Financial contagion: review of empirical literature

Abstract

Purpose

The purpose of this paper is to obtain a comprehensive structure of past empirical studies on financial contagion which can provide the present growth and future scope of research work on the field of contagion analysis.

Design/methodology/approach

Present study identifies 151 empirical studies on financial contagion and summarises all the studies on the basis of tools and methodology used, year of the studies, origin of the studies, sample period and sample countries taken, studies undertaken on the basis of different crisis period and markets considered and finally sources of the studies.

Findings

The results of the analysis show that the empirical studies on contagion increased continuously over the past five years. Higher order test of contagion with more number of sample countries may provide more accurate picture on financial contagion.

Originality/value

This paper collects, classifies and summarises past empirical studies on financial contagion and provides valuable conclusion on present growth and future scope of studies on financial contagion. The information given in this paper can be helpful for future researchers and academicians on this particular field; the summary of the conclusion (from past reviews) may be helpful for the policy makers for asset allocation and risk management.

Full text

Qualitative Research in Financial Markets
Financial contagion: review of empirical literature
Neha Seth, Laxmidhar Panda,
Article information:
To cite this document:
Neha Seth, Laxmidhar Panda, (2018) "Financial contagion: review of empirical literature",
Qualitative Research in Financial Markets, Vol. 10 Issue: 1, pp.15-70, https://doi.org/10.1108/
QRFM-06-2017-0056
Permanent link to this document:
https://doi.org/10.1108/QRFM-06-2017-0056
Downloaded on: 18 March 2018, At: 21:35 (PT)
References: this document contains references to 174 other documents.
To copy this document: permissions@emeraldinsight.com
The fulltext of this document has been downloaded 43 times since 2018*
Users who downloaded this article also downloaded:
(2017),"Financial market contagion: selective review of reviews", Qualitative Research in Financial
Markets, Vol. 9 Iss 4 pp. 391-408 <a href="https://doi.org/10.1108/QRFM-03-2017-0022">https://
doi.org/10.1108/QRFM-03-2017-0022</a>
(2018),"Heuristic biases in investment decision-making and perceived market efficiency: A survey at
the Pakistan stock exchange", Qualitative Research in Financial Markets, Vol. 10 Iss 1 pp. 85-110 <a
href="https://doi.org/10.1108/QRFM-04-2017-0033">https://doi.org/10.1108/QRFM-04-2017-0033</a>
Access to this document was granted through an Emerald subscription provided by
Token:Eprints:FFNJV6YFB557VJVFSWNR:
For Authors
If you would like to write for this, or any other Emerald publication, then please use our Emerald
for Authors service information about how to choose which publication to write for and submission
guidelines are available for all. Please visit www.emeraldinsight.com/authors for more information.
About Emerald www.emeraldinsight.com
Emerald is a global publisher linking research and practice to the benefit of society. The company
manages a portfolio of more than 290 journals and over 2,350 books and book series volumes, as
well as providing an extensive range of online products and additional customer resources and
services.
Emerald is both COUNTER 4 and TRANSFER compliant. The organization is a partner of the
Committee on Publication Ethics (COPE) and also works with Portico and the LOCKSS initiative for
digital archive preservation.
*Related content and download information correct at time of download.
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Financial contagion: review of
empirical literature
Neha Seth and Laxmidhar Panda
School of Commerce and Management, Central
University of Rajasthan, Ajmer, India
Abstract
Purpose –The purpose of this paper is to obtain a comprehensive structure of past empirical studies on
financial contagion which can provide the present growth and future scope of research work on the field of
contagion analysis.
Design/methodology/approach –Present study identifies 151 empirical studies on financial contagion
and summarises all the studies on the basis of tools and methodology used, year of the studies, origin of the
studies, sample period and sample countries taken, studies undertaken on the basis of different crisis period
and markets considered and finally sources of the studies.
Findings –The results of the analysis show that the empirical studies on contagion increased continuously
over the past five years. Higher order test of contagion with more number of sample countries may provide
more accurate picture on financial contagion.
Originality/value –This paper collects, classifies and summarises past empirical studies on financial
contagion and provides valuable conclusion on present growth and future scope of studies on financial
contagion. The information given in this paper can be helpful for future researchers andacademicians on this
particular field; the summary of the conclusion (from past reviews) may be helpful for the policy makers for
asset allocation and risk management.
Keywords Literature review, Financial contagion
Paper type Literature review
1. Introduction
For three decades, global financial markets have experienced financial and currency crises
that originate in one particular country, market or geographical region before being rapidly
transmitted more widely. This shift of crisis effect from one area to another is termed as
contagion. Recent examples of large-scale contagion include:
the Asian currency crisis that originated in Thailand and spread throughout East
Asian countries during 1997;
the market crisis that travelled from Russia to Brazil in 1998;
the spread of the USA’s subprime crisis of 2007 to several world markets; and
most recently, the European Sovereign debt crisis (ESDC) (2010) that originated in
Greece and spread to other major European and global countries.
Financial crisis is not troublesome always; it may be damaging for one market but at the
same time it has its own advantages for another. Investment-related doubts appear when the
shocks due to country-specific crisis transmit from one country to another, even though
these countries are interlinked or not owing to macroeconomic variables. Many questions
JEL classification –G10, G15
Financial
contagion
15
Received 28 June2017
Accepted 28 June2017
Qualitative Research in Financial
Markets
Vol. 10 No. 1, 2018
pp. 15-70
© Emerald Publishing Limited
1755-4179
DOI 10.1108/QRFM-06-2017-0056
The current issue and full text archive of this journal is available on Emerald Insight at:
www.emeraldinsight.com/1755-4179.htm
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

come into existence related to this such as: What are the transmission or spillover channels
of shock? Whether these channels are due to direct trade and/or financial linkages or due to
other factors like investor behaviour? What is the size and degree of the transmission of
crisis? What remedial actions should be taken to defend and control such crisis?
According to the available literature, contagion is referred as the transmission of shocks
due to crisis from one market to another (or a group of markets), institute or country, which
could not be explained by the fundamental channels. Thus, volatility spillover/transmission
and contagion play a crucial role for making major economic decisions at international level.
1.1 Historical background
The word contagion was observed before 1990s in the field of medicine where it was used
frequently but it was added to the financial dictionary after the Asian Financial crisis of
1997. Forbes and Rigobon (2002) used the word “interdependence”instead of “strong
linkages”for higher degree of co-movements between two countries, while Forbes and
Rigobon (2001) gave the advantages of shift contagion. Following Forbes and Rigobon
(2002),Caporale et al. (2005) explained the parameter stability test of correlation coefficient
analysis by controlling heteroscedasticity, endogeneity and omitting variablebias.
The first empirical study on financial contagion was given by King and Wadhwani
(1990)[1]. This study defined the contagion as significant increase in correlation between
asset returns during the stock market crash of October 1987. Eichengreen et al. (1994)
employed probability[2]-based model on the leading economic indicator of 22 countries
covering the period of 26 years, while Calvo and Reinhart (1996) used factor model (Principal
component analysis [PCA])[3] to check contagion effect on stock and bond market for the
period from 1970 to 1993. Vector Autoregression (VAR)[4] analysis was used by Baig and
Goldfajn (1998) for five selected markets for the period of 11 months during the Asian crisis
period. Corsetti et al. (2001) used bivariate correlation analysis and factor model[5] over the
time period of 18 years for the data of 18 stock markets. Dungey and Martin (2001)
introduced latent factor model[6] (i.e. class of factor model) which not only provides the sign
of contagion effect but also the size of contagion effect. Forbes and Rigobon (2002) used
Heteroscedasticity-adjusted correlation coefficient test (hereafter FR correlation)[7]on28
stock markets covering three major crisis periods (i.e. stock market crash of 1987, Mexican
crisis of 1994 and Asian crisis of 1997), and found higher interdependence in the state of
contagion effect during the crisis period. Forbes and Rigobon (2001) and Forbes and
Rigobon (2002) define contagion as a significant increase in correlation coefficient rather
than existence of correlation (also called higher order co-movements or Interdependence)
between the countries during crisis period. Bae et al. (2003) used a new approach, i.e.
Extreme return Co-exceedances test, and found that extreme negative return strongly
supported the contagion effect.
Recent empirical tests on contagion such as Co-skewness,Co-volatility and Co-kurtosis
(Fry et al.,2008;Hsiao and Morley, 2015;Fry-McKibbin and Yu-Ling Hsiao, 2015;
Tabak et al., 2016),Tail dependency Copula GARCH (Rodriguez, 2007;Aloui et al.,2011;
Kenourgios et al., 2011;Peng and Ng, 2012;Hoesli and Reka, 2013;Abbara and Zevallos,
2014;Anderson et al.,2015;Bartram and Wang, 2015;Maya et al., 2015;Jayech, 2016),
Causality test (Khalid and Kawai, 2003;Khalid and Rajaguru, 2006;Bodart and Candelon,
2009;Dooley and Hutchison, 2009;Gray, 2009;Neaime, 2012;Mollah et al.,2014;Bekiros,
2014;Islam, 2014a;Azad et al.,2015;Luchtenberg and Vu, 2015;G
omez-Puig and Sosvilla-
Rivero, 2016;Mollah et al., 2016),Markov switching model (Bekaert and Harvey, 2005;
Białkowski and Serwa, 2005;Guo et al., 2011;Ahmad et al.,2013;Dimitriou et al.,2013,
Flavin and sheenan, 2015;Rotta and Pereira, 2015;Ye et al., 2016),Regression analysis (King
QRFM
10,1
16
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

