0453) | (2.8503) | (1.6300) | (2.8749) | (4.2400) | (34.4931) | |
Malaysia | 0.0466 ** | 0.0656 *** | 0.3697 *** | 0.0417 *** | 0.0752 *** | 0.8974 *** |
(1.9780) | (2.8854) | (8.9527) | (3.1666) | (5.2569) | (44.3229) | |
Philippines | 0.0709 ** | 0.1821 *** | 0.2813 *** | 0.0176 *** | 0.0458 *** | 0.9394 *** |
(2.3330) | (5.7971) | (5.2114) | (2.7262) | (4.3183) | (72.2894) | |
Singapore | 0.0113 | −0.0098 | 0.2945 *** | 0.1085 *** | 0.1297 *** | 0.7113 *** |
(0.6121) | (−0.3630) | (8.4910) | (4.8621) | (5.0067) | (15.1351) | |
Taiwan | 0.0413 | −0.0324 | 0.2365 *** | 0.1313 *** | 0.0628 *** | 0.8874 *** |
(0.8180) | (−1.0263) | (2.7341) | (3.1662) | (5.1356) | (38.8341) | |
Hong Kong | 0.0502 * | −0.0493 * | 0.7935 *** | 0.0117 *** | 0.0444 *** | 0.9503 *** |
(1.7065) | (−1.7108) | (18.8004) | (2.8495) | (7.5667) | (168.3592) | |
Thailand | 0.0211 | 0.0780 ** | 0.4172 *** | 0.0372 ** | 0.0674 *** | 0.9193 *** |
(0.6028) | (2.5041) | (6.6277) | (2.1545) | (4.9942) | (50.8437) | |
Latin American emerging markets | ||||||
Argentina | 0.0554 | 0.0738 *** | 0.3022 *** | 0.1122 *** | 0.0865 *** | 0.8827 *** |
(1.2221) | (2.6945) | (4.0964) | (3.1756) | (5.2608) | (41.3832) | |
Chile | 0.0201 | 0.2549 *** | 0.0988 ** | 0.0595 *** | 0.1957 *** | 0.7527 *** |
(0.8533) | (8.9928) | (2.3914) | (5.4924) | (8.2280) | (28.7125) | |
Colombia | −0.0175 | 0.4280 *** | −0.0162 | 0.0700 *** | 0.2050 *** | 0.6914 *** |
(−1.1340) | (11.8014) | (−0.6823) | (7.4205) | (7.5636) | (21.9471) | |
Venezuela | 0.0334 | 0.1197 *** | 0.1559 * | 0.4403 *** | 0.3591 *** | 0.6256 *** |
(0.5934) | (3.7851) | (1.7650) | (5.1880) | (7.3100) | (15.6333) | |
Mexico | 0.0748 ** | 0.1240 *** | 0.0867 | 0.0540 *** | 0.0772 *** | 0.8957 *** |
(2.1861) | (4.4517) | (1.4082) | (2.9099) | (4.7209) | (41.8666) |
Parameter | ||||||
Asian emerging markets | ||||||
Indonesia | 0.0738 | 0.1152 *** | 0.4308 *** | 0.0355 *** | 0.1043 *** | 0.9056 *** |
(1.6114) | (5.2387) | (9.4292) | (2.9913) | (7.1851) | (79.3786) | |
Hong Kong | 0.1029 *** | 0.0702 *** | 0.6562 *** | 0.0500 *** | 0.1086 *** | 0.8900 *** |
(2.9622) | (−2.6696) | (16.3620) | (3.7141) | (6.8789) | (58.8206) | |
Korea | 0.0153 | 0.0932 *** | 0.2868 *** | 0.0276 ** | 0.0725 *** | 0.9281 *** |
(0.2672) | (2.7627) | (5.1863) | (1.9922) | (6.8351) | (89.4653) | |
Malaysia | 0.0484 * | 0.0590 ** | 0.3088 *** | 0.0128 *** | 0.1229 *** | 0.8934 *** |
(1.6858) | (1.9972) | (8.1332) | (3.2957) | (8.8803) | (97.8157) | |
