The thesis aims to develop a framework and a model of the fundamental-based contagion in the international stock market. Rather than studying the contagion effe

No sooner had the Asian crisis broken out in 1997 than the witch-hunt started. With great indignation every Asian economy pointed fingers. They were innocent by

The National Bureau of Economic Research (NBER) presents the abstract of the September 2000 paper "A New Approach to Measuring Financial Contagion," written by

The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of a country’s financial system. This pap

This paper proposes a new approach to evaluate contagion in financial markets. Our measure of contagion captures the co-incidence of extreme return shocks acros