and Wadhwani, 1990;Chakrabarti and Roll, 2002;Baur, 2003;Alper and Yilmaz, 2004;Ito
and Hashimoto, 2005;Baur and Lucey, 2009;Dooley and Hutchison, 2009;Caporin et al.,2013;
Mondria and Quintana-Domeque, 2013;Glover and Richards-Shubik, 2014),VAR analysis
(Baig and Goldfajn, 1998;Khalid and Kawai, 2003;Boschi, 2005;Khalid and Rajaguru, 2006;
Dooley and Hutchison, 2009;Ahlgren and Antell, 2010;Chudik and Fratzscher, 2011;
Samarakoon, 2011;Azad et al.,2015;Flavin and Sheenan, 2015;Kilic and Ulusoy, 2015;Roy
and Roy, 2015;Mollah et al.,2016)and other including Event study and Dummy variable
approach, Flight-to-quality and Flight-to-quantity, Heterogeneous Autoregressive
Distributed Lag (HAR-DL), Johansen’s cointegration, Time-Varying Logarithmic
Conditional Autoregressive Range (TVLCARR), Vector Error Correction Mechanism
(VECM),Impulseresponse,Variancedecomposition,Waveletanalysis,Networkmodel,
Hawkes Jump Diffusion model,etc.Severalframeworks of ARCH/GARCH found from
past empirical studies on contagion that include univariate or bivariate[8]GARCH
models and multivariate GARCH model framework [such as Diagonal Vector Error
Conditional Heteroscedasticity (VECH), Multivariate GARCH model of Baba-Engle-Kraft-
Kroner (1989) (BEKK), Constant Conditional Correlation (CCC), Dynamic Conditional
Correlation (DCC), DCC with External repressor (DCCX), Asymmetric DCC [ADCC],
Asymmetric Generalised DCC [AGDCC] and TDCC [DCC with Student t-distribution]].
Major studies used DCC[9] model for data analysis. Very few numbers of studies were
found that have employed ADCC[10] and AGDCC[11]models.
From the sample studies that are considered for the present paper, Glick and Rose (1999)
used maximum number of sample countries which is 161 in number. It covers five
prominent financial events over 20 years which include 1971’s Bretton Woods system
problem, 1973’s Smithsonian Agreement collapse, 1992-1993’s European Monetary System
crisis, 1994’s Mexican crisis and 1997’sAsianfinancial crisis. Some studies focused on only
one country (or market) such as Guo et al. (2011),Dorra and Achraf (2014),Flavin and
Sheenan (2015),Roy and Roy (2015). On the other hand, Dewandaru et al. (2016) considered
maximum time period, i.e. 42 years data (from 1970 to 2011), from three stock markets, while
Pan et al. (2015),King and Wadhwani (1990) and Billio and Pelizzon (2003) used very small
sample periods, i.e. three, eight and 9 months, respectively. Some studies considered the
research period as 11 months (Baig and Goldfajn, 1998;Dungey et al., 2002, 2006;Corsetti
et al., 2005).
From the sample studies used for the present paper, major number of studies focused on
Asian crisis 1997-1998, followed by global financial crisis (GFC) 2008, ESDC 2010, Russian
Bond default 1998, Mexican crisis (Tequila effect) 1994 and Global crisis 2007 (subprime
crisis). Considering the three recent crisis events (i.e. subprime crisis, GFC and ESDC), the
studies which have focused only on subprime crisis include Dooley and Hutchison (2009),
Celık (2012),Gallegati (2012),Dimitriou and Simos (2013),Hoesli and Reka (2013),Chittedi
(2014),Dimitriou and Simos (2014),Anderson et al. (2015),Flavin and Sheenan (2015),Lin
et al. (2015),Hemche et al. (2016) and Ye et al. (2016). The studies that have focused only on
GFC are Moosa (2010),Aloui et al. (2011),Chudik and Fratzscher (2011),Guo et al. (2011),
Kazi et al. (2011),Samarakoon (2011),Min and Hwang (2012),Neaime (2012),Dimitriou et al.
(2013),Guesmi et al. (2013),Kenourgios et al. (2013a,2013b),Mighri and Mansouri (2013),
Choudhry and Jayasekera (2014),Dungey and Gajurel (2014),Gammoudi and Cherif (2014),
Islam (2014a,2014b),Jung and Maderitsch (2014),Kenourgios and Dimitriou (2014),Mighri
and Mansouri (2014),Mollah et al. (2014),Kenourgios and Dimitriou (2015),Kim et al. (2015),
Luchtenberg and Vu (2015),Fry-McKibbin and Yu-Ling Hsiao (2015),Pan et al. (2015) and
Jin and An (2016) and the studies that have concentrated only on ESDC are Arghyrou and
Kontonikas (2012),Missio and Watzka (2011),Constancio (2012),Mink and De Haan (2013),
Financial
contagion
17
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Ahmad et al. (2013),Beirne and Fratzscher (2013),Caporin et al. (2013),Ahmad et al. (2014),
Chira and Marciniak (2014),Glover and Richards-Shubik (2014),Shen et al. (2015),Suh
(2015),Jayech (2016) and G
omez-Puig and Sosvilla-Rivero (2016). There are few studies
where combined work was done on GFC and ESDC, and these studies include Daj
cman
(2014),Kazi et al. (2014),Kenourgios (2014),Bartram and Wang (2015),Roy and Roy (2015),
Tabak et al. (2016),Mollah et al. (2016),Rotta and Pereira (2015) and Yang et al. (2016).
The objective of the present study is to comprehend the present status of empirical
studies available on financial contagion by reviewing the earlier published and unpublished
research work on the same. The theoretical portion of contagion analysis (i.e. channels,
causes and theories of financial contagion) is not considered, as it is out of the scope of the
present paper. Rest of the paper is formulated as follows: Section 2 focuses on the
objective(s) of the paper. Data and methodology used for this paper are described in
Section 3. Detailed classification and discussion of the empirical studies on contagion are given
in Section 4. And finally, findings and conclusion of this paper are analysed in Section 5.
2. Data and methodology
2.1 Data
In all, 151 research papers on financial market contagion were obtained from various sources
covering the period from 1990 to 2015. Of these 151 papers, 124 papers are from referred
journals, 27 are working paper series (four are from International Monetary Fund [IMF], three
are from The National Bureau of Economic Research [NBER] and eight are from other sources),
2 are discussion papers, 3 are conference papers and one is a national seminar. Remaining six
papers were downloaded from different websites and institutional electronic databases. Table I
(given in Annexure–1) reported the classification of the several research papers on the basis of
year of study, sources of papers, country where the research took place, sample period covered,
number of sample countries, markets on which the research was performed (like: stock, bond,
commodity, foreign exchange (FX), real estate or oil market), methodology adopted and the
conclusion and findings reported by the researchers.
2.2 Methodology
Thearticlesusedassampleforthepresentstudyaresearchedusingvariouskeywordslike
“financial contagion”,“financial market contagion”or “international stock market contagion
and spillover”. A large number of papers were obtained using above keywords but according
to the relevance of the subject under consideration, and 151 research papers related to
international financial market contagion were shortlisted for the present study. After studying
these papers carefully, all the research papers are classified in the following categories:
methodology used to test the contagion effect;
year-wise classification (from 1990 to 2016);
country-wise classification (country where research was done);
number of periods taken as sample data;
number of sample countries considered;
number of studies on the basis of crisis;
paper-type-wise classification (papers in combination with contagion, spillover and
integration);
classification on the basis of markets used (stock, bond, commodity, forex, etc.); and
sources of the papers.
QRFM
10,1
18
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
1King and
Wadhwani (1990)/
RFS/UK
Transmission of
volatility between
stock markets
July 1987
Feb 1988
(8 months)
3 Stock markets Future
markets
Regression and
correlation
The empirical result supports the evidence of
contagion effect from US stock market crash
(contagion coefficient increase during the
crash) and characterises the transmission
mechanism as volatility-related increase in
contagion effect rather than increase in
correlation between countries
2Eichengreen et al.
(1994)/NBER
working paper/
USA
Speculative attacks
on pegged exchange
rates: an empirical
exploration with
special reference to
the European
Monetary System
1967-1992
(26 years)
22 Leading fundamental
indicators
Probability-based test
of contagion (Probit
model)
Significantly different behaviours from major
macroeconomic indicators are shown
between crisis and non-crisis periods
3Calvo and Reinhart
(1996)/World Bank
Policy Research
WP series/USA
Capital flows to Latin
America: is there
evidence of contagion
effects?
1970-1993
(25 years)
17 Stock markets
Bond markets
Factor model (PCA) Found theincreased degree ofco-movement
between equity and bond return for emerging
market in Latin America at the beginning of the
Mexican crisis and suggested that the Mexican
contagion may be more regional than global.
The balance of capital account was significantly
affected by the change in US interest rate.
When interest rate increased the capital to flow
continuously from Latin America
4Masson (1998)/IMF
WP/USA
Contagion:
monsoonal effects,
spillover and jumps
between multiple
equilibria
Jan 1994
Jan 1998
(4 years)
16 Leading fundamental
indicators
Simple balance of
payments model
Concluded early identification of crisis is
difficult, as it occurred due to stochastic
event (which may be statistically analysed
but unpredictable)
5Baig and Goldfajn
(1998)/IMF staff
paper/Brazil
Financial market
contagion in the
Asian crisis
2 Jul 1997
18 May 1998
(11 months)
5 Stock markets
Bond (credit default swap
hear after CDS) markets
FX markets
Money markets
VAR analysis Found the evidence of cross-border contagion
in both equity and currency markets and the
evidence of increased correlation coefficients
between currency and sovereign spread
during the crisis period
6Glick and Rose
(1999)/JIMF/USA
Contagion and trade,
why are currency
crisis regional?
1979-1998
(20 years)
161 Leading fundamental
indicators
Multivariate Probit
model
Macroeconomic factor did not help to explain
cross-country incident of speculative attack
and identified trade link as a channel of
spreading currency crisis internationally
(continued)
Table I.
Classification of
empirical literature
on financial
contagion
Financial
contagion
19
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
7Caramazza et al.
(2000)/IMF WP/
USA
Trade and financial
contagion in
currency crisis
1990-1998
(9 years)
61 FX markets Panel Probit regression Exchange rate regime and capital control did
not have a more significant role in crisis,
whereas common creditors and reserve
adequacy displayed a strong support to crisis
transmission
8Corsetti et al.
(2001)/Yale
Economic Growth
Center Discussion
Paper/Italy
Correlation analysis
of financial
contagion:
What one should
know before running
a test
Jan 1990
Mar 2008
(18 years
3 months)
18 Stock markets Factor model
Bivariate correlation
analysis
Found the contagion effect from the pair
correlation analysis and suggested that the
most pairs of stock market support the effect
of contagion only if the variance of country-
specific shock set as level
9Dungey and
Martin (2001)/New
York Stock
Exchange
Conference Paper/
Australia
Contagion across
financial markets: an
empirical assessment
2 Jul 1997
31 Aug 1998
(1 years
2 months)
6 Stock markets
FX markets
Latent factor model The result revealed the presence of contagion
and spillover from currency market to most
of the equity markets (opposite in the case of
Indonesia) and found contagion effect in both
currency and equity return for Indonesia
financial market
10 Dungey and
Zhumabekova
(2001a)/Federal
Reserve Bank of
San Francisco
working paper
/Australia
Testing for contagion
using correlations:
some word of caution
1 Jan 1986
30 Apr 1998
(12 years
4 months)
10 Stock markets Correlation test of
contagion for short and
long crisis period using
heteroscedasticity-
adjusted correlation
coefficient
(Fisher t-
transformation)
Long crisis correlation coefficient displayed
significant contagion effect in six sample
countries while did not find any evidence of
contagion from short-period coefficient
11 De Gregorio and
Valdes (2001)/IFC/
Chile
Crisis transmission:
evidence from the
Debt, Tequila, and
Asian Flu Crises
25 years 20 Leading fundamental
indicators
Neighbourhood effects are explained
strongly, the countries showing similarities
growth during pre-crisis period and trade
link are explained to a less extent, debt
position and exchange rates are explained
some extend and capital control did not
explain anything about the contagion effect
(continued)
Table I.
QRFM
10,1
20
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
12 Chakrabarti and
Roll (2002)/JFM/
USA
East Asia and
Europe during the
1997 Asian collapse:
a clinical study of a
financial crisis
31 Dec 1993
31 Dec 1998
(5 years)
16 Stock markets
FX markets
Regression analysis In both east Asia and European region
volatility, correlation and covariance increase
from pre-crisis to crisis period but the
increasing rate was much larger in the case of
Asia.
During the crisis volatility, contagion
increased significantly mostly in case of the
Asian region.
The diversification opportunities before crisis
period were better in the Indian market as
compared to Europe and finally suggested
that exchange rate plays a vital role in
diversification prospect
13 Dungey (2002)/IMF
WP/Australia
International
contagion effects
from the Russian
crisis and the LTCM
near collapse
Feb-Dec 1998
(11 months)
12 Bond markets Dynamic Latent Factor
model
The result shows the contagion effect from
both Russian and LTCM crisis to most of the
sample countries and the contribution of
contagion towards volatility larger in the
case of a developed country as compared to
the developing countries
14 Forbes and
Rigobon (2002)/JF/
USA
No contagion, only
Interdependence:
measuring stock
market co-
movements
1 Jan 1986
17 Oct 1998
(12 years 10 months)
28 Stock markets FR correlation test
(heteroscedasticity-
adjusted correlation
coefficient)
Found the evidence of contagion from
unadjusted correlation coefficient, but
adjusted correlation coefficient indicates no
contagion and suggested that the high co-
movements among the sample markets exist
during the crisis period in states of contagion
15 Lopes and Migon
(2002)/Lecture note
in Statistic, case
study in Bayesian
Statistic/Brazil
Co-movements and
contagion in
emergent markets:
stock indexes
volatilities
1 Aug 1994
14 Feb 2000
(5 years
7 months)
5 Stock markets Bayesian analysis
Factor model
Multivariate stochastic
volatility model
For analysis of the co-movements, this article
combined the stochastic volatility model with
factor model and found the evidence of
contagion in most of the sample countries
during the turbulence period
16 Bae et al. (2003)/
RFS/South Korea
A new approach to
measuring financial
contagion
1 Apr 1992
29 Dec 2000
(8 years
9 months)
19 Stock markets Multivariate logistic
regression model
Co-exceedances test
Contagion can be predictable through
regional economic variables such as
exchange rate, interest rate and conditional
stock return volatility.
External negative return strongly supported
crisis contagion during the sample period
(continued)
Table I.
Financial
contagion
21
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
17 Baur (2003)/JMFM/
Germany
Testing for
contagion-mean and
volatility contagion
30 Apr 1997
30 Oct 2001
(4 years
6 months)
11 Stock markets Regression analysis Both mean and volatility contagion reported
during Hong Kong crisis period, while only
volatility contagion reported during Thailand
crisis over 11 Asian sample markets.
During the first phase (i.e. one month gap
between Thailand and Hong Kong crisis)
crisis transmitted through volatility
channels, then after Hong Kong crisis it
spread through both mean and volatility
channels
18 Billio and Pelizzon
(2003)/JEB/Italy
Contagion and
interdependences in
stock markets: have
they been
misdiagnosed?
Jun 1997
Feb 1998
(9 months)
3 Stock markets FR correlation test
CPS correlation
(adjusted correlation
model given by Corsetti
et al., 2001)
DCC (dynamic
conditional correlation)
CPS test resulted in comparatively strong
evidence of contagion effect than FR test
during the three (the US stock market crash,
Asian and Mexican crisis) different crisis
period and argued that both the correlation
test models are highly affected by the
presence of omitting variables problem
19 Khalid and Kawai
(2003)/JAE/
Australia
Was financial market
contagion the source
of economic crisis in
Asia? Evidence using
a multivariate VAR
model
1 Jul 1997
30 Jun 1998
(1 year)
9 Stock markets
FX markets
Money markets
VAR
Granger causality test
Impulse response
function
The empirical evidence did not support the
presence of contagion from Asian financial
crisis to nine selected East Asian country
20 Rigobon (2003)/JIE/
USA
On the measurement
of the international
propagation of
shocks: is the
transmission stable?
Jan 1993
Dec 1998
(6 years)
36 Stock markets
FX markets
Money markets
Parameter stability in
DCC model
The parameter stability model described
strongly shift in shock propagation during
Asian (Thailand) crisis while the possibility
to shift and no shift of shock propagation
during Russian and Mexican crisis,
respectively
21 Alper and Yilmaz
(2004)/ES/Turkey
Volatility and
contagion: evidence
from the Istanbul
stock exchange
Jan 1992
Dec 2001
(10 years)
7 Stock markets Rolling regression
MA(2)-GARCH(1,1)
Contemporaneous
correlation
The test revealed clear evidence of volatility
persistence as well as volatility contagion
towards Istanbul stock exchange from
financial centre
(continued)
Table I.
QRFM
10,1
22
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
22 Caramazza et al.
(2004)/JIMF/USA
International
financial contagion in
currency crises
18 months (36-month crisis
event)
41 FX markets Panel Probit regression Latin America and Asian countries are
mostly affected by Mexico and Asian crisis
respectively.
Whereas Russian crisis mostly affect
transition Europe and some extend to
industrial and Latin American countries.
Found, financial linkage channels played an
important role in the transmission of a
currency crisis (after controlling Trade,
domestic and external fundamental and
financial weakness)
23 Fernandez-
Izquierdo and
Lafuente (2004)/
GFJ/Spain
International
transmission of stock
exchange volatility:
empirical evidence
from the Asian crisis
7 Jan 1997
28 Dec 2001
(4 years)
12 Stock markets PCA
Bivariate GJR-GARCH
model
The result supported the evidence of
contagion effect among the 12 sample
markets and specified significant leverage
effect both from own and foreign negative
shock in all common factor
24 Wilson and
Zurbruegg (2004)/
JPIF/Australia
Contagion or
interdependence?:
evidence from co-
movements in Asia-
Pacific securitised
real estate markets
during the 1997 crisis
5 Jan 1994
7 Jan 1998
(4 years)
5 Real estate markets FR correlation analysis
and parameter stability
test
Found little evidence of contagion from
Thailand to Hong Kong and Singapore
during the Asian crisis 1997
25 Baele (2005)/JFQA/
Belgium
Volatility spillover
effects in European
equity markets
Jan 1980
Aug 2001
(21 years
8 months)
13 Stock markets Regime switching
model
Multivariate
generalised
autoregressive
conditional
heteroscedasticity
model given by Baba
et al. (1989) (BEKK-
GARCH)
Found the contagion spread from the USA to
European Union (EU) and suggested that the
EU stock spillover intensity increased due to
trade integration, equity market development
and low inflation
26 Bekaert and
Harvey (2005)/JB/
Columbia
Market integration
and contagion
Jan 1980
Dec 1998
(19 years)
22 Stock markets CAPM (two-factor
model with time-
varying framework)
Asymmetric GARCH
The result did not find any evidence of
contagion from Mexico crisis while identified
increasing residual correlation during the
Asian crisis, which implied significance
contagion effect on Asian crisis
(continued)
Table I.
Financial
contagion
23
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
27 Białkowski and
Serwa (2005)/QF/
Germany
Financial contagion,
spillovers and
causality in the
Markov switching
framework
1 Jun 1995
30 May 1998
(3 years)
2 Stock markets Bivariate Markov
switching model
Reported strong evidence of feedback
spillover but no evidence of contagion
28 Boschi (2005)/AFE/
UK
International
financial contagion:
evidence from the
Argentine crisis of
2001-2002
1 Dec 2001
29 Nov 2002
(1 years)
7 Stock markets
FX markets
Bond markets
VAR mode
FR correlation
Generalise impulse
response function
Generalise error
variance decomposition
The result supported non-crisis contingent
theory of international financial crisis and did
not found any evidence of contagion from
Argentina crisis to selected sample markets
(correlation coefficient decrease during crisis
period)
29 Caporale et al.
(2005)/JEF/UK
Testing for
contagion: a
conditional
correlation analysis
1 Jan 1990
31 Jul 1998
(8 years
7 months)
9 Stock markets GARCH (1,1)
Parameter stabilities
model is given by
(Rigobon, 2003)
Supported the crisis contingent theory of
asset market linkage and reported the
evidence of contagion within the east Asian
markets
30 Corsetti et al.
(2005)/JIMF/Italy
Some contagion,
some
interdependence:
More pitfalls in tests
of financial contagion
1 Jan 1997
30 Nov 1997
(11 months)
11 Stock markets Factor model
CPS correlation
analysis
The model of this paper found the evidence of
contagion from Hong Kong to Singapore,
Philippines, France, Italy and UK which
gives a strong opposition against “No
contagion only interdependences”and
concluded at least five countries were
affected due to contagion from Hong Kong
crisis (October 1997)
31 Dungey et al.
(2005a,2005b,
2005c)/
Unpublished WP,
University of
Melbourne/
Australia
A Monte Carlo
analysis of
alternative tests of
contagion
1 Jun 1994
15 Nov 1998
(4 years 6 months)
9 Stock markets
FX markets
Bond market
Monte Carlo Analysis
Latent Factor model
FR correlation test
Dummy variable
approach of contagion
analysis given by
Favero and Giavazzi,
2002 (FG test)
Probability-based test
Some model for contagion testing indicates
that the contagion effect where it really does
not exist and concluded that the factor model
given by Dungey et al. (2005a) is probably the
best model for contagion test
32 Dungey et al.
(2005a)/ecite.utas.
edu.au/Australia
A comparison of
alternative tests of
contagion with
applications
1 Jun 1994
3 Dec 2001
(7 years
6 months)
7 Stock markets Latent factor model
FR correlation test
Dummy variable
approach
Probability based test of
Bae et al. 2003 (BKS test)
Found mixed result from FR correlation test
whereas found sign of contagion from
endogeneity-correlated FG test for all pairs of
the country
(continued)
Table I.
QRFM
10,1
24
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
33 Dungey et al.
(2005b)/QF/
Australia
Empirical modelling
of contagion: a
review of
methodologies
1 Jan 1997
31 Aug 1998
(1 year
8 months)
3 Stock markets Latent factor model
FR correlation test
Dummy variable
approach
Probability-based test
In all the cases, no contagion found from FR
test while FG test reported opposite result
which is not reliable. The result of BKS test
presented inconsistent result with
comparison to DFGM (model given by
Dungey et al., 2005a) and FG test
34 Ito and Hashimoto
(2005)/AEJ/Tokyo
High-frequency
contagion of
currency crises in
Asia
3 Jan 1994
30 Jun 1997*
7 Jul 1999
(5 years
6 months)
6 Stock markets
FX market*
Regression analysis Found the existence of high-frequency
contagion among six Asian markets through
both the channels of stock and FX market.
Argued that Indonesia was responsible for
FX market fluctuation in another country
while spillover from Thailand FX to other
country was very low and finally identified
bilateral trade linkage as the channels of
contagion
35 Serwa and Bohl
(2005)/ES/
Germany
Financial contagion
vulnerability and
resistance: a
comparison of
European stock
markets
Sep 1997
Sep 2002
(5 years)
17 Stock markets FR correlation analysis Western European markets were more
vulnerable to contagion with compare to
Central Eastern Europe (CEE)
36 Bond et al. (2006)/
JREFE/UK
A web of shocks:
crises across Asian
real estate markets
1 Jan 1997
31 Mar 1998
(1 year 3 months)
157 real estate
company from
six countries
Stock markets
Real estate markets
Multivariate latent
factor model (Dungey
and Martin, 2001)
Transmission of shock differs across the real
estate and equity market from regional
equity market and Hong Kong was the centre
of contagion identified by simple correlation
model.
Hong Kong played an primary role while
Singapore and Japan played a secondary role
for transmission of crisis while Australia and
USA (small extent) are the receiver of
contagion for all period
37 Cappiello et al.
(2006)/JFE/
Germany
Asymmetric
dynamics in the
correlations of global
equity and bond
returns
8 Jan 1997
7 Feb 2002
(5 years
1 months)
21 Stock markets
Bond markets
DCC, ADCC,
Generalised DCC
(GDCC), AGDCC
Strong evidence of asymmetric effect in
conditional volatility and conditional
correlation in the equity markets in a
compared to bond market returns.
Conditional correlation and volatility
significantly increased among the regional
market during the period of financial turmoil
(continued)
Table I.
Financial
contagion
25
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
38 Dungey et al.
(2006)/JFS/
Australia
Contagion in
international bond
markets during the
Russian and the
LTCM crises
Feb 1998
Dec 1998
(11 months)
12 Bond markets Latent factor model Both the developed and the emerging
markets were affected due to crisis contagion
and suggested maximum about 17% of total
volatility in bond market contributed by
contagion effect
39 Gravelle et al.
(2006)/JIE/USA
Detecting shift-
contagion in
currency and bond
markets
Currency:
2 Jan 1985
6 Jun 2001
(16 years
5 months)
Bond yield:
2 Jan 1991
19 Sep 2001
(10 years
9 months)
10 FX markets
Bond markets
Likelihood ratio tests
for shift-contagion
Regime switching
model
Shocks were transmitted generally through a
long-term linkage in the case of Latin
American countries, so short-term strategy
may not be effective to reduce the
vulnerability from contagion and the
transmission was found only during the
crisis period so that it could be reduced
through certain stabilising policy such as FX
