Contagion
Subtitle: an empirical test
By: Jon Wongswan.
Series: International finance discussion papers ;; no. 775; International finance discussion papers (Online) ;; no. 775.
Publisher: Federal Reserve Board
Published: 2003
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "Using the conditional Capital Asset Pricing Model (CAPM), this paper tests for the existence and pattern of contagion and capital market integration in global equity markets.  Contagion is defined as significant excess conditional correlation among different countries' asset returns above what could be explained by economic fundamentals (systematic risks).  Capital market integration is defined as the situation in which only systematic risks are priced.  The paper uses a panel of sixteen countries, divided into three blocs: Asia, Latin America, and Germany-U.K.-U.S., for the period from 1990 through 1999.  The results show evidence of contagion and capital market integration.  In addition, contagion is found to be a regional phenomenon"--Federal Reserve Board web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 9/15/2004.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.