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| Author: | Bae, K.-H. Karolyi, G. A. Stulz, R. M. |
| Title: | A new approach to measuring financial contagion |
| Journal: | Review of Financial Studies
2003 : FALL, VOL. 16:3, p. 717-763 |
| Index terms: | |
| Language: | eng |
| Abstract: | The authors characterize the extent of contagion, its economic significance, and its determinants using a multinomial logistic regression model. Applying the approach to daily returns of emerging markets during the 1990s, they find that contagion is predictable and depends on regional interest rates, exchange rate changes, and conditional stock return volatility. |
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