intervene, tight monetary policy
40 Khalid and
Rajaguru (2006)/
Bond University
Australia Seminar
Paper/Australia
Financial market
contagion or
spillovers
evidence from Asian
crisis using
multivariate GARCH
approach
5 Jan 1994
31 Dec 1999
(6 years)
10 FX markets ARFIMA
Multivariate GARCH
VAR(4)-MGARCH(1,1)-
BEKK
Johansson
cointegration
Granger causality
Stated a weak support of contagion effect
during pre-crisis while currency market
linkage increased during and after the crisis
41 Chiang et al. (2007)/
JIMF/USA
Dynamic correlation
analysis of financial
contagion:
evidence from Asian
markets
1 Jan 1990
21 Mar 2003
(14 years
3 months)
10 Stock markets FR correlation
DCC-GARCH
Sovereign credit rating agency played an
important role in changing the structure of
conditional correlation in the Asian market.
Identified two separate phases of Asian crisis
such as contagion phases (increasing
correlation in the 2nd half. 1997 and pick at
1998) and Harding (continuous high
correlation till the end of 1998)
42 Rodriguez (2007)/
JEF/The
Netherlands
Measuring financial
contagion: a copula
approach
1 Jan 1996
30 Jun 1998
(2 years
6 months)
1 Jan 1993
31 Dec 1995
(3 years)
9 Stock markets Tail dependence
copula-GARCH
Switching ARCH model
is given by Hamilton
and Susmel, 1994
[AR(1)-SWARCH(2,1)]
Increased dependence on asymmetric nature
across Asian countries while symmetric and
tail independence across Latin American
countries found and finally reported the
dependency and significant changes during
the crisis period
(continued)
Table I.
QRFM
10,1
26
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
43 Sojli (2007)/AFE/
UK
Contagion in
emerging markets:
the Russian crisis
1 Jan 1997
31 Aug 1998
(1 years
8 months)
4 Stock markets FR correlation analysis
and
The full information
model of Favero and
Giavazzi, 2002
Found high interdependence among the stock
market rather than contagion
44 Tai (2007)/EMR/
USA
Market integration
and contagion:
evidence from Asian
emerging stock and
FX markets
Jan 1980
Mar 2001
(21 years
3 months)
6 Stock markets
FX markets
Dynamic (CAPM)
GARCH(1,1)-in-mean
Fully integration was find among six sample
markets since the date of liberalisation.
The result was shown strong contagion effect
of return shocks from domestic stock market
to its FX market during the crisis period
45 Cho and Parhizgari
(2008)/IJBF/USA
East Asian financial
contagion under DCC
GARCH
1 Jan 1996
1 Mar 2005
(9 years
4 months)
9 Stock markets DCC(1,1)-GARCH(1,1) Found the contagion effect in all the sources
(Hong Kong and Thailand) and target
(Indonesia, Korea, Singapore, Malaysia,
Philippines, Taiwan) country during East
Asian financial crisis.
Taiwan was mostly affected from Thailand
crisis contagion and Korea from Hong Kong
crisis contagion effect
46 Fry et al. (2008)/
CAMA WP series/
Australian
A new class of tests
of contagion with
applications to real
estate markets
1 Jan 1996
30 Jun 1998
(3 years
6 months)
2 Jan 2007
25 Dec 2007
(1 year)
7 Stock markets
Real estate markets
FR correlation
Co-skewness
Supported contagion in both Hong Kong and
subprime crisis from FR correlation model
and argued that the co-skewness reveals high
significant level of contagion with compared
to FR correlation model
47 Kleimeier et al.
(2008)/OBES/The
Netherlands
Measuring financial
contagion using time-
aligned data: the
importance of the
speed of
transmission of
shocks
1 Jan 1996
30 Dec 1997
(2 years)
14 Stock markets FR correlation analysis
in time-aligned data
Rejected the hypothesis of Forbes and
Rigobon (2002) “no contagion Only
interdependencies”and suggested short crisis
period may not provide a better result for
contagion analysis
48 Sriananthakumar
and Silvapulle
(2008)/AFE/
Australia
Multivariate
conditional
Heteroscedasticity
models with dynamic
correlations for
testing contagion
16 Jul 1992
4 Jul 2002
(10 years)
4 Stock markets Time-varying
correlation MGARCH
model (VCMGARCH)
Strong contagion effect found between
Thailand with Malaysia and Korea and
Korea with Malaysia and Indonesia
(continued)
Table I.
Financial
contagion
27
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
49 Baur and Lucey
(2009)/JFS/Ireland
Flights and
contagion –an
empirical analysis of
stock–bond
correlations
Jan 1994
Sep 2006
(12 years
9 months)
8 Stock markets
Bond markets
Flight-to-quality
Flight-from-quality
AR(1)-GARCH(1,1)-
DCC(1,1)
Panel regression model
Cross stock market contagion characterised
by Hong Kong and Russian crisis and the
Enron crisis followed by bond market
contagion (jointly falling bond markets)
50 Bodart and
Candelon (2009)/
EMR/Belgium
Evidence of
interdependence and
contagion using a
frequency domain
framework
1 Jan 1993
31 Dec 1998
(6 years)
12 Stock markets Causality in the
frequency domain
model
The result of the causality test identified the
evidence of contagion in both Asian and
Mexican crisis and concluded higher
interdependence during Asian crisis also
makes confusion on the decision of the
contagion effect
51 Dooley and
Hutchison (2009)/
JIMF/USA
Transmission of the
US subprime crisis to
emerging markets:
evidence on the
decoupling–
recoupling
hypothesis
1 Jan 2007
19 Feb 2009
(2 years
2 months)
15 Bond markets Event studies
regression
Granger causality VAR
Impulse response
function
Both the statistical and economical result
directed the emerging markets were mostly
influenced by the news generated from the
USA, either from real economic or financial
factor
52 Gray (2009)/IJEM/
UK
Financial contagion
among members of
the EU-8: a
cointegration and
Granger causality
approach
15 Jul 2005
28 Oct 2008
(3 years
3 months)
8 FX markets Johanson cointegration
VECM
Granger causality
Increased cross countries linkage, i.e.
cointegration among the sample country after
the starting of US banking crisis while from
EURO found stable linkage over the sample
period
53 Kogid et al. (2009)/
IJBM/Malaysia
Asian financial crisis:
an analysis of the
contagion and
volatility effects in
the case of Malaysia
July 1997
Aug 2000
(3 years
1 months)
6 FX markets GJR-GARCH The reason of Malaysian crisis not only is the
economic fundamental weakness but also the
volatility and contagion originated from
Thailand and Singapore
54 Saleem (2009)/
RIBF/Finland
International linkage
of the Russian
market and the
Russian financial
crisis: a multivariate
GARCH analysis
June 2007
Jan 2015
(7 years
8 months)
5 Stock markets Bivariate GARCH(1,1)-
BEKK
Found contagion and positive integration in
Russian equity markets with world markets
and displayed strong return and volatility
linkage of Russian equity market with other
markets
(continued)
Table I.
QRFM
10,1
28
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
55 Ahlgren and Antell
(2010)/QREF/
Finland
Stock market
linkages and
financial contagion: a
cobreaking analysis
Jan 1980
Aug 2006
(26 years
8 months)
7 Stock markets VAR co-breaking
analysis
Strong evidence of co-breaking is found
among developed markets while somewhat
effect in emerging market and did not find
any evidence of contagion during Mexica-
1994, Asian-1997, Russian-1998 crisis, finally
found the evidence of co-breaking in
emerging market Hong Kong and Korea
during non-financial event such as 2001
Terrorist attack, which may not take as
financial contagion rather it was co-
movement.
Argued that the evidence of short-term
linkage during the crisis period (did not show
any sign of contagion effect) that may be
more important for policy regulator and
investors
56 Baele and
Inghelbrecht
(2010)/JIMF/The
Netherlands
Time-varying
integration,
interdependence and
contagion
Jan 1973
Aug 2007
(34 years
8 months)
15 Stock markets Two-factor model with
latent regime variables
and structural
instruments
Only one crisis (1987 crash) event revealed
the existence of contagion from the test on
countries residual and test of contagion on
residual from time-varying factor model
indicated contagion effect on four out of eight
crisis events and suggest both structural and
cyclical component of the factor model affect
the test of the contagion
57 Moosa (2010)/IJBF/
Kuwait
Stock market
contagion in the early
stages of the GFC:
the experience of the
GCC countries
2 Jan 2007
31 Dec 2008
(2 years)
8 Stock markets
Oil markets
Structural time series
model is given by
Harvey (1989,1997)
The sample countries showed high degree of
correlation with oil price rather than US stock
price and concluded that GCC market mostly
fluctuated by a local factor as well as oil price
change rather than the US stock market
changes
58 Yiu et al. (2010)/
AFE/Hong Kong
Dynamic correlation
analysis of financial
contagion in Asian
markets in global
financial turmoil
Feb 1993
Mar 2009
(16 years
2 months)
12 Stock markets PCA
ADCC
Found the contagion effect from the US to
Asian market during GFC, and did not find
any contagion effect during the Asian
financial crisis
(continued)
Table I.
Financial
contagion
29
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
59 Aloui et al. (2011)/
JBF/Tunisia
GFC, extreme
interdependences,
and contagion
effects: the role of
economic structure?
22 Mar 2004
20 Mar 2009
(5 years)
5 Stock markets Copula approach Strong evidence of dynamic dependence
found within BRIC and USA during both
upward and downward market period
60 Arghyrou and
Kontonikas (2012)/
JIFMIM/UK
The EMU sovereign
debt crisis:
fundamentals,
expectations and
contagion
Jan 1999
Apr 2010
(11 years
3 months)
10 Bond markets
FX markets volatility
index (VIX)
OLS-HAC time series
estimation
Found the contagion from Greece to Portugal,
Ireland and Spain and did not find any
significant effects of speculation on the
European Monetary Union (EMU) CDS
market spread
61 Barassi et al.
(2011)/Singapore
Economics Review
Conference
August-2011/UK
TDCC GARCH
modelling of
volatilities and
correlations of
emerging stock
markets
15 May 1995
7 May 2010
(15 years)
20 Stock markets TDCC (t-distribution
return of DCC) GARCH
model (Pesaran and
Pesaran, 2010)
FR correlation analysis
TDCC model provides a better result than
DCC model and found the contagion effect
during subprime crisis 2007 and GFC was not
widespread at all
62 Baumöhl et al.
(2011)/AEL/
Slovakia
Shift contagion with
endogenously
detected volatility
breaks: the case of
CEE stock markets
5 Jan 1998
29 Mar 2010
(12 years
3 months)
5 Stock markets DCC-GARCH DCC model comparatively more appropriate
model to identify shift-contagion effect and
found positive linkage in DCC and
conditional volatility, which support the
behaviour of shift contagion
63 Chudik and
Fratzscher (2011)/
EER/Germany
Identifying the global
transmission of the
2007-2009 financial
crisis in a GVAR
model
1 Jan 2005
31 July 2009
(4 years
6 months)
26 Stock markets
Money markets
GVAR (global VAR)
model
Impulse response
function
Variance
decomposition
Tighten liquidity condition and investor’s
risk attitudes played a vital role in global
transmission process for advanced and
emerging country respectively.
US-specific shock affected interest rate and
financial condition in the advance economy,
while equity market (some) strongly affected
in emerging economy
64 Guo et al. (2011)/
IREF/USA
Markets contagion
during financial
crisis: a regime-
switching approach
Oct 2003
Mar 2009
(5 years
6 months)
1 Stock markets
Real estate markets
Bond (CDS) markets
Energy markets
Markov switching
model
Variance
decomposition
Impulse response
function
During the crisis period, stock and oil price
changes were a responsible factor for CDS
market and stock market variation,
respectively.
Energy market also varied mostly due to
shock originated from stock markets rather
than credit and housing market
(continued)
Table I.
QRFM
10,1
30
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
65 Kazi et al. (2011)/
Kiel Institute for
the World
Economy,
economics
discussion papers/
France
Contagion effect of
financial crisis on
OECD stock markets
2 Jan 2002
1 Jun 2009
(7 years
5 months)
17 Stock markets DCC-GARCH(1,1)
Bai-Perron’s structural
break model
The result of high co-movement in stock
market signified the evidence of contagion
effect from the USA to OECD stock market
66 Kenourgios et al.
(2011)/IJFMIM/
Greece
Financial crises and
stock market
contagion in a
multivariate time-
varying asymmetric
framework
2 Jan 1995
31 Oct 2006
(11 year
10 months)
8 Stock markets Conditional copula:
multivariate regime
switching Gaussian
copula model
AGDCC
Found the evidence of contagion from crisis
origin countries to all other countries and
suggested industries specific shock had a
large impact than country-specific crisis
shocks
67 Marçal et al. (2011)/
AE/Brazil
Evaluation of
contagion or
interdependence in
the financial crises of
Asia and Latin
America,
considering the
macroeconomic
fundamentals
1 Jan 1994
31 Dec 2003
(10 years)
9 Stock markets DCC-GARCH(1,1)
DCC-GARCH(2,2)
DCC-GJR-GARCH(1,1)
DCC-GJR-GARCH(2,2)
Japan and the USA were responsible in
transmitting contagion to Latin America
(first) and second, to both the region, i.e. Asia
and Latin America and supported regional
contagion in both the region through strong
trade and financial linkage
68 Missio and Watzka
(2011)/CESifo WP
Series/Germany
Financial contagion
and the European
debt crisis
31 Dec 2008
31 Dec 2010
(2 years)
8 Bond markets ARMA(p, q)-DCC-
GARCH(p, q)
Portugal, Spain, Italy and Belgium were
found to be affected by the contagion effect of
Euro crisis while the Netherlands and
Austria did not show any sign of contagion
effect and concluded as the negative rating
announcement (Greece) was responsible for
the contagious effect to Portugal and Spain
69 Samarakoon
(2011)/JIFMIM/
USA
Stock market
interdependence,
contagion, and the
US financial crisis:
the case of emerging
and frontier markets
1 Apr 2000
31 Mar 2009
(9 years)
62 Stock markets OLS VAR
(standard error is
adjusted for both
heteroscedasticity and
autocorrelation using
the Newey-West
technique)
Reported sign of interdependence (from the
USA) and contagion effect (from emerging
markets) to frontier markets, except Latin
American markets.
No contagion effect found from the US to
emerging market rather than emerging to US
markets
(continued)
Table I.
Financial
contagion
31
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
70 Syllignakis and
Kouretas (2011)/
IREF/Greece
Dynamic correlation
analysis of financial
contagion: evidence
from the Central and
Eastern European
markets
3 Oct 1997
13 Feb 2009
(11 years
5 months)
10 Stock markets AR(1)-GARCH(1,1)-
DCC(1,1)
Found the indication of contagion by an
increment in the conditional correlation
between USA and Germany to CEE stock
markets return during the GFC and
suggested the exchange rate movement have
the explanatory power to identify GFC in
2007-2008
71 Brière et al. (2012)/
JIMF/France
No contagion, only
globalisation and
flight-to-quality
Aug 1978
Dec 2010
(32 year
5 months)
4 Stock markets
Bond markets
Correlation analysis
(Goetzmann et al., 2005)
Identified globalisation as a factor of equity
market contagion
72 Castellanos et al.
(2012)/IJBF/Mexico
The contagion from
the 2007-2009 US
stock market crash
15 Mar 2006
9 Mar 2009
(3 years)
41 Stock markets Wavelet analysis Around six countries during first two
working days, 21 countries after 8 working
days and finally all the global countries were
affected during two months period due to US
financial crash 2007-2009
73 Celık (2012)/EM/
Turkey
The more contagion
effect on emerging
markets: the evidence
of DCC-GARCH
model
3 Jan 2005
31 Aug 2009
(4 years
8 months)
18 FX markets DCC-GARCH Displayed the evidence of contagion from the
US to most of the developed and emerging
markets and concluded emerging markets
were mostly affected by contagion from US
subprime crisis
74 Constancio (2012)/
FSR/Germany
Contagion and the
European debt crisis
2007-2011
(5 years)
7 Bond markets Structural vector error
correction approaches
Frequency
decomposition
approach
Suggested that the effective policy measures
can control and stop contagion
75 Gallegati (2012)/
CSDA/Italy
A wavelet-based
approach to test for
financial market
contagion
3 Jun 2003
19 Dec 2008
(5 years
7 months)
9 Stock markets Wavelet analysis All other market affected significantly while
in the case of Brazil and Japan (for all cases)
strong contagion observed during US
subprime crisis
(continued)
Table I.
QRFM
10,1
32
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
76 Kenourgios and
Padhi (2012)/
JMFM/Greece
Emerging markets
and financial crises:
regional, global or
isolated shocks?
2 Jan 1994
31 Dec 2008
(15 years)
12 Stock markets
Bond markets
Johannsen
cointegration
AGDCC
The result identified significant co-
integration and causality only among
emerging stock markets during Russia and
Asian crisis, both bond and stock markets
during subprime crisis and no significant
result from Argentina crisis.
The asymmetric model showed regional
effect, global effect and contagion effect
respectively during the Asian crisis, Russian
crisis and subprime crisis while isolated
characteristic for Argentina crisis
77 Mink and De Haan
(2013)/JIMF/The
Netherlands
Contagion during the
Greek sovereign debt
crisis
21 Jan 2010
4 Nov 2011
(20 days)
16
(48 Banks)
Bank stock price Event studies approach News about bailout leads to changes in
abnormal return of bank stock price in all
samples while the sovereign bond price of
Portugal, Ireland, Spain responded to both
news about Greece and Greece bailout
78 Min and Hwang
(2012)/AFE/
Republic of Korea
Dynamic correlation
analysis of US
financial crisis and
contagion: evidence
from four OECD
countries
1 Sep 2006
22 July 2010
(3 years
11 months)
5 Stock markets
(VIX)
DCC-MGARCH model
with exogenous
variables (DCCX-
MGARCH)
In the case of UK, Australia and Switzerland,
contagion effect found (increasing
correlation) during the first phase while
Harding behaviour found (increasing
correlation) during the second phase of the
GFC and Japanese market reported limited
increment in correlation during the beginning
of the GFC
79 Neaime (2012)/
EMR/Lebanon
The GFC, financial
linkages and
correlations in
returns and
volatilities in
emerging MENA
stock markets
1 Jan 2007
31 Dec 2010
(4 years)
10 Stock markets Multivariate GARCH
(1,1) Threshold-ARCH
(TARCH(1,1))
ARCH-in-Mean
Causality pattern
The results suggested integration of Egypt,
Jordan, Morocco, Tunisia and UAE with
other world markets.
Trade linkage was the most prominent
channel through which shocks of GFC were
transmitted among Egypt, Morocco, Tunisia
(non-oil producing MENA markets) while
additional channel such as financial
integration, fund dependency on external
sources and weak regional trade may be the
other major channels of transmission of
shock to MENA financial markets
(continued)
Table I.
Financial
contagion
33
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
80 Peng and Ng
(2012)/AF/UK
Analysing financial
contagion and
asymmetric market
dependence with
volatility indices via
copulas
2 Feb 2001
29 Jan 2009
(8 years)
4 Stock markets Dynamic copulas
analysis
The empirical model found evidence of
significant asymmetric contagion effect and
concluded that the volatility index reacts
quickly on the financial shock with
comparison to stock market indices
81 Ahmad et al.
(2013)/EM/India
Eurozone crisis and
BRIICKS stock
markets: contagion
or market
interdependence?
2 Feb 1996
31 Jan 2012
(16 years)
15 Stock markets DCC-GARCH
Markov regime
switching model
Italy, Ireland and Spain were the major crisis
transmitted (contagion originated) markets
for BRIICKS rather than Greece and
suggested Brazil, Russia, India, China, South
Africa showed contagion characteristic while
Indonesia and South Korea support
interdependence only, no contagion for
Eurozone crisis
82 Beirne and
Fratzscher (2013)/
JIMF/Germany
The pricing of
sovereign risk and
contagion during the
ESDC
1999-2011
(12 years)
31 Bond markets
(CDS)
Economic
fundamentals analysis
Herding contagion during the sovereign debt
crisis in the euro area
83 Beirne et al. (2013)/
RIE/Germany
Volatility spillovers
and contagion from
mature to emerging
stock markets
Sep 1993
Mid-Mar 2008
(14 years
7 months)
41 Stock markets Tri-variate GARCH-
BEKK
Raising conditional variance in local
emerging markets during the turbulent
period happened in between mature markets
and supported the evidence for incomplete
transformation of mature market (increasing)
volatility to local emerging markets
84 Caporin et al.
(2013)/NBER/Italy
Measuring sovereign
contagion in Europe
Nov 2008
Sep 2011
(2 years
11 months)
8 Bond markets Linear regression,
quantile regression and
Bayesian quantile
regression with
heteroscedasticity
(DCC-GARCH)
Found a stable propagation mechanism
during the Eurozone crisis which indicates
the interdependence in CDS spread series for
all country
85 Dimitriou and
Simos (2013)/JFEP/
Greece
Contagion channels
of the US subprime
financial crisis
evidence from USA,
EMU, China and
Japan equity markets
Apr 1996
Apr 2011
(15 years)
4 Stock markets Vector error conditional
heteroscedasticity
multivariate-GARCH
(VECH MGARCH)
model
The contagion effect of US subprime crisis
experienced by Japan and EMU.
China indirectly experienced the contagion
effect through Japanese stock market because
the study does not support direct contagion
from the USA but supported positive
significant spillover effect from Japan to
China stock market
(continued)
Table I.
QRFM
10,1
34
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
86 Dimitriou et al.
(2013)/IRFA/
Greece
GFC and emerging
stock market
contagion: a
multivariate
FIAPARCH–DCC
approach
31 Jan 1997
1 Feb 2012
(15 years)
6 Stock markets Multivariate
autoregressive-
fractionally integrated
asymmetric power
ARCH(AR(1)-
FIAPARCH)-DCC
MS-DR (Markov
switching dynamic
regression)
Did not found contagion effect of US shock to
BRICS markets and BRICS market found to
re-emerge together after the collapse of
Lehman Brother (increasing correlation)
which indicates dependency larger among
the sample market during a bullish period
rather than the bearish trend
87 Ghorbel and
Boujelbene (2013)/
IJESM/Tunisia
Contagion effect of
the oil shock and US
financial crisis on the
GCC and BRIC
countries
May 2005
Dec 2011
(6 years
8 months)
12 Stock markets
Oil markets
GARCH, Integrated-
GARCH (IGARCH),
Component GARCH
(CGARCH), BEKK-
GARCH, DCC-GARCH
The result supported the presence of oil
market shock and US financial crisis
contagion effect among the sample counties.
BEKK model shows strong bidirectional
volatility spillover effect the USA and oil
market while evidence of unidirectional
volatility spillover found from crude oil to
USA, GCC and BRIC stock markets
88 Guesmi et al.
(2013)/JABR/
France
Does shift contagion
exist between OECD
stock markets during
the financial crisis?
2 Jan 2002
1 Jun 2009
(7 year
5 months)
17 Stock markets DCC-MGARCH
Structural break (Bai
and Perron, 2003)
Stated contagion effect from the USA to other
sample countries as the increasing in the
mean of DCC between stable and post-crisis
period
89 Hoesli and Reka
(2013)/JREFE/
Switzerland
Volatility spillovers,
co-movements and
contagion in
securitised real estate
markets
28 Dec 1989
28 May 2010
(21 years
5 months)
3 Stock markets
Real estate markets
Asymmetric-t-BEKK
Copulas function and
tail dependence
Structural break
Found the evidence of subprime contagion
between USA and UK and largest volatility
spillover effect between stock and real estate
in the USA.
All three markets were mostly affected by
global shock
90 Islam et al. (2013a,
2013b)/IJEF/
Bangladesh
Testing for global
volatility spillover,
financial contagion
and structural break
in 15 economies from
two regions: a
diagonal
VECH matrix and
EGARCH (1,1)
approach
8 Nov 1997
4 Feb 2013
(15 years
3 months)
15 Stock markets Diagonal VECH-
exponential-GARCH
(EGARCH)
More significant cross-market volatility
spillover specified financial contagion from
GFC to European markets
(continued)
Table I.
Financial
contagion
35
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
91 Kenourgios et al.
(2013a,2013b)/
MFJ/Greece
Asset markets
contagion during the
GFC
29 Feb 2000
5 May 2009
(9 years
2 months)
6 Stock markets
Bond markets
Commodities markets
FX markets
Real estate markets
Shipping markets
AGDCC-GARCH Found the existence of contagion (through
information channels) among US financial
markets, i.e. stock, real estate and
commodities markets and emerging bond
market of Brazilian financial market.
The result showed the sign of decoupling
behaviour for BRIC markets and flight-to-
quality from the USA to German bond
market
92 Kenourgios et al.
(2013a)/JEA/Greece
Testing for
asymmetric financial
contagion: new
evidence from the
Asian crisis
1 Jan 1995
31 Dec 1998
(4 years)
5 Stock markets
FX markets
AGDCC-GARCH The mode indicated both asymmetric and
increasing correlation coefficient for Asian
emerging market during the crisis period and
concluded that the regional factor supported
the higher magnitude of spreading contagion
in equity market with comparison to FX
market
93 Mondria and
Quintana-Domeque
(2013)/EJ/Canada
Financial contagion
and attention
allocation
1 Jan 1997
30 Jun 1998
(1 years
6 months)
4 Stock markets OLS
GARCH(1,1)
Supported the attention re-allocation as the
channel of financial contagion.
Concluded that the higher price volatility
creates more attention towards the crisis
country (Asia) by the international investor
(Latina America) and the more relative
allocation towards high volatility markets
(crisis country) creates higher price volatility
in other markets
94 Mighri and
Mansouri (2013)/
IJEFI/Tunisia
Dynamic conditional
correlation analysis
of stock market
contagion:
evidence from the
2007-2010 financial
crises
1 Jan 2003
31 Dec 2010
(8 years)
17 Stock markets FR correlation analysis
Dynamic correlation
(Engle and Sheppard,
2001)
AR(1)-DCC-GARCH
(1,1)
Found both herding behaviour and contagion
effect during the crisis period
(continued)
Table I.
QRFM
10,1
36
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
95 Ranta (2013)/IJMF/
Finland
Contagion among
major world markets:
a wavelet approach
2 Jan 1984
8 Jan 2009
(25 years)
4 Stock markets Wavelet analysis
(Discreet Wavelet
Analysis; DWT and
Continuous Wavelet
analysis; CWT]
Strong co-movement increasing among USA
and Europe over the sample period.
A strong sign of contagion on Black Monday
found with comparison to Gulf war, some
sign of contagion in Asian and Russian crisis
