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Applied Financial Economics Volume 20, 2010 - Issue 4
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Original Articles

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

Matthew S. Yiu Market Research Division, Research Department, Hong Kong Monetary Authority, Hong KongCorrespondence[email protected]
,
Wai-Yip Alex Ho Market Research Division, Research Department, Hong Kong Monetary Authority, Hong Kong; Department of Economics, Boston University, Boston, MA, USA
&
Daniel F. Choi Department of Finance, Waikato University, Hamilton, New Zealand
Pages 345-354 | Published online: 08 Jan 2010

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Matthew S. Yiu & Andrew Tsang. (2023) Impact of COVID-19 on ASEAN5 stock markets. Journal of the Asia Pacific Economy 28:4, pages 1392-1405.
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Lumengo Bonga-Bonga & Muteba John Mwamba. (2021) Multivariate models for the prediction of stock returns in an emerging market economy: comparison of parametric and non-parametric models. Macroeconomics and Finance in Emerging Market Economies 0:0, pages 1-17.
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Dalu Zhang, Meilan Yan & Andreas Tsopanakis. (2018) Financial stress relationships among Euro area countries: an R-vine copula approach. The European Journal of Finance 24:17, pages 1587-1608.
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Jae-Kwang Hwang & Alex Ogwu. (2016) Spillover effects of the 2008 financial crisis on NIE stock markets. Applied Economics Letters 23:18, pages 1261-1264.
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Pami Dua & Divya Tuteja. (2016) Linkages between Indian and US financial markets: impact of global financial crisis and Eurozone debt crisis. Macroeconomics and Finance in Emerging Market Economies 9:3, pages 217-240.
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Xiao Jing Cai, Shuairu Tian & Shigeyuki Hamori. (2016) Dynamic correlation and equicorrelation analysis of global financial turmoil: evidence from emerging East Asian stock markets. Applied Economics 48:40, pages 3789-3803.
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Lestano & Gerard H. Kuper. (2016) Correlation Dynamics in East Asian Financial Markets. Emerging Markets Finance and Trade 52:2, pages 382-399.
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Achraf Ghorbel, Mouna Abdelhedi & Younes Boujelbene. (2014) Assessing the Impact of Crude Oil Price and Investor Sentiment on Islamic Indices: Subprime Crisis. Journal of African Business 15:1, pages 13-24.
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Go Tamakoshi & Shigeyuki Hamori. (2013) An asymmetric dynamic conditional correlation analysis of linkages of European financial institutions during the Greek sovereign debt crisis. The European Journal of Finance 19:10, pages 939-950.
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Go Tamakoshi & Shigeyuki Hamori. (2013) An asymmetric DCC analysis of correlations among bank CDS indices. Applied Financial Economics 23:6, pages 475-481.
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