Does international financial contagion really exist?

International Finance

Volumn 6, Issue 2, 2003, Pages 179-199

  Karolyi, G Andrew ^a  

^a OHIO STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

CAPITAL FLOW; FINANCIAL CRISIS; FINANCIAL MARKET; GLOBAL PERSPECTIVE;

EID: 0141503222     PISSN: 13670271     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-2362.00114     Document Type: Article

References (47)

1. Bae, K.-H., and G. A. Karolyi (1994), 'Good News, Bad News and International Spillovers of Stock Return Volatility between Japan and the US', Pacific-Basin Finance Journal, 2, 405-38.
2. Bae, K.-H., G. A. Karolyi, and R. Stulz (2003), 'A New Approach to Measuring Financial Contagion', Review of Financial Studies, 16(3), 87-133.
3. Bailey, W., K. Chan and Y. P. Chung (2000), 'Depositary Receipts, Country Funds and the Peso Crash: The Intraday Evidence', Journal of Finance, 55, 2693-717.
4. Barberis, N., A. Shleifer and J. Wurgler (2002), 'Co-movements, Harvard University Working Paper.
5. Bekaert, G., and C. Harvey (1995), 'Time-varying World Market Integration', Journal of Finance, 50, 403-44.
6. Bekaert, G., and C. Harvey (2000), 'Foreign Speculators and Emerging Equity Markets', Journal of Finance, 55, 565-613.
7. Bekaert, G., and C. Harvey (2003), 'Emerging Market Finance', Journal of Empirical Finance, 10, 3-55.
8. Bekaert, G., C. Harvey and A. Ng (2003), 'Market Integration and Contagion', Journal of Business, forthcoming.
9. Bikhchandani, S., D. Hirshleifer and I. Welch (1992), 'A Theory of Fads, Fashion, Custom and Cultural Changes as Information Cascades', Journal of Political Economy, 100, 992-1020.
10. Bohn, H., and L. Tesar (1996), 'U.S. Equity Investment in Foreign Markets: Portfolio Rebalancing or Return Chasing?', American Economic Review, 86, 77-81.
11. Brennan, M., and H. Cao (1997), 'International Portfolio Investment Flows', Journal of Finance, 52, 1851-80.
12. Calvo, G., M. Goldstein and E. Hochreiter (1996), Private Capital Flows to Emerging Markets after the Mexican Crisis. Washington, DC: Institute for International Economics.
13. Calvo, G., and C. Reinhart (1996), 'Capital Flows to Latin America: Is There Evidence of Contagion Effects?', in G. Calvo, M. Goldstein and E. Hochreiter (eds), Private Capital Flows to Emerging Markets after the Mexican Crisis, Washington, DC: Institute for International Economics.
14. Choe, H., B.-C. Kho and R. Stulz (1999), 'Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997', Journal of Financial Economics, 54, 227-64.
15. Claessens, S., and K. Forbes (2001), International Financial Contagion, New York: Kluwer Academic Publishers.
16. Connolly, R., and A. Wang (2003), 'International Equity Market Co-movements: Economic Fundamentals or Contagion', Pacific Basin Finance Journal, 11, 23-44.
17. Diamond, D., and P. Dybvig (1983), 'Bank Runs, Deposit Insurance and Liquidity', Journal of Political Economy, 91, 401-19.
18. Dornbusch, R., Y.-C. Park and S. Claessens (2001), 'Contagion: How It Spreads and How It Can Be Stopped', in S. Claessens and K. Forbes (eds), International Financial Contagion, New York: Kluwer Academic Publishers.
19. Eichengreen, B., and A. Rose (1997), 'Contagious Currency Crises: Channels of Conveyance', in T. Ito and A. Krueger (eds), Changes in Exchange Rates in Rapidly Developing Countries: Theory, Practice and Policy Issues, Chicago, IL: University of Chicago Press.
20. Eichengreen, B., A. Rose and C. Wyplosz (1996), 'Contagious Currency Crises: First Tests', Scandinavian Journal of Economics, 98, 463-84.
21. Erb, C., C. Harvey and T. Viskanta (1994), 'Forecasting International Equity Correlations', Financial Analysts Journal, 4, 32-45.
