How do crises spread? Evidence from accessible and inaccessible stock indices

Journal of Finance

Volumn 61, Issue 2, 2006, Pages 957-1003

  Boyer, Brian H ^a   Kumagai, Tomomi ^b   Yuan, Kathy ^c  

^a BRIGHAM YOUNG UNIVERSITY   (United States)

^b WAYNE STATE UNIVERSITY   (United States)

^c UNIVERSITY OF MICHIGAN   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33644920961     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2006.00860.x     Document Type: Article

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51. Gibson, Michael S., and Brian. H. Boyer, 1997, Evaluating forecasts of correlation using option pricing, Journal of Derivatives 6, 18-38.
52. Hamilton, James D., 1989, A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica 57, 357-384.
53. Hamilton, James D., 1990, Analysis of time series subject to changes in regime, Journal of Econometrics 45, 39-70.
54. IFC, 1999, The IFC indexes: Methodology, definitions, and practices, User guide.
55. Kallberg, Jarl G., K. Crocker Liu, and Paolo Pasquariello, 2005, An examination of the Asian crisis: Regime shifts in currency and equity markets, Journal of Business 78, 169-211.
56. Kaminsky, Graciela, Richard K. Lyons, and Sergio Schmukler, 2001, Mutual fund investment in emerging markets: An overview, World Bank Economic Review 15, 315-340.
57. Kaminsky, Graciela, Richard K. Lyons, and Sergio Schmukler, 2004, Managers, investors, and crises: Mutual fund strategies in emerging markets, Journal of International Economics 64, 113-134.
58. Kaminsky, Graciela, and Carmen M. Reinhart, 2000, On crisis, contagion, and confusion, Journal of International Economics 51, 145-168.
59. Karolyi, Andrew, and Rene Stulz, 1996, Why do markets move together? An investigation of U.S.-Japan stock return co-movements, Journal of Finance 51, 951-986.
60. Kim, Chang-Jin, 1994, Dynamic linear models with Markov-switching, Journal of Econometrics 60, 1-22.
61. King, Mervyn, Enrique Sentana, and Sushil Wadhwani, 1994, Volatility and links between national stock markets, Econometrica 62, 901-933.
62. Kodres, Laura E., and Matthew Pritsker, 2002, A rational expectations model of financial contagion, Journal of Finance 57, 769-799.
63. Kyle, Albert S., and Wei Xiong, 2001, Contagion as a wealth effect, Journal of Finance 56, 1410-1440.
64. Ledford, Anthony R., and Jonathan A. Tawn, 1997, Statistics for near independence in multivariate extreme values, Biometrika, 169-187.
65. Longin, François, and Bruno Solnik, 2001, Extreme correlation of international equity markets, Journal of Finance 56, 649-676.
66. Murphy, Kevin M., and Robert H. Topel, 1985, Estimation and inference in two-step econometric models, Journal of Business and Economic Statistics 3, 370-379.
67. Pavlova, Anna, and Roberto Rigobon, 2003, Asset prices and exchange rates, Working paper, MIT.
68. Prescott, P., and A. T. Walden, 1980, Maximum likelihood estimation of the parameters of the generalized extreme-value distribution, Biometrika 67, 723-724.
69. Radelet, Steven, and Jeffrey Sachs, 1998, The onset of Asian crisis, Working Paper 6680, NBER.
70. Shleifer, Andrew, and Robert W. Vishny, 1997, The limit of arbitrage, Journal of Finance 52, 35-55.
71. Stambaugh, Robert F., 1995, Unpublished discussion of Karolyi and Stulz (1996), National Bureau of Economic Research Universities Research Conference on Risk Management.
72. Tang, Jon Wongswan, 2001, Contagion: An empirical test, Working Paper, Duke University.
73. Tawn, Jonathan, 1988, Bivariate extreme value theory: Models and estimation, Biometrika 75, 397-415.
74. Tesar, Linda, and Ingrid Werner, 1995, Home bias and high turnover, Journal of International Money and Finance 14, 467-493.
75. Yuan, Kathy, 2005, Asymmetric price movements and borrowing constraints: A rational expectations equilibrium model of crisis, contagion, and confusion, Journal of Finance 60, 379-411.