Philippines | 0.0494 | 0.1459 *** | 0.3143 *** | 0.1023 *** | 0.2091 *** | 0.7831 *** |
(1.4304) | (4.9254) | (8.4482) | (5.1229) | (7.7183) | (32.4725) | |
Singapore | 0.0495 | 0.0086 | 0.3732 *** | 0.0344 *** | 0.0715 *** | 0.9202 *** |
(1.5878) | (−0.3252) | (9.9155) | (3.0880) | (4.9210) | (58.3597) | |
Taiwan | 0.0989 ** | 0.0259 | 0.2771 *** | 0.1180 ** | 0.0662 *** | 0.8918 *** |
(2.0661) | (0.7897) | (6.2478) | (2.5499) | (4.3803) | (33.6636) | |
Thailand | 0.0321 | 0.0344 | 0.3467 *** | 0.0913 *** | 0.1073 *** | 0.8932 *** |
(−0.5486) | (1.0719) | (4.8863) | (2.5801) | (6.7971) | (61.1801) | |
Latin American emerging markets | ||||||
Argentina | 0.0967 ** | 0.0681 *** | 0.0867 ** | 0.2440 *** | 0.1284 *** | 0.8076 *** |
(2.4066) | (2.6343) | (2.1024) | (5.6291) | (7.4994) | (35.4268) | |
Brazil | 0.1461 *** | 0.0513 ** | 0.1783 *** | 0.1234 *** | 0.1427 *** | 0.8349 *** |
(4.1852) | (2.1644) | (4.6334) | (4.8453) | (6.7531) | (37.5869) | |
Chile | 0.0207 | 0.2515 *** | 0.0852 *** | 0.0241 *** | 0.0764 *** | 0.8968 *** |
(0.8866) | (9.0373) | (3.8795) | (3.4661) | (5.2825) | (51.0718) | |
Colombia | 0.0128 | 0.2275 *** | 0.0769 *** | 0.1084 *** | 0.2233 *** | 0.7303 *** |
(−0.8760) | (9.8500) | (3.9644) | (6.2665) | (5.9507) | (21.8016) | |
Mexico | 0.1073 *** | 0.0873 *** | 0.1191 *** | 0.0968 *** | 0.1067 *** | 0.8522 *** |
(3.2568) | (3.4749) | (3.4945) | (3.9108) | (6.5547) | (38.7641) | |
Venezuela | 0.0253 | 0.2219 *** | 0.2545 *** | 0.2062 *** | 0.2084 *** | 0.7679 *** |
(0.4845) | (6.6611) | (4.5883) | (4.6099) | (6.4188) | (26.0453) |
Parameter | ||||||
Asian emerging markets | ||||||
Indonesia | 0.2265 *** | −0.0371 | 0.4390 *** | 0.1915 *** | 0.1371 *** | 0.8175 *** |
(5.7232) | (−1.3703) | (14.8630) | (2.7140) | (3.9892) | (16.3024) | |
Korea | 0.1426 *** | −0.0591 *** | 0.4602 *** | 0.0451 *** | 0.0677 *** | 0.9227 *** |
(4.2410) | (−2.7507) | (16.6541) | (3.7266) | (6.3664) | (80.1653) | |
Malaysia | 0.1051 *** | 0.0245 | 0.2148 *** | 0.0277 *** | 0.1524 *** | 0.8425 *** |
(5.5955) | (0.9712) | (15.0682) | (3.1640) | (6.1689) | (30.6932) | |
Philippines | 0.1073 *** | 0.0432 ** | 0.4816 *** | 0.1307 *** | 0.2038 *** | 0.7557 *** |
(3.6841) | (2.0841) | (24.7262) | (4.1638) | (7.1927) | (24.0974) | |
Singapore | 0.1526 *** | −0.1309 *** | 0.4332 *** | 0.0370 *** | 0.0719 *** | 0.9157 *** |
(5.7167) | (−7.1061) | (19.0871) | (5.9154) | (9.3246) | (110.2176) | |
Taiwan | 0.1129 *** | −0.0351 | 0.4178 *** | 0.0308 *** | 0.0490 *** | 0.9431 *** |
(3.2060) | (−1.4837) | (16.4201) | (3.0436) | (5.1028) | (80.4188) | |