and finally supported the contagion effect of
GFC among the sample countries
96 Wang and Thi
(2013)/QF/Taiwan
Did China avoid the
“Asian flu”? The
contagion effect test
with dynamic
correlation
coefficients
2 Feb 1992
15 Nov 2000
(8 years
10 months)
4 Stock markets DCC-GARCH Identified significant crisis contagion among
Thailand, China, Hong Kong, Taiwan stock
markets during the Asian financial crisis
97 Abbara and
Zevallos (2014)/QF/
Brazil
Assessing stock
market dependence
and contagion
6 Sep 1995
19 Apr 2013
(17 years
8 months)
8 Stock markets Copula GARCH Contagion found between Latin American
stock market during Asian, Russian and GFC
but by taking condition on US stock market,
Russian crisis only showsed the contagion
effect
In the case of European stock market shown
contagion in euro implementation (1999), the
bubble burst and debt crisis (2011) but in the
condition of USA, did not found the clear
result of the contagion effect over that period
98 Ahmad et al.
(2014)/SEF/India
The Eurozone crisis
and its contagion
effects on the
European stock
markets
2 Feb 1996
31 Jan 2012
(16 years)
13 Stock markets DCC-GARCH Both Euro and non-Euro country affected due
to Eurozone crisis and found contagious
countries for Eurozone as Spain, Italy,
Portugal and Ireland out of GIPSI country
99 Bekaert et al.
(2014)/JF/Columbia
The global crisis and
equity market
contagion
1 Jan 1995
15 Mar 2009
(14 years
3 months)
55 (415
selected firm)
Stock markets Factor model The small effect of US market contagion
during GFC to the global financial sector and
argued that the individual domestic portfolio
affected due to the contagion effect from the
domestic market
(continued)
Table I.
Financial
contagion
37
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
100 Bekiros (2014)/
IRFA/Italy
Contagion,
decoupling and the
spillover effects of
the US financial
crisis: evidence from
the BRIC markets
5 Jan 1999
28 Feb 2011
(12 years
2 months)
6 Stock markets Johansenco-integration
Linear and non-linear
causality test
Vector Error Correction
Non-linear dependence
analysis test is given
by Broock et al., 1996
(BDS) test
BEKK, CCC, DCC-
MGARCH
Found strong integration among BRIC
market after the GFC which supported the
vulnerability to international contagion in a
future period
101 Chira and
Marciniak (2014)/
JEB/USA
Risk change during
crises: How do purely
local companies
differ from cross-
listed firms?
Evidence from the
European crisis of
2010-2012
1 Jan 2008
15 May 2012
(4 years
5 months)
5 European
Domestic firm 92
Cross-border firm-62
Leading fundamental
analysis
During non-crisis period both domestic and
cross-listed company fundamentals
explained the changes in total risk while
during crisis period only domestic firm
explained the changes in total risk on the
company fundamentals and concluded that
the total risk changes were dominated by
contagion effect and herd behaviour
102 Chittedi (2014)/
JDA/India
GFC and contagion:
evidence for the BRIC
economies
2 Jan 1997
30 Jun 2010
(13 years
6 months)
7 Stock markets DCC
AGDCC
AGDCC model reported increased correlation
between BRIC and other sample countries
when a bad news hit stock markets.
High correlation reported both during and
after the crisis
103 Choudhry and
Jayasekera (2014)/
IRFA/UK
Returns and
volatility spillover in
the European
banking industry
during GFC: flight to
perceived quality or
contagion?
1 Jan 2002
1 Jan 2014
(12 years)
8 Stock market
(Banking Industrial Stock
Index)
Bivariate GJR-GARCH
Flight-to-quality
Increased return and volatility spillover from
major to small European Economy during the
crisis period with compared to pre-crisis
period and found the asymmetric spillover
mechanism in a turbulent period
104 Daj
cman (2014)/
EREI/Slovenia
Was there a
contagion between
major European and
Croatian stock
Markets? An
analysis of co-
exceedances
3 Dec 2003
27 Jan 2012
(8 years
2 months)
11 Stock markets Extreme co-
exceedances,
multinomial logistic
function
Cross co-exceedance in extreme return among
Croatia and European stock markets
increased during Subprime (beginning of
GFC) crisis and suggested that the
probability of the contagion did not
significantly increase during the GFC and
Eurozone debt crisis
(continued)
Table I.
QRFM
10,1
38
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
105 Dimitriou and
Simos (2014)/SEF/
Greece
Contagion effects on
stock and FX
markets: a DCC
analysis among USA
and EMU
1 Jan 2004
17 Mar 2013
(9 years
3 months)
2 Stock markets
FX markets
GARCH (1,1)-DCC Identified the sign of contagion effect across
US equity market and USD converted interest
rate parity (UIP) found during the US
subprime crisis and found more volatile
equity markets compare to FX market
106 Dorraand Achraf
(2014)/JBM/
Tunisia
Herding behaviour
contagion in
Tunisian financial
system during the
revolution period
Jan 2000
Dec 2012
(13 years)
1 Banking Multivariate
BEKK-GARCH and
DCC-GARCH
Found the volatility spillover between all
types of deposit and residual of another
financial variable.
Asymmetric information creates contagion
on the basis of herd behaviour both among
bank customer and financial investor
107 Dungey and
Gajurel (2014)/ES/
Australia
Equity market
contagion during the
GFC: evidence from
the world’s eighth
largest economies
2 Jan 2004
31 Dec 2010
(7 years)
8 Stock markets Latent factor model
ICSS (iterative
cumulative sum of
square)
Found a strong contagion effect from the US
equity market to both other advanced and
emerging markets.
In the case of the developed market, financial
sector showed less affected with comparison
to aggregate markets
108 Gammoudi and
Cherif (2014)/
IIJASS/France
The GFC and
financial contagion in
MENA stock
markets
15 Mar 2005
31 Dec 2011
(6 years
10 months)
10 Stock markets FR correlation.
Engel Grange co-
integration test
Johansson co-
integration test
Although significant contagion effect of US
crisis presented in MENA markets, there still
exist short-run diversification benefits in
Kuwait, Jordan and Tunisia
109 Glover and
Richards-Shubik
(2014)/NBER WP/
Pittsburgh
Contagion in the
ESDC
Q3 2005
Q3 2011
(6 years)
13 Bond markets Linear Regression and
Network model
The small magnitude of volatility spillover
found across sovereign markets, thus the risk
of contagion was relatively small.
A little market linkage with respect to
sovereign credit risk was from the regression
model
110 Islam (2014a,
2014b)/JABE/
Bangladesh
Comparing financial
contagion and
volatility spillover
and structural break
within major Asian
economies pre- and
post-global recession
to that of Asian crisis
1 Jan 1999
4 Feb 2013
(14 years)
9 Stock markets MGARCH-diagonal
VECH
Structural break
examined through E-
GARCH
Experienced contagion effect of GFC in Asian
market due to the shock generated from US
stock market
(continued)
Table I.
Financial
contagion
39
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
111 Islam (2014a)/
JEAEI/Bangladesh
A comparison of the
long-term
interdependence of
Southeast Asian
equity markets
Jan 1999
Feb 2013
(14 years
2 months)
7 Stock markets Cointegration
Granger causality
VECM
Impulse response test
Found interdependences of South Korea and
Malaysia market with others were very low
during post-GFC as compared to the Asian
crisis.
Singapore less affected by Asian crisis and
its interdependence reduced during post GFC
while Indian market received shocks from
other selected markets during post-GFC but
affected due to the Asian crisis
112 Islam (2014a,
2014b)/IRJFE/
Bangladesh
Testing for
contagion, volatility
spillover and regime
shift
Among three strong,
quasi strong and
semi-strong South-
Asian economies in
presence and absence
of US accession: A
VECH (1, 1) approach
30 Jun 1997
21 Jan 2013
(15 year
7 months)
4 Stock markets GARCH(1,1)-VECH
GARCH(1,1)-BEKK
Structural break
examines through E-
GARCH
VECH(1,1) shown the evidence of contagion
effect from the USA to Asian sample markets
(in the presence of the USA) while in the
absence of the USA, found a strong contagion
from India to Japan and Singapore as
compared to contagion from Japan to
Singapore
113 Jung and
Maderitsch (2014)/
JBF/Germany
Structural breaks in
volatility spillovers
between international
financial markets:
contagion or mere
interdependence?
3 Jan 2000
30 Sep 2011
(11 years
9 months)
3 Stock markets HAR-DL
Structural break and
conditional
heteroscedasticity in
realise volatility
The result revealed a sudden upward shift in
volatility during 2007 crisis, which supported
the contagion definition of Forbes and
Rigobon (2002).
Structural break specified minor impact
while conditional heteroscedasticity specified
a strong impact of volatility spillover over
the sample period
114 Kazi et al. (2014)/
JABR/France
The shift-contagion
effect of GFC and the
ESDC on OECD
countries
7 Jan 2004
23 May 2012
(8 years
5 months)
16 Stock markets ADCC Shift contagion found during GFC while the
result of ADCC model support the contagion
effect originated from Greece
115 Kenourgios and
Dimitriou (2014)/
PE/Greece
Contagion effects of
the GFC in US and
European real
economy sectors
1 Jan 2004
31 Dec 2009
(6 years)
3 Stock market
(9-each sectoral index)
GJR-GARCH Found the evidence of contagion in the
aggregate stock market in both the region
but the result did not support the evidence of
domestic financial contagion of the real
economy sector in both the region
(continued)
Table I.
QRFM
10,1
40
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
116 Kenourgios (2014)/
IRFA/Greece
On financial
contagion and
implied market
volatility
15 May 2003
15 Mar 2013
(11 year
10 months)
5 Stock markets Multivariate AR(1)-
GJR-GARCH(1,1)ADCC
Model
The empirical model supported the presence
of contagion across market volatility
117 Mighri and
Mansouri (2014)/
CEF/Tunisia
Modelling
international stock
market contagion
using multivariate
fractionally
integrated APARCH
approach
2 Jan 2003
10 Dec 2013
(10 year
11 months)
3 Stock markets Multivariate student-t-
AR(1)-FIAPARCH (1, d,
1)-DCC
Found sign of contagion for Brazil and
Mexican market and the sample markets
found to be de-emerged after the collapse of
Lehman Brother (decreasing correlation)
which indicate the magnitude of dependency
were larger among the sample markets
during the bearish period rather bullish trend
118 Mollah et al. (2014)/
WP/Sweden
Financial market
contagion during the
GFC
1 Jan 2006
31 Dec 2010
(5 years)
64 Stock markets AR(1)-CCC, DCC
Causality
PCA
Contagion was originated from US equity
market and rapidly transmitted towards the
global financial markets
119 Anderson et al.
(2015)/EM/USA
A range-based
volatility approach to
measuring volatility
contagion in
securitised real estate
markets
1 Jan 1990
30 Nov 2012
(22 years
11 months)
13 Real estate markets Smooth transaction
copula function
TVLCARR
Identified the evidence of subprime crisis
contagion between the USA and Australia
and suggested the information transmission
through volatility channels among sample
country either through bi-directional or
unidirectional causal effects
120 Aït-Sahalia et al.
(2015)/JFE/The
Netherlands
Modelling financial
contagion using
mutually exciting
jump processes
1 Jan 1980
31 Dec 2008
(19 years)
5 Stock markets Hawkes Jump Diffusion
model
This article combined two models: Jump-
Diffusion (introduced by Poisson) and
mutually explicitly Jump model (of Hawkes)
and indicated strong self-excite nature among
all sample markets which revealed the
market generally affected due to regional
effect
121 Asaturov et al.
(2015)/JAES/
Russia
Volatility spillovers
and contagion in
emerging Europe
Jan 2001
Dec 2012
(12 years)
11 Stock markets Bivariate DCC-GARCH
model
Russian equity market played a major role in
both the cases, i.e. short-term contagion and
long-term volatility spillover effect towards
Eastern European market
122 Azad et al. (2015)/
EM/Australia
International swap
market contagion
and volatility
Sep 1989
Jan 2010
(20 years
5 months)
3 Swap markets Two-factor volatility
model.
Granger causality.
Variance causality in
structural VAR
(SVAR).
FS (Factor-Spline)-
GARCH-DCC
Weak cross-market integration reported
among (swap market) Japan, the USA and the
UK. But high integration reported between
the UK and the USA
Found the evidence of contagion in both
short- and long-term swap spread component
but not in swap rate
(continued)
Table I.
Financial
contagion
41
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
123 Bartram and Wang
(2015)/JBF/UK
European financial
market dependence:
an industry analysis
1 Jan 1992
31 Dec 2011
(20 years)
20 Stock markets (10-each
sectorial index)
GJR-GARCH-MA-
Skewed
t-copula dependence
model
Dependency among industry in European
country increased after introducing Euro,
during Lehman collapse and during
sovereign debt crisis period and country-
specific factor mostly responsible for
European debt crisis
124 Babalos et al.
(2015)/WP Series/
South Africa
Causality and
contagion in EMU
sovereign bonds
revisited: novel
evidence from
nonlinear causality
tests
1 Jan 2000
30 Jun 2014
(14 years
6 months)
13 Bond markets Linear and non-linear
causality test
Higher order
dependency model is
given by Nishiyama
et al. (2011)
Bi-directional causality found within
southern European markets wand weak
evidence of causality found from southern to
northern European markets (sovereign yield).
One-way causality from the USA to the
southern European countries
125 Bonga-Bonga
(2015)/MPRA WP
paper series
/South Africa
Uncovering equity
market contagion
among BRICS
countries: an
application of the
multivariate GARCH
model
Dec 1996
May 2012
(15 years
6 months)
6 Stock markets VAR-DCC-GARCH Found cross-market transmission and
dependency between South Africa and
Brazilian stock markets.
Suggested, African market may be mostly
affected by the contagion effect originated
from (both emerging and developed
economy) China, India and Russia
126 Flavin and
Sheenan (2015)/
NAJEF/Ireland
The role of US
subprime mortgage-
backed assets in
propagating the
crisis: contagion or
interdependence?
19 Jan 2006
31 Dec 2011
(5 years)
1 Stock markets
Bond markets
Money markets
Markov switching
VAR
A little change in correlation coefficient from
stable period to crisis period suggested US
financial crisis had transmitted due to cross-
market interdependence rather contagion
behaviours
127 Hsiao and Morley
(2015)/UNSW
Business School
Research Paper/
Australia
Debt and financial
market contagion
12 Jan 2005
31 Dec 2013
(7 years)
44 Stock markets FR correlation
Co-skewness
Co-volatility
Co-kurtosis
European debt crisis was transmitted
through fiscal condition and regional linkage
but not through trade linkage.
Public debt and the fiscal balance were the
working indicators for European debt crisis
but not for subprime crisis or Great
depression.
Finally concluded crisis warning indicator as
privet and external debt and fiscal and
current account balance
(continued)
Table I.
QRFM
10,1
42
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
128 Kenourgios and
Dimitriou (2015)/
EM/Greece
Contagion of the GFC
and the real
economy: a regional
analysis
1 Jan 2004
31 Dec 2010
(7 years)
6 Stock markets
(10-each sectoral index)
AR(1)-FIAPARCH-DCC
(fractionally integrate
asymmetric power
ARCH)
Contagion effect of GFC found across the
regional stock market as well as financial and
non-financial sector.
Emerging Asia and European index mostly
affected and Pacific region as well as some
sectoral index such as customer goods,
healthcare and technology temporarily
affected by GFC
129 Kilic and Ulusoy
(2015)/RDE/
Istanbul
Evidence for
financial contagion in
endogenous volatile
periods
May 1993
May 2011
(18 years
1 months)
7 Stock markets FX markets VAR-MGARCH-BEKK The country-specific problem in the financial
market was responsible for the cross-border
contagion and suggested that the financial
relation and well-diversified trade could help to
decrease the risk of contagion in external markets
130 Kim et al. (2015)/
IREF/S. Korea
Spillover Effects of
the US financial
crisis on financial
markets in emerging
Asian countries
2 Apr 2007
31 Aug 2009
(2 years
5 months)
6 Stock markets
FX markets
BEKK-MGARCH
DCC-MGARCH
DCCX-MGARCH
Increased DCC for a short period around
Lehman Brother collapse which indicates
short-live contagion effect of US contagion to
five Asian sample markets.
Strong spillover effect in FX market rather
stock market over the sample period.
FX market mostly affected by Dollar Libor-
OIS Spread, Sovereign CDS premium and
foreign capital flow
131 Lin et al. (2015)/
conference paper
(sfm.finance.
nsysu.edu.tw)/
Taiwan
Contagion in
financial markets:
dynamic conditional
correlation model
1 Jan 2005
9 Nov 2007
(7 years
10 months)
32 Stock markets Multivariate DCC-GJR-
GARCH
Displayed strong evidence of return and
volatility spillover from the USA to other
markets and contagion effect from the USA
to Latin America and OECD markets during
2007 summer.
The evidence of contagion during long crisis
period was stronger than short crisis period
(continued)
Table I.
Financial
contagion
43
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
132 Luchtenberg and
Vu (2015)/RIBF/
USA
The 2008 financial
crisis: stock market
contagion and its
determinants
1 Jan 2003
31 Mar 2009
(6 years
3 months)
15 Stock markets Logistic regression
Co-integration
Granger causality
GJR-GARCH
Both the USA and other mature markets
were received as well as transmitted
contagion across the sample markets.
Economic fundamentals such as trade
structure, interest rate, inflation rate,
industrial production, regional effect and
investor’s risk aversion contribute to
international contagion.
Local market less influenced by regional effect
as compared to other countries market
133 Maveyraud(2015)/
GRETA/France
The international
contagion of short-
run interest rates
during the Great
Depression
1921-1926
(6 years)
3 Bond markets money
markets
BEKK-GARCH BEKK model identified a significant break in
interest rate volatility transmission only
during the period of 1929 crash.
The presence of contagion was more
characterised between 1930 and 1936 as
compared to 1921 and 1929
134 Maya et al. (2015)/
RIBF/Australia
Exchange rate
contagion in Latin
America
Jun 2005
Apr 2012
(6 year
11 months)
6 FX markets R-vine copula GARCH
correlation analysis
Contagion among all sample countries except
Argentina and Peru and much weaker
exchange rate contagion with other regional
markets
135 Fry-McKibbin and
Yu-Ling Hsiao
(2015)/ER/
Australia
Extremal dependence
tests for contagion
1 Apr 2005
31 Aug 2009
(4 years
5 months)
8 Stock markets Co-kurtosis
Co-volatility
During the period of GFC, significant of
contagion effect found from UA banking
sector to world banking and equity markets,
either through the channels of co-kurtosis or
co-volatility
136 Romero-Meza et al.
(2015)/EM/Chile
Nonlinearities and
financial contagion in
Latin American stock
markets
1 Jan 1994
20 Nov 2012
(18 years
11 months)
6 Stock markets Bicorrelation test
[given by Hinich (1996)]
Found evidence of high non-linear
dependency within the similar time frame
among Argentina, Mexico and Brazil
137 Mink (2015)/EMR/
The Netherlands
Measuring stock
market contagion:
local or common
currency returns?
14 Sep 2007
13 Oct 2008
(1 years
1 months)
28 Stock markets
FX markets
FR correlation
Extreme return co-
exceedances test (Bae
et al., 2003)
Local currency return was more appropriate
to measure the fluctuation of price in the
national stock market and common currency
resulted in biases in the result of contagion
test
(continued)
Table I.
QRFM
10,1
44
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
138 Pan et al. (2015)/
EL/China
A model-free test for
contagion between
crude oil and stock
markets
11 Jul 2008
1 Oct 2008
(3 months)
3 Spot markets
Oil markets
Exceedance correlation
test [extend the
exceedance correlation
test of Hong et al. (2007)
and purpose a model
free test of contagion]
Found strong evidence of contagion between
crude oil and stock markets
139 Roy and Roy
(2015)/isid.ac.in/
India
Financial contagion
and volatility
spillover: an
exploration into
Indian commodity
derivative market
7 Jun 2005
31 Mar 2015
(9 years
10 months)
1 Stock markets
commodities markets
CCC-MGARCH
DCC-MGARCH
VAR-based spillover
index (Diebold and
Yilmaz, 2012)
200 days rolling
regression (on
conditional correlation
to volatility to capture
the degree of contagion)
Volatility spillover from commodities and FX
market to government security, gold and
stock market and contagion effect found to be
larger with gold market while less in the case
of government security market
140 Shen et al. (2015)/
EM/China
Contagion effect of
the European
financial crisis on
China’s stock
markets:
interdependence and
pure contagion
Jan 2005
Apr 2013
(8 years
4 months)
2 Stock markets Time-varying
correlation coefficient
Chinese capital market experienced
contagion effect from European debt crisis
through macroeconomic factor (i.e. trade)
rather than investor psychology (i.e. financial
channels)
141 Suh (2015)/IREF/
Korea
Measuring sovereign
risk contagion in the
Eurozone
1 Oct 2005
30 Sep 2012
(7 years)
10 Bond markets Flexible MGARCH type
model:
contagion VaR (value-
at-risk).
contagion ES (expected
shortfall).
Flight-to-quality
Found the dynamic contagion effect over the
period of Eurozone crisis.
The economic value of contagion effect was
large for both crisis and stable economy
142 Tabak et al. (2016)/
ES/Brazil
Contagion in CDS,
banking and equity
markets
Jan 2006
Oct 2011
(5 years
10 months)
7 Stock markets
(banking sector)
Bond markets
FR correlation analysis
Co-skewness
Co-skewness model reported contagion to
Brazil from both GFC and ESDC (from all
sample country) while correlation model
reported the only contagion from Greece to
Brazil during ESDC
(continued)
Table I.
Financial
contagion
45
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
143 Dewandaru et al.
(2016)/IREF/
Malaysia
Contagion and
interdependence
across Asia-Pacific
equity markets: an
analysis based on
multi-horizon discrete
and continuous
wavelet
transformations
1970-2011
(42 years)
3 Stock markets Multi horizon wavelet
transformation
Japanese market played a prominent role in
transmitting shocks through excessive
linkage and supported the fundamentally
based contagion during subprime crisis and
found to be a low co-movement between
Asian Pacific Region
144 Hemche et al.
(2016)/EM/Algeria
On the study of
contagion in the
context of the
subprime crisis: a
dynamic conditional
correlation–
multivariate GARCH
approach
3 Jan 2005
28 Dec 2011
(11 years)
10 Stock markets DCC-MGARCH
FR correlation
Most of the market shown increasing time-
varying correlation towards subprime crisis.
FR-adjusted correlation reported the evidence
pure contagion in case of Italy, France, UK
and Argentina and interdependence in rest of
the sample markets
145 Jayech (2016)/
EJOR/Tunisia
The contagion
channels of July-
August 2011 stock
market crash: a
directed acyclic
graph (DAG)-copula-
based approach
1 Feb 2010
28 Nov 2012
(2 years
10 months)
9 Stock markets DAG-copula flight-to-
quality
Found additional linkage during the crash
period which supported the evidence of pure
contagion and transmitted through “portfolio
rebalancing channels”.
The existence of cross-market rebalancing
found to be increased in the case of Germany
while all other selected markets followed by
flight-to-quality behaviour
146 Jin and An (2016)/
RIBF/China
GFC and emerging
stock market
contagion: a
volatility impulse
response function
approach
2 Jul 1997
31 Dec 2013
(16 years
6 months)
6 Stock markets AR(1)-GARCH(1,1)
BEKK, DCC-GARCH
Volatility impulse
response function
Significant contagion effect found from the
USA to BRICS markets during GFC around
Lehman Brother Bankruptcy and suggested
that the impact of US shock does affect
mostly the market volatility after the crisis
and the effect of shock was depend on upon
the individual integration of equity markets
with the international economy
(continued)
Table I.
QRFM
10,1
46
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Sr.
no.
Author/journal/
country of first
author Title of the articles Period under study
No. of sample
country or
indices Market/sector Methodology used Result/conclusion
147 Mollah et al. (2016)/
JIFMIM/Sweden
Equity market
contagion during
global financial and
Eurozone crises:
evidence from a
dynamic correlation
analysis
1 Jan 2003
31 Dec 2013
(11 years)
55 Stock markets FR correlation
VAR
Granger causality
DCC
USA was the origin economy which
transmitted crisis contagion towards global
markets during both GFC and European debt
crisis while bank risk was identified as the
main channels of contagion transmissions
148 G
omez-Puig and
Sosvilla-Rivero
(2016)/EM/Spain
Causes and hazards
of the euro area
sovereign debt crisis:
Pure and
fundamentals-based
contagion
1 Jan 1999
31 Dec 2012
(13 years)
10 Bond markets Granger causality
Logit model
DCC-GARCH
The DCC-GARCH model directed towards
both pure and fundamental based contagion
during European debt crisis
149 Rotta and Pereira
(2015)/AE/Brazil
Analysis of
contagion from the
dynamic conditional
correlation model
with Markov Regime
switching
1 Feb 2003
20 Sep 2012
(9 years
8 months)
4 Stock markets Markov regime
switching DCC (RSDC)
The result from RSDC (2)-GJR-reported
significant higher correlation coefficient
during the crisis period with comparison to a
stable period which supported the existence
of the contagion effect among the sample
markets
150 Yang et al. (2016)/
EM/china
Interdependence of
FX markets: a
wavelet coherence
analysis
1 Jan 2002
31 Dec 2013
(12 years)
3 FX markets Wavelet analysis The result shows high interdependence
between Pound and Euro for all time and Yen
and Euro for long time scale and found the
higher interdependence during both GFC and
European debt crisis
151 Ye et al. (2016)/
IME/China
Markov regime-
switching quantile
regression models
and financial
contagion detection
14 Jan 2005
31 Oct 2008
(3 years
10 months)
3 Stock markets Markov regime
switching quintile
regression model
The interdependence increased continuously
between US and European Union stock
markets during the crisis period
Note: 1 Jan 2000 to 31 Mar 2002 = 1 year three months and more than 15 days taken as one month
Table I.
Financial
contagion
47
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

