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Quantitative Finance Volume 19, 2019 - Issue 3
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Research Papers

Joint tests of contagion with applications

Renée Fry-McKibbinCentre for Applied Macroeconomic Analysis (CAMA), Canberra0200, Australia;Crawford School of Public Policy, Australian National University, Acton ACT0200, AustraliaORCID Iconhttp://orcid.org/0000-0003-2396-7540View further author information
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Cody Yu-Ling HsiaoSchool of Business, Macau University of Science and TechnologyTaipa, Macao;Centre for Applied Macroeconomic Analysis (CAMA), Canberra0200, AustraliaCorrespondence[email protected]
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Vance L. MartinDepartment of Economics, The University of Melbourne, 111 Barry street, Parkville3010, AustraliaView further author information
Pages 473-490 | Received 28 Jul 2017, Accepted 01 May 2018, Published online: 01 Aug 2018

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Dony Abdul Chalid & Rangga Handika. (2022) Comovement and contagion in commodity markets. Cogent Economics & Finance 10:1.
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Burak Sencer Atasoy, İbrahim Özkan & Lütfi Erden. (2024) The determinants of systemic risk contagion. Economic Modelling 130, pages 106596.
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Meng-Shiuh Chang, Meng-Wei Chen & Peijie Ju. (2023) Asymmetry in Hedges, Safe Havens, Flights and Contagion: Unconditional Quantile Regression Approach. SAGE Open 13:4.
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Reinhold Heinlein & Scott M. R. Mahadeo. (2023) Oil and US stock market shocks: Implications for Canadian equities. Canadian Journal of Economics/Revue canadienne d'économique 56:1, pages 247-287.
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Cody Yu-Ling Hsiao, Rui Yang, Xin Zheng & Yi-Bin Chiu. (2023) Evaluations of policy contagion for new energy vehicle industry in China. Energy Policy 173, pages 113402.
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Ying-Yi ChihCody Yu-Ling Hsiao. (2023) Brace for Another Crisis: Empirical Evidence from US Construction Industry and Firm Performance during and after 2007–2009 Global Financial Crisis. Journal of Management in Engineering 39:1.
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Mike G. Tsionas & Nicholas Apergis. (2021) Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets . International Journal of Finance & Economics 28:1, pages 1137-1155.
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Jarosław Duda, Henryk Gurgul & Robert Syrek. (2021) Multi-feature evaluation of financial contagion. Central European Journal of Operations Research 30:4, pages 1167-1194.
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Domenico De Giovanni, Arturo Leccadito & Debora Loccisano. (2022) Co-movements, option pricing and risk management: an application to WTI versus Brent spread options. Annals of Operations Research.
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Cody Yu-Ling Hsiao & James Morley. (2021) Debt and financial market contagion. Empirical Economics 62:4, pages 1599-1648.
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Ying-Yi ChihCody Yu-Ling HsiaoAli ZolghadrNader Naderpajouh. (2022) Resilience of Organizations in the Construction Industry in the Face of COVID-19 Disturbances: Dynamic Capabilities Perspective. Journal of Management in Engineering 38:2.
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Renée Fry-McKibbin, Matthew Greenwood-Nimmo, Cody Yu-Ling Hsiao & Lin Qi. (2022) Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic. Finance Research Letters 45, pages 102150.
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Cody Yu-Ling Hsiao, Ni Sheng, Shenze Fu & Xinyang Wei. (2022) Evaluation of contagious effects of China's wind power industrial policies. Energy 238, pages 121760.
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Shenze Fu, Chengkun Liu & Xinyang Wei. (2021) Contagion in Global Stock Markets during the COVID‐19 Crisis. Global Challenges 5:10, pages 2000130.
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Cody Yu‐Ling Hsiao, Yinlin Ou, Ni Sheng & Xinyang Wei. (2021) Measuring contagion effects of nuclear energy policies and events. International Journal of Energy Research 45:8, pages 11510-11525.
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Cody Yu-Ling Hsiao, Xinyang Wei, Ni Sheng & Chengwu Shao. (2021) A joint test of policy contagion with application to the solar sector. Renewable and Sustainable Energy Reviews 141, pages 110762.
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Cody Yu-Ling Hsiao, Dan Ai, Xinyang Wei & Ni Sheng. (2021) The contagious effect of China’s energy policy on stock markets: The case of the solar photovoltaic industry. Renewable Energy 164, pages 74-86.
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José Gabriel Astaiza-Gómez. (2020) Lagrange Multiplier Tests in Applied Research. Journal de Ciencia e Ingeniería 12:1, pages 13-19.
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Cody Yu-Ling Hsiao, Weishun Lin, Xinyang Wei, Gaoyun Yan, Siqi Li & Ni Sheng. (2019) The Impact of International Oil Prices on the Stock Price Fluctuations of China’s Renewable Energy Enterprises. Energies 12:24, pages 4630.
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Nicholas Apergis, Christina Christou & Iason Kynigakis. (2019) Contagion across US and European financial markets: Evidence from the CDS markets. Journal of International Money and Finance 96, pages 1-12.
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Renee Fry-McKibbin, Matthew Greenwood‐Nimmo, Cody Yu-Ling Hsiao & Lin Qi. (2021) Higher-order Comoment Contagion Among G20 Equity Markets During the COVID-19 Pandemic. SSRN Electronic Journal.
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José Astaiza-Gómez. (2020) Lagrange Multiplier Tests in Applied Research. SSRN Electronic Journal.
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Cody Yu-Ling Hsiao & James Morley. (2015) Debt and Financial Market Contagion. SSRN Electronic Journal.
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