Please use this identifier to cite or link to this item: https://doi.org/10.1111/j.1475-6803.2004.00079.x
DC FieldValue
dc.titleContagion in financial markets after september 11: Myth or reality?
dc.contributor.authorHon, M.T.
dc.contributor.authorStrauss, J.
dc.contributor.authorYong, S.-K.
dc.date.accessioned2013-10-09T06:52:47Z
dc.date.available2013-10-09T06:52:47Z
dc.date.issued2004
dc.identifier.citationHon, M.T.,Strauss, J.,Yong, S.-K. (2004). Contagion in financial markets after september 11: Myth or reality?. Journal of Financial Research 27 (1) : 95-114. ScholarBank@NUS Repository. <a href="https://doi.org/10.1111/j.1475-6803.2004.00079.x" target="_blank">https://doi.org/10.1111/j.1475-6803.2004.00079.x</a>
dc.identifier.issn02702592
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/44268
dc.description.abstractMajor global events can lead to a change in the cross-country correlation of assets. Using stock prices from 25 economies, we test whether the terrorist attack in the United States on September 11, 2001, resulted in a contagion - an increase in correlation across global financial markets. Unlike prior works on contagion, we model the intrinsic heteroskedasticity. Our results indicate that international stock markets, particularly in Europe, responded more closely to U.S. stock market shocks in the three to six months after the crisis than before. Our evidence suggests that the benefits of international diversification in times of crisis are substantially diminished.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1111/j.1475-6803.2004.00079.x
dc.sourceScopus
dc.typeArticle
dc.contributor.departmentBUSINESS POLICY
dc.description.doi10.1111/j.1475-6803.2004.00079.x
dc.description.sourcetitleJournal of Financial Research
dc.description.volume27
dc.description.issue1
dc.description.page95-114
dc.identifier.isiutNOT_IN_WOS
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