3. Element-wise classification: studies on financial contagion
This section summarises the empirical studies on contagion on the basis of above elements
mentioned in the section of the data and methodology (Figure 1).
3.1 Methodology used to test the contagion effect
Tables II to IV and Figure 2 reported different methodologies or tools employed in different
research papers on financial contagion. In the past empirical studies on financial contagion,
different authors have shown various tools and techniques for contagion analysis; e.g. Fry-
McKibbin and Yu-Ling Hsiao (2014) have used higher order and lower order tests of
contagion. The higher order model includes outlier test by Favero and Giavazzi (2002),
extreme co-exceedance test by Bae et al. (2003), threshold model by Pesaran and Pick (2007),
tail dependency copula model by Rodriguez (2007), co-skewness test by Fry et al. (2008), co-
kurtosis and co-volatility test by Fry-McKibbin and Yu-Ling Hsiao (2014), and other tests of
contagion were based on second- and third-order movements. On the other hand, correlation
analysis was presented as lower order test on contagion effect. According to Forbes and
Rigobon (2001),financial contagion can be tested through cross-market correlation, ARCH/
GARCH volatility spillover models, co-integration and probability models. They also argued
that co-integration tests are not appropriate for testing the contagion effect, as the contagion
effect present in short-run shift or co-movements rather than long-run. Dornbusch et al.
(2000) conducted another test of contagion as crisis transmits through fundamental and
capital flow channels. Finally, Cheung et al.(2009) and Billio and Pelizzon (2003) reported
different models applicable for testing contagion on the basis of categories of contagion
definition by World Bank group. Figure 3 represents different models used on the basis of
definition of contagion.
From Tables II to IV and Figure 2, it can be observed that majority of research papers
have used correlation coefficient (such as DCC and FR correlation) to test contagion effect as
compared to other tests of contagion. Adjusted correlation coefficient model introduced by
Forbes and Rigobon (2002) has been most frequently used model in the literature as
compared to adjusted correlation model by Corsetti et al. (2001), followed by GARCH model,
Figure 1.
Basis of classification
of past literature
Classificaon
on the
basis of
Method
ology
used
Year of
study
Origin
of study
No. of
sample
period
No. of
sample
countries
No. of
study
on crisis
Area of
study
Market
focussed
Source
of paper
QRFM
10,1
48
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Causality test, VAR analysis, tail dependence Copula, Markov Switching model or Regime
switching model, regression analysis and factor model are frequently used for examining
international financial contagion. Conditional correlation models are commonly used in past
studies with different framework such as CCC, DCC, DCCX, AGDCC, GDCC, TDCC and
GARCH-BEKK/VECH. Less number of studies are found on higher order co-movement test
of contagion such as Probit and Logit model, co-skewness, co-volatility and co-kurtosis and
Extreme return co-exceedances test. In addition to the above models, other tools for testing
contagion include latent factor model, Johansson’s co-integration test, impulse response
function, wavelet analysis, PCA, VECM, several time series estimation, Network analysis
model, Hawkes Jump Diffusion model, fundamental indicator analysis, likelihood ratio test,
etc.
3.2 Year-wise classification (from 1990 to 2016)
Year-wise classification of studies on contagion is reported in Table V and Figure 4.
The word contagion became more popular as “financial”contagion during the past
Table II.
Classification on the
basis of methodology
Methods other than correlation analysis No. of papers
GARCH model (univariate or bivariate) 14
Granger causality
(Higher order causality test Nishiyama et al., 2011)14
VAR analysis 13
Copula GARCH 10
Markova switching model or regime switching model 10
Regression analysis 10
Factor model
(one- or two-factor and CAPM) 8
Logistic regression (probability based test Bae et al. (2003) and Eichengreen et al. (1994) 8
Latent factor model 8
Johansen cointegration 7
Impulse response 7
Wavelet analysis 5
Co-skewness
Co-volatility
Co-kurtosis
(Fry et al., 2008;Fry-McKibbin et al., 2013;Fry-McKibbin and Yu-Ling Hsiao, 2014) 4
Flight-to-quality and flight-from-quality 4
PCA 4
VECM 4
Extreme return co-exceedances test (Bae et al., 2003) 3
Dummy variable approach of Favero and Giavazzi (2002) 3
Variance decomposition 3
Probit regression model 3
Bai-Perron’s structural break model 3
Event study approaches 2
HAR-DL 1
TVECARR 1
The full information model (Favero and Giavazzi, 2002) 1
Structural time series model (Harvey, 1989,1997)1
OLS-HAC time series estimation 1
Network model 1
Hawkes Jump Diffusion model 1
Others (economic fundamental analysis or likelihood ratio test) 5
Financial
contagion
49
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