Hong Kong | 0.1726 *** | −0.0933 *** | 0.5775 *** | 0.0474 *** | 0.0915 *** | 0.9057 *** |
(5.4715) | (−5.1091) | (21.4708) | (4.6845) | (8.9123) | (92.2507) | |
Thailand | 0.1680 *** | −0.0329 | 0.3372 *** | 1.0153 *** | 0.2215 *** | 0.4901 *** |
(4.2402) | (−1.2364) | (11.6561) | (4.5281) | (4.2943) | (4.7025) | |
Latin American emerging markets | ||||||
Argentina | 0.1442 *** | 0.0375 | 0.1114 *** | 0.1799 *** | 0.0746 *** | 0.8276 *** |
(4.0163) | (1.1469) | (4.2305) | (4.9710) | (4.8060) | (27.1994) | |
Brazil | 0.2432 *** | −0.1042 *** | 0.1159 *** | 0.0944 *** | 0.0599 *** | 0.9090 *** |
(6.2098) | (−5.2976) | (3.4103) | (4.1900) | (6.3348) | (62.2301) | |
Chile | 0.1276 *** | 0.0995 *** | 0.0496 *** | 0.0650 *** | 0.1224 *** | 0.8094 *** |
(5.6065) | (3.8369) | (2.9036) | (5.0398) | (6.9301) | (31.73603) | |
Colombia | 0.1238 *** | 0.0370 | 0.1040 *** | 0.1820 *** | 0.2388 *** | 0.6475 *** |
(4.2682) | (1.0867) | (5.4842) | (7.4010) | (8.2245) | (20.6911) | |
Mexico | 0.1784 *** | −0.0144 | 0.0521 *** | 0.0569 *** | 0.0611 *** | 0.9105 *** |
(5.7761) | (−0.6505) | (1.8097) | (4.2185) | (6.6728) | (67.41723) | |
Venezuela | −0.0111 | 0.1535 *** | 0.0535 *** | 0.1026 *** | 0.5049 *** | 0.5477 *** |
(−0.7179) | (5.7888) | (4.4745) | (5.8995) | (9.9013) | (14.22591) | |
US | 0.0946 *** | −0.1055 *** | 0.0199 *** | 0.0823 *** | 0.9067 *** | |
(3.7963) | (−3.8855) | (4.8415) | (8.6645) | (88.7960) |
Stable Period 1 January 1993–16 December 1994 | Turnoil Period 19 December 1994–31 March 1995 | ||||||||
---|---|---|---|---|---|---|---|---|---|
Mean | Std Dev | N | Mean | Std Dev | N | Mean Increase (%) | t Statictis | Contagion | |
Asian emerging markets | |||||||||
Korea | 0.0775 | 0.0197 | 511 | 0.0668 | 0.0316 | 75 | −13.7570 | −2.8409 | N |
Malaysia | 0.0762 | 0.0235 | 511 | 0.0802 | 0.0261 | 75 | 5.2683 | 1.2577 | N |
Philippines | 0.0989 | 0.0198 | 511 | 0.0933 | 0.0509 | 75 | −5.6818 | −0.9455 | N |
Singapore | 0.0897 | 0.0202 | 511 | 0.0891 | 0.0377 | 75 | −0.6939 | −0.1401 | N |
Taiwan | 0.0425 | 0.0153 | 511 | 0.0355 | 0.0370 | 75 | −16.4346 | −1.6127 | N |
Thailand | 0.0659 | 0.0156 | 511 | 0.0491 | 0.0274 | 75 | −25.5032 | −5.1963 | N |
Latin American emerging markets | |||||||||
Argentina | 0.4734 | 0.6880 | 511 | 0.7406 | 0.1717 | 75 | 56.4643 | 13.1390 | C *** |
Chile | 0.1494 | 0.3865 | 511 | 0.2638 | 0.1381 | 75 | 76.5546 | 7.1045 | C *** |
Colombia | 0.0279 | 0.1669 | 511 | 0.0126 | 0.0056 | 75 | −54.8510 | −18.0838 | N |
