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<datestamp>2018-01-11</datestamp>
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<setSpec>subject:qfin</setSpec>
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<publisher>HAL CCSD</publisher>
<title lang=fr>An empirical study to identify shift contagion during the Asian crisis</title>
<creator>Marais, Elise</creator>
<creator>Bates, Samuel</creator>
<contributor>Centre d'économie et de finances internationales (CEFI) ; Centre National de la Recherche Scientifique (CNRS) - Université de la Méditerranée - Aix-Marseille 2</contributor>
<contributor>Centre de Recherche en Economie, Gestion, Modélisation et Informatique Appliquée (CEREGMIA) ; Université des Antilles et de la Guyane (UAG)</contributor>
<description>International audience</description>
<source>ISSN: 1042-4431</source>
<source>Journal of International Financial Markets, Institutions and Money</source>
<publisher>Elsevier</publisher>
<identifier>hal-01288429</identifier>
<identifier>https://hal.archives-ouvertes.fr/hal-01288429</identifier>
<source>https://hal.archives-ouvertes.fr/hal-01288429</source>
<source>Journal of International Financial Markets, Institutions and Money, Elsevier, 2006, 16 (5), 〈10.1016/j.intfin.2005.08.001〉</source>
<identifier>DOI : 10.1016/j.intfin.2005.08.001</identifier>
<relation>info:eu-repo/semantics/altIdentifier/doi/10.1016/j.intfin.2005.08.001</relation>
<language>en</language>
<subject lang=fr>Granger causality</subject>
<subject lang=fr>Shift Contagion</subject>
<subject>JEL : G.G1.G15</subject>
<subject>JEL : F.F3.F30</subject>
<subject>JEL : C.C3.C32</subject>
<subject>[QFIN] Quantitative Finance [q-fin]</subject>
<type>info:eu-repo/semantics/article</type>
<type>Journal articles</type>
<description lang=en>The paper is an empirical study on contagion during the 1997–1998 Asian crisis. In line with Sander and Kleimeier [Sander, H., Kleimeier, S., 2003. Contagion and causality: an empirical investigation of four Asian crisis episodes. International Financial Markets, Institution and Money 13, 171–186], Granger causality among Asian economies on sovereign debt market is tested. Using a new measure of causality, we attempt to show the existence of shift contagion defined as significant differences in cross-markets links between tranquil and crisis periods. Firstly, non-existent links during the tranquil period play a key role during the crisis. Secondly, causality directions give evidence of the major influence of the South Korean crisis which seems to prevail on investors to reassess the whole region.</description>
<date>2006</date>
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