An examination of higher-moment contagion during the South Sea Bubble

Figures & data

Table 1. The Forbes and Rigobon (2002) test results.

	BE	RA	EI	SS	MS	MB
BE		0.586 (0.279)	4.003 (0.001)	2.607 (0.005)	0.148 (0.442)	−0.227 (0.590)
RA	0.361 (0.360)		0.333 (0.370)	0.520 (0.302)	0.766 (0.222)	0.226 (0.411)
EI	2.717 (0.004)	0.006 (0.498)		−1.606 (0.946)	−0.828 (0.797)	−0.139 (0.556)
SS	3.314 (0.001)	1.255 (0.105)	−0.161 (0.564)		−0.792 (0.786)	1.100 (0.136)
MS	−0.179 (0.572)	0.801 (0.212)	−1.708 (0.957)	−0.941 (0.827)		0.106 (0.458)
MB	0.082 (0.468)	−0.039 (0.516)	1.252 (0.106)	1.763 (0.039)	−6.898 (1.000)

In all tables, the first column (row) indicates the source (recipient) stock.The table shows values of t statistics relating to the null hypothesis of no contagion, Ho: v_y = ρ_ϰ. Probability values are contained in parentheses, in accordance with a one-tailed test, H1: v_y ρ_x.In all tables, the figures displayed in bold font correspond to instances in which it is possible to reject the null hypothesis at the 5 per cent level of s

Table 2. The Fry et al. (2010) CS test results.

	BE	RA	EI	SS	MS	MB
BE		5.258 (0.021)	4.630 (0.031)	2.528 (0.111)	13.083 (0.000)	0.050 (0.823)
RA	1.587 (0.207)		1.443 (0.229)	2.531 (0.111)	11.144 (0.000)	10.911 (0.000)
EI	18.639 (0.000)	0.837 (0.360)		10.876 (0.000)	2.514 (0.112)	9.243 (0.002)
SS	18.676 (0.000)	7.956 (0.004)	2.114 (0.145)		8.417 (0.003)	30.06 (0.000)
MS	0.037 (0.847)	5.530 (0.018)	4.407 (0.035)	0.164 (0.685)		1.947 (0.162)
MB	0.283 (0.594)	0.0503 (0.822)	0.433 (0.510)	2.147 (0.142)	0.679 (0.409)

The table shows values of a chi-square statistic, with one degree of freedom, relating to a null hypothesis of no contagion. Probability values are contained in parentheses.

Table 3. The Fry-McKibbin, Hsiao, and Martin (2017) CV test results.

	BE	RA	EI	SS	MS	MB
BE		0.636 (0.425)	51.473 (0.000)	0.670 (0.413)	11.583 (0.000)	0.057 (0.811)
RA	0.665 (0.414)		0.451 (0.501)	7.632 (0.005)	14.526 (0.000)	11.323 (0.000)
EI	63.460 (0.000)	0.476 (0.490)		441.86 (0.000)	1.528 (0.216)	4.053 (0.044)
SS	0.581 (0.445)	7.780 (0.005)	339.136 (0.000)		0.136 (0.712)	0.243 (0.622)
MS	11.284 (0.000)	15.522 (0.000)	1.361 (0.243)	96.058 (0.000)		6.807 (0.009)
MB	0.056 (0.812)	11.168 (0.000)	5.819 (0.016)	2.358 (0.124)	4.512 (0.033)

The table shows values of a chi-square statistic, with one degree of freedom, relating to a null hypothesis of no contagion. Probability values are contained in parentheses.

Table 4. The Fry-McKibbin, Hsiao, and Martin (2017) CK test results.

	BE	RA	EI	SS	MS	MB
BE		28.418 (0.000)	0.055 (0.814)	59.675 (0.000)	37.206 (0.000)	31.466 (0.000)
RA	238.015 (0.000)		3.073 (0.079)	90.198 (0.000)	15.083 (0.000)	529.076 (0.000)
EI	295.878 (0.000)	2.783 (0.095)		1607.766 (0.000)	19.163 (0.000)	199.695 (0.000)
SS	122.208 (0.000)	0.059 (0.808)	49.388 (0.000)		11.702 (0.000)	7.374 (0.006)
MS	10.314 (0.001)	69.755 (0.000)	4.576 (0.032)	1.680 (0.194)		105.681 (0.000)
MB	2.909 (0.088)	2.847 (0.091)	11.151 (0.000)	10.149 (0.001)	19.303 (0.000)

The table shows values of a chi-square statistic, with one degree of freedom, relating to a null hypothesis of no contagion. Probability values are contained in parentheses.

Forbes, K. J., and R. Rigobon. 2002. “No Contagion, Only Interdependence: Measuring Stock Market Comovements.” Journal of Finance 57 (5): 2223–2261. doi:10.1111/0022-1082.00494.

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Fry, R., V. L. Martin, and C. Tang. 2010. “A New Class of Tests of Contagion with Applications.” Journal Business & Economics Statistics 28 (3): 423–437. doi:10.1198/jbes.2010.06060.

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Fry-McKibbin, R., C. Y. Hsiao, and V. L. Martin. 2017. “Joint Tests of Contagion with Applications to Financial Crises.” CAMA Working Paper 65/2017, Australian National University.

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