Venezuela | 0.1070 | 0.3271 | 511 | 0.0490 | 0.0456 | 75 | −54.1615 | −8.6066 | N |
Stable Period 1 January 1996–1 July 1997 | Turnoil Period 2 July 1997–31 December 1998 | ||||||||
---|---|---|---|---|---|---|---|---|---|
Mean | Std Dev | N | Mean | Std Dev | N | Mean Increase (%) | t Statictis | Contagion | |
Asian emerging markets | |||||||||
Indonesia | 0.3559 | 0.0097 | 392 | 0.3673 | 0.0411 | 392 | 3.2073 | 5.3562 | C *** |
Hong Kong | 0.3547 | 0.0116 | 392 | 0.3593 | 0.0586 | 392 | 1.2997 | 1.5284 | C * |
Korea | 0.2529 | 0.0129 | 392 | 0.2640 | 0.0314 | 392 | 4.3660 | 6.4443 | C *** |
Malaysia | 0.3175 | 0.0092 | 392 | 0.3252 | 0.0404 | 392 | 2.4180 | 3.6650 | C *** |
Philippines | 0.3182 | 0.0166 | 392 | 0.3266 | 0.0615 | 392 | 2.6663 | 2.6372 | C *** |
Singapore | 0.4230 | 0.0120 | 392 | 0.4298 | 0.0472 | 392 | 1.6002 | 2.7536 | C *** |
Taiwan | 0.1475 | 0.0001 | 392 | 0.1665 | 0.0015 | 392 | 12.8759 | 9.2121 | C *** |
Latin American emerging markets | |||||||||
Argentina | 0.1228 | 0.0112 | 392 | 0.1267 | 0.0302 | 392 | 3.1683 | 2.3918 | C *** |
Brazil | 0.1231 | 0.0108 | 392 | 0.1290 | 0.0338 | 392 | 4.8054 | 3.2968 | C *** |
Chile | 0.1714 | 0.0140 | 392 | 0.1854 | 0.0406 | 392 | 8.1982 | 6.4719 | C *** |
Colombia | 0.0784 | 0.0126 | 392 | 0.0688 | 0.0172 | 392 | −12.2519 | −8.9302 | N |
Mexico | 0.1045 | 0.0088 | 392 | 0.1012 | 0.0365 | 392 | −3.1670 | −1.7448 | N |
Venezuela | 0.1341 | 0.0142 | 392 | 0.1513 | 0.0287 | 392 | 12.8308 | 10.6444 | C *** |
Stable Period 1 January 1996–16 October 1997 | Turnoil Period 17 October 1997–31 December1998 | ||||||||
---|---|---|---|---|---|---|---|---|---|
Mean | Std Dev | N | Mean | Std Dev | N | Mean Increase (%) | t Statictis | Contagion | |
Asian emerging markets | |||||||||
Indonesia | 0.3802 | 0.0094 | 469 | 0.3766 | 0.0379 | 315 | −0.9470 | −1.6517 | N |
Korea | 0.2086 | 0.0089 | 469 | 0.2023 | 0.0518 | 315 | −3.0045 | −2.1265 | N |
Malaysia | 0.3517 | 0.0090 | 469 | 0.3524 | 0.0442 | 315 | 0.1975 | 0.2748 | N |
Philippines | 0.4080 | 0.0105 | 469 | 0.4199 | 0.0390 | 315 | 2.8981 | 5.2614 | C *** |
Singapore | 0.5599 | 0.0118 | 469 | 0.5807 | 0.0362 | 315 | 3.7174 | 9.8697 | C *** |
Taiwan | 0.2336 | 0.0157 | 469 | 0.2499 | 0.0486 | 315 | 6.9547 | 5.7406 | C *** |
Thailand | 0.3468 | 0.0252 | 469 | 0.3723 | 0.0558 | 315 | 7.3427 | 7.5909 | C *** |
Latin American emerging markets | |||||||||
Argentina | 0.1939 | 0.0136 | 469 | 0.2056 | 0.0353 | 315 | 6.0226 | 5.6008 | C *** |
Brazil | 0.2016 | 0.0153 | 469 | 0.2102 | 0.0342 | 315 | 4.3050 | 4.2230 | C *** |
