Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil

This article investigates the dynamics of correlation between 11 Asian stock markets and the US stock market. By utilizing the method of 'principal components', we identify a single latent factor that can explain a major portion of variation in the weekly returns of these 11 markets from 1...

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Veröffentlicht in:Applied financial economics
1. Verfasser: Yiu, Matthew S. (VerfasserIn)
Weitere Verfasser: Ho, Wai-yip Alex (VerfasserIn), Choi, Daniel F. S. (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: 2010
Schlagworte:
1993-2009 > Finanzkrise > Ansteckungseffekt > Aktienmarkt > Marktintegration > Asien > USA > Aufsatz in Zeitschrift
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