Working Papers, Hanken School of Economics
Cobreaking of Stock Prices and Contagion
() and Jan Antell
Abstract: Financial crises have shown that dramatic movements in one
financial market can have a powerful impact on other markets. The paper
proposes to use cobreaking to model comovements between financial markets
during crises and to test for conta-gion. It finds evidence of cobreaking
between stock returns in developed markets. Finding cobreaking has
implications for the diversification of international investments. For
emerging mar-ket stock returns the evidence of cobreaking is mainly due to
the non-financial event of the 9/11 terrorist attacks in 2001. Fi-nancial
crises originating in one emerging market do not spread to other markets,
i.e., no contagion.
Keywords: cobreaking; contagion; international financial markets; (follow links to similar papers)
20 pages, July 4, 2008
This paper is published as: Ahlgren, Niklas and Antell, Jan (2010): 'Stock Market Linkages and Financial Contagion', Quarterly Review of Economics and Finance, 50, 157-166.
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