Chile | 0.2297 | 0.0131 | 469 | 0.2494 | 0.0237 | 315 | 8.5714 | 13.4455 | C *** |
Colombia | 0.0811 | 0.0175 | 469 | 0.0781 | 0.0251 | 315 | −3.7808 | −1.8855 | N |
Mexico | 0.1983 | 0.0111 | 469 | 0.2071 | 0.0306 | 315 | 4.4270 | 4.8752 | C *** |
Venezuela | 0.1983 | 0.0111 | 469 | 0.2071 | 0.0306 | 315 | 4.4270 | 5.1917 | C *** |
Stable Period 1 January 2006–31 July 2007 | Turnoil Period 1 August 2007–31 December 2008 | ||||||||
---|---|---|---|---|---|---|---|---|---|
Mean | Std Dev | N | Mean | Std Dev | N | Mean Increase (%) | t Statictis | Contagion | |
Asian emerging markets | |||||||||
Indonesia | 0.1337 | 0.0073 | 411 | 0.1468 | 0.0324 | 371 | 9.8224 | 7.6402 | C *** |
Hong Kong | 0.2451 | 0.0053 | 411 | 0.2555 | 0.0494 | 371 | 4.2302 | 4.0262 | C *** |
Korea | 0.2159 | 0.0058 | 411 | 0.2255 | 0.0350 | 371 | 4.4430 | 5.2203 | C *** |
Malaysia | 0.1119 | 0.0116 | 411 | 0.1147 | 0.0283 | 371 | 2.4937 | 1.7711 | C ** |
Philippines | 0.0378 | 0.0067 | 411 | 0.0548 | 0.0332 | 371 | 45.0331 | 9.6879 | C *** |
Singapore | 0.2502 | 0.0069 | 411 | 0.2617 | 0.0371 | 371 | 4.6221 | 5.9123 | C *** |
Taiwan | 0.1233 | 0.0056 | 411 | 0.1326 | 0.0274 | 371 | 7.4918 | 6.3644 | C *** |
Thailand | 0.2485 | 0.0143 | 411 | 0.2651 | 0.0443 | 371 | 6.6707 | 6.8943 | C *** |
Latin American emerging markets | |||||||||
Argentina | 0.3998 | 0.6323 | 411 | 0.4016 | 0.0237 | 371 | 0.4424 | 1.2989 | C * |
Brazil | 0.7134 | 0.8447 | 411 | 0.7146 | 0.0350 | 371 | 0.1562 | 0.6085 | N |
Chile | 0.5401 | 0.7349 | 411 | 0.5463 | 0.0350 | 371 | 1.1536 | 3.3411 | C *** |
Colombia | 0.2901 | 0.5386 | 411 | 0.2997 | 0.0386 | 371 | 3.3137 | 4.6816 | C *** |
Mexico | 0.7391 | 0.8597 | 411 | 0.7523 | 0.0212 | 371 | 1.7914 | 11.5450 | C *** |
Venezuela | 0.0008 | 0.0290 | 411 | 0.0048 | 0.0125 | 371 | 472.0685 | 5.4992 | C *** |
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TRAN, T.B.N. Contagion Risks in Emerging Stock Markets: New Evidence from Asia and Latin America. J. Risk Financial Manag. 2018, 11, 89. https://doi.org/10.3390/jrfm11040089
TRAN TBN. Contagion Risks in Emerging Stock Markets: New Evidence from Asia and Latin America. Journal of Risk and Financial Management. 2018; 11(4):89. https://doi.org/10.3390/jrfm11040089
Chicago/Turabian StyleTRAN, Thi Bich Ngoc. 2018. "Contagion Risks in Emerging Stock Markets: New Evidence from Asia and Latin America" Journal of Risk and Financial Management 11, no. 4: 89. https://doi.org/10.3390/jrfm11040089