Dynamic correlation analysis of financial contagion: Evidence from Asian markets
Dynamic correlation analysis of financial contagion: Evidence from Asian markets
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DOI：
10.1016/j.jimonfin.2007.06.005
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发表时间：
2007-11-01
影响因子：
2.5
通讯作者：
Li, Huimin
中科院分区：
文献类型：
--
作者：
Chiang, Thomas C.;Jeon, Bang Nam;Li, Huimin
本文运用动态条件相关模型对1990 - 2003年亚洲9个股票日收益率数据序列进行了实证分析。经验证据证实了传染效应。通过对相关系数序列的分析，我们将亚洲金融危机分为两个阶段。第一种表现出相关性的增加（传染）;第二种表现出持续的高相关性（羊群效应）。相关系数的统计分析还发现，在危机期间，方差发生了变化，这使人们对国际投资组合多样化的好处产生了怀疑。有证据表明，国际主权信用评级机构在塑造亚洲市场动态相关性结构方面发挥着重要作用。(c)2007爱思唯尔有限公司保留所有权利。
We apply a dynamic conditional-correlation model to nine Asian daily stock-return data series from 1990 to 2003. The empirical evidence confirms a contagion effect. By analyzing the correlation-coefficient series, we identify two phases of the Asian crisis. The first shows an increase in correlation (contagion); the second shows a continued high correlation (herding). Statistical analysis of the correlation coefficients also finds a shift in variance during the crisis period, casting doubt on the benefit of international portfolio diversification. Evidence shows that international sovereign credit-rating agencies play a significant role in shaping the structure of dynamic correlations in the Asian markets. (c) 2007 Elsevier Ltd. All rights reserved.