search query: @author Royen, A.-S. Van / total: 2
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| Author: | Royen, A.-S. van |
| Title: | Financial Contagion and International Portfolio Flows |
| Journal: | Financial Analysts' Journal
2002 : JAN-FEB, VOL. 58:1, p. 35-49 |
| Index terms: | FINANCE FINANCIAL ANALYSIS PORTFOLIO MANAGEMENT PORTFOLIO SELECTION ANALYTICAL REVIEW |
| Language: | eng |
| Abstract: | Financial contagion is an issue of interest to policymakers and portfolio managers. In the presence of contagion, the benefits of geographical diversification may be overstated. Contagion is defined independently of changes in macroeconomic fundamentals. It corresponds to a situation in which shocks in one country spread to another country in a significantly more pronounced manner than during quiet times. In the study reported here, the author attempted to measure contagion from daily cross-border portfolio flows. Using data from State Street Bank and Trust Company, the author constructed three indexes for 1996 through 2000. |
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