century. Some authors, such as Caporale et al. (2005), argued that the first empirical
work on financial contagion was done by King and Wadhwani (1990).Grubel and
Fadner (1971) was the first empirical study on financial contagion according to Kilic
and Ulusoy (2015), whereas many other authors reported that the first empirical work
on contagion was given by Forbes and Rigobon (2002).FromTable V and Figure 4,it
can be observed that the empirical studies on contagion were very rare during 1990-
2000 and the work on contagion rapidly increased after financial crisis of 1997. The
research works on contagion are growing rapidly after the GFC and approximately
64.24 percentage of total research work was found during 2010-2016.
Table III.
Classification on the
basis of methodology
Correlation analysis No. of papers
Unconditional correlation analysis: 2
Conditional correlation analysis:
CPS correlation (Corsetti et al., 2001) 3
FR correlation (Forbos and Rigobon, 2002) 19
DCC 41
AGDCC 6
ADCC 4
VECH-GARCH 4
CCC 3
DCCX 2
GDCC 1
TDCC (Pesaran and Pesaran, 2010)1
BEKK-GARCH 13
Flexible MGARCH type model:
Contagion VaR (value-at-risk). Contagion ES (expected shortfall)
1
Contemporaneous correlation 1
Correlation analysis (Goetzmann et al., 2005)1
Bicorrelation test (Hinich, 1996)1
Exceedance correlation test of (Hong et al., 2007)1
Table IV.
Classification on the
basis of tools used
(major)
Tools or methodology No. of time used
CPS correlation 3
FR correlation 19
DCC 41
BEKK-GARCH 13
GARCH model (univariate or bivariate) 14
Causality test 14
VAR analysis 13
Copula GARCH 10
Markova switching model or regime switching model 10
Regression analysis 10
Factor model 8
Logistic regression 8
Latent factor model 8
Johansen cointegration 7
Impulse response 7
QRFM
10,1
50
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

