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Applied Economics Letters Volume 29, 2022 - Issue 20
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Research Article

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

Mohammad S. Hasana Kent Business School, University of Kent, Canterbury, UKCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-2453-6868
ORCID Icon,
Robert Gausdenb Economics and Finance, University of Portsmouth, Portsmouth, UKORCID Iconhttps://orcid.org/0000-0003-2013-9504
ORCID Icon &
Ortenca Kumea Kent Business School, University of Kent, Canterbury, UK
Pages 1949-1953 | Published online: 31 Aug 2021

References

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  • Carlos, A. M., N. Moyen, and J. Hill. 2002. “Royal African Company Share Prices during the South Sea Bubble.” Exploration of Economic History 39 (1): 61–87. doi:10.1006/exeh.2001.0776.
  • Choudhry, T. 2018. “Stock Prices’ Interdependence during the South Sea Boom and Bust.” International Journal of Finance and Economics 23 (4): 628–641. doi:10.1002/ijfe.1640.
  • Dale, R. S., J. E. V. Johnson, and L. Tang. 2005. “Financial Markets Can Go Mad: Evidence of Irrational Behavior during the South Sea Bubble.” Economic History Review 58 (2): 233–271. doi:10.1111/j.1468-0289.2005.00304.x.
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  • Frehen, R. G. P., W. N. Goetzmann, and K. Rouwenhorst. 2009. “New Evidence on the First Financial Bubble.” NBER Working Paper 15332, Cambridge.
  • 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.
  • 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.
  • Garber, P. M. 1990. “Famous First Bubbles.” Journal of Economic Perspectives 4 (2): 35–54. doi:10.1257/jep.4.2.35.
  • Hakkio, C. S., and M. Rush. 1989. “Market Efficiency and Cointegration: An Application to the Sterling and Deutschemark Exchange Markets.” Journal of International Money and Finance 8: 75–88.
  • Rigobon, R. 2002. International Financial Contagion: Theory and Evidence in Evolution. Charlottesville, Virginia: Research Foundation of AIMR.
  • Rigobon, R. 2016. “Contagion, Spillover and Interdependence.” European Central Bank Working Paper Series No, 1975/November
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