Can I read Market Integration and Contagion Analysis on EtoBox?

Market Integration and Contagion Analysis by shavityoav42 is a document available to read on EtoBox.

What is Market Integration and Contagion Analysis about?

The document discusses market contagion, defined as excess correlation between equity markets during crises beyond what economic fundamentals would predict. It introduces a two-factor model to analyze stock returns in Europe, Southeast Asia, and Latin America, focusing on the role of market integration and the impact of volatility on correlations. The authors aim to provide empirical tests for market integration, measure the variance driven by global, regional, and local factors, and examine the dynamics of

Author

shavityoav42

Language

EN