3.3 Country-wise (country where research took place) classification
Table VI and Figure 5 present the summary of empirical studies on contagion considered for
this paper, based on country-wise distribution. From Table VI, it was found that most of the
studies were conducted in the USA (12.58 per cent), followed by Australia (11.26 per cent),
Greece (7.28 per cent), the UK (7.28 per cent), Germany (6.62 per cent) and 3.97 per cent each
in case of Brazil, France, Italy, The Netherlands and Tunisia. Bangladesh, India and Korea
reveal same percentage (i.e., 2.47 per cent) of total research work considered in this paper
based on contagion analysis only. Remaining percentage (i.e. 27.72 per cent) of research
work has been found from Belgium, Canada, Chile, China, Colombia, Finland, Hong Kong,
Ireland, Kuwait, Lebanon, Malaysia, Mexico, Russia, South Africa, South Korea, Slovakia,
Slovenia, Spain, Sweden, Switzerland, Taiwan, Japan and Turkey. From the above
discussion, it can be assumed that the empirical study on financial contagion is an
international issue rather than concerned to a particular country or geographical region.
3.4 Number of period taken as sample data
Table VII and Figure 6 state the number of years taken as sample time period for each
study. It was revealed that the majority of researches was conducted by taking the sample
period covering one to five years. Of 151 studies, six papers considered the sample period
Figure 2.
Tools used on the
basis of contagion
definition
Methodology used based on
contagion definion
Broad Definion
Logit and Probit Regression
Simple OLS Regression
Principal component
Restricve Definion
Co-integraon
Markov Regime Switching or
Mulple Equilibria
Factor Regression and
ARCH/GARCH model
Very restricve Definion
Correlaon on Asset price
Figure 3.
Classification on the
basis of tools used
(major)
CPS correlaon
FR correlaon
DCC
BEKK-GARCH
GARCH model
(univariate or
bivariate)
Causality test
VAR analysis
Copula GARCH
Markova switching
model or Regime
switching model
Regression
analysis
Factor model
Logisc regression
Latent factor
model
Johansen
cointegraon Impulse response
Financial
contagion
51
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