22. Eun, C., and S. Shim (1989), 'International Transmission of Stock Market Movements', Journal of Financial and Quantitative Analysis, 24, 241-56.
23. Fama, E. (1963), 'Mandelbrot and the Stable Paretian Hypothesis', Journal of Business, 36, 420-29.
24. Forbes, K., and R. Rigobon (2002), 'No Contagion, Only Interdependence: Measuring Stock Market Co-movements', Journal of Finance, 57, 2223-62.
25. Frankel, J., and S. Schmukler (1998), 'Crises, Contagion, and Country Funds: Effects on East Asia and Latin America', in R. Glick (ed.), Management of Capital Flows and Exchange Rates: Lessons from the Pacific Rim, Cambridge: Cambridge University Press.
26. Friedman, T. (1999), The Lexus and the Olive Tree. New York: Farrar, Straus and Giroux.
27. Froot, K., P. O'Connell and M. Seasholes (2001), 'The Portfolio Flows of International Investors', Journal of Financial Economics, 59, 151-93.
28. Goetzmann, W., L. Li and G. Rouwenhorst (2003), 'Long-term Global Market Correlations', Yale University Working Paper.
29. Griffin, J., F. Nardari and R. Stulz (2002), 'Daily Cross-border Portfolio Equity Flows: Pushed or Pulled?', Ohio State University Working Paper.
30. Hamao, Y., R. W. Masulis and Victor Ng (1990), 'Correlations in Price Changes and Volatility Across International Stock Markets', Review of Financial Studies, 3, 281-308.
31. Hartmann, P., S. Straetmans and C. de Vries (2001), 'Asset Market Linkages in Crisis Periods', Universiteit Maastricht Working Paper.
32. Kaminsky, G. L., and S. L. Schmukler (1999), 'What Triggers Market Jitters?', Journal of International Money and Finance, 18, 537-60.
33. Karolyi, G. A. (2002), 'Did the Asian Financial Crisis Scare Foreign Investors Out of Japan?', Pacific Basin Finance Journal, 10, 411-42.
34. Karolyi, G. A., and R. M. Stulz (1996), 'Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Co-movements', Journal of Finance, 51, 951-86.
35. Karolyi, G. A., and R. M. Stulz (2003), 'Are Assets Priced Locally or Globally?', in G. Constantinides, M. Harris and R. M. Stulz (eds), The Handbook of the Economics of Finance, New York: North-Holland Publishers.
36. King, M. A., E. Sentana and S. Wadhwani (1994), 'Volatility and Links Between National Stock Markets', Econometrica, 62, 901-33.
37. Kodres, L., and M. Pritsker (2002), 'A Rational Expectations Model of Financial Contagion', Journal of Finance, 57, 769-99.
38. Lin, W., R. Engle and T. Ito (1994), 'Do Bulls and Bears Move Across Borders? Transmission of International Stock Returns and Volatility', Review of Financial Studies, 7, 507-38.
39. Longin, F. M. (1996), 'The Asymptotic Distribution of Extreme Stock Market Returns', Journal of Business, 59, 383-408.
40. Longin, F. M., and B. Solnik (1995), 'Is the Correlation in International Equity Returns Constant: 1970-1990?', Journal of International Money and Finance, 14, 3-26.
41. Longin, F. M., and B. Solnik (2001), 'Extreme Correlations of International Equity Markets During Extremely Volatile Periods', Journal of Finance, 56, 649-76.
42. Mandelbrot, B. (1963), 'The Variation of Certain Speculative Prices', Journal of Business, 36, 394-419.
43. Masson, P. (1999), 'Contagion', Journal of International Money and Finance, 18, 587-602.
44. Schinasi, G., and T. Smith (2001), 'Portfolio Diversification, Leverage and Financial Contagion', in S. Claessens and K. Forbes (eds), International Financial Contagion, New York: Kluwer Academic Publishers.
45. Sell, F. (2001), Contagion in Financial Markets. Cheltenham, UK: Edward Elgar.
46. Shiller, R. (1999), Irrational Exuberance. Princeton, NJ: Princeton University Press.
47. Tesar, L., and I. Werner (1994), 'International Equity Transactions and US Portfolio Choice', in J. Frankel (ed.), The Internationalization of Equity Markets, Chicago, IL: University of Chicago Press.