Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998
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Summary:
August to September 1998 has been characterized as one of the worst episodes of global financial distress in decades. This paper investigates the transmission of the Russian and the LTCM crises through global equity markets using a panel of 14 developing and industrial countries. The results show that contagion was systemic during the period, with industrial countries providing the dominant cross-country transmission linkages. Both crises reinforced each other, highlighting the importance of studying them jointly. An implication of the empirical results is that models of contagion that exclude industrial countries are potentially misspecified and may yield misleading outcomes.
Series:
Working Paper No. 2003/084
Subject:
Econometric analysis Emerging and frontier financial markets Factor models Financial institutions Financial markets Securities markets Stock markets Stocks
English
Publication Date:
April 1, 2003
ISBN/ISSN:
9781451850666/1018-5941
Stock No:
WPIEA0842003
Pages:
28
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