Penulis/Peneliti : Mardi Dungey (University of Cambridge), Jan A.P.M. Jacobs (University of Groningen), and Lestano (Unika Atma Jaya)
Bidang Penelitian : Asia, financial crisis, financial contagion, synchronisation, concordance indices
Jurnal : School of Economics and Finance Discussion Papers No.2010-12 (School of Economics and Finance - University of Tasmania)
Tahun : 2011
This paper investigates the extent of concordance in financial crises by both asset market and country in six Asian countries over the period 1970-2002. To that purpose we adapt a concordance index to deal with the typically low incidence of financial crises in both bivariate and multivariate settings. We find that in the Asian countries financial crises spread across markets over geographic borders rather than between markets within countries.