less than 1 year, 45 papers considered the period between 1 and 5 years, 40 papers
considered 6-10 years, 32 papers considered 11-15 years and there are 15 papers that have
considered 16-20 years for analysis. It can be seen from Table VII that approximately 87 per
cent of empirical work on contagion have been conducted while considering 1-20 years as
Table V.
Year wise
classification of the
paper
Sr. No. Years No. of papers
1 1990 1
2 1991 0
3 1992 0
4 1993 0
5 1994 1
6 1995 0
7 1996 1
8 1997 0
9 1998 2
10 1999 1
11 2000 1
12 2001 4
13 2002 4
14 2003 5
15 2004 4
16 2005 11
17 2006 5
18 2007 4
19 2008 4
20 2009 6
21 2010 4
22 2011 11
23 2012 11
24 2013 16
25 2014 22
26 2015 24
27 2016 9
Total 151
Figure 4.
Year-wise
classification of the
papers
10001010
211
4454
11
544
6
4
11 11
16
22
24
9
0
5
10
15
20
25
30
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
No. of papers
Years
QRFM
10,1
52
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

sample period. Two studies were falling under the sample period range of 26-30 years and
31-35 years each, while there is only one study which considered 41-45 years and no study
was found within the data frame of 36-40 years.
3.5 Number of sample countries used
Table VIII and Figure 7 describe the number of sample countries considered in each
study for testing contagion effect in international markets. Of 151 studies, 54 studies
limited their sample between six and ten countries (i.e. 35.76 per cent). Very few studies
have been conducted by taking high number of sample countries. Three studies each
have considered the number of sample countries between 21-25 and 61-65; and two
Table VI.
Country-wise
classification of the
studies
Sr. no. Names of the countries No. of papers
1 Australia 17
2 Bangladesh 4
3 Brazil 6
4 China 5
5 France 6
6 Germany 10
7 Greece 11
8 India 4
9 Italy 6
10 Nether land 6
11 S. Korea 4
12 Tunisia 6
13 UK 11
14 USA 20
15 Other* 35
Total 151
Notes:
*
Algeria, Belgium, Canada, Chile, Columbia, Finland, Hong Kong, Ireland, Kuwait, Lebanon,
Malaysia, Mexico, Russia, South Africa, Slovakia, Slovenia, Spain, Sweden, Switzerland, Taiwan, Japan,
Turkey
Figure 5.
Country-wise
classification of the
studies
17
4
6
5
6
10
11
4
6
6
4
6
11
20
35
Australia
Bangladesh
Brazil
China
France
Germany
Greece
India
Italy
Nether land
S. Korea
Tunisia
UK
USA
Other*
Financial
contagion
53
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Table VII.
Classification on the
basis of sample
period
Period No. of studies Percentage
<1 6 3.97
1-5 45 29.80
6-10 40 26.49
11-15 32 21.19
16-20 15 9.93
21-25 8 5.30
26-30 2 1.33
31-35 2 1.33
36-40 0 0
41-45 1 0.66
Total 151 100
Figure 6.
Classification on the
basis of sample
period
6
45
40
32
15
8
2201
0
5
10
15
20
25
30
35
40
45
50
< 1 1-5 6-10 11-15 16-20 21-25 26-30 31-35 36-40 41-45
NO. OF PAPER
YEAR
Table VIII.
Classification on the
basis of number of
sample countries
used
No. of sample country No. of studies (%)
0-5 41 27.15
6-10 54 35.76
11-15 22 14.57
16-20 16 10.60
21-25 3 1.98
26-30 2 1.33
31-35 2 1.33
36-40 1 0.66
41-45 4 2.66
46-50 0 0
51-60 2 1.33
61-65 3 1.97
161-165 1 0.66
Total 151 100
QRFM
10,1
54
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

studies each have considered number of sample countries between 26-30, 31-35 and
51-60. No study was found that has considered the number of sample countries ranging
between 46 and 50, while only one study was found that has used the data from more
than 100 countries. From Table VIII, it can be clearly observed that the major portion
(i.e. 88.08 per cent) of empirical literature on contagion used less than 20 countries for
their analysis.
3.6 Number of study on the basis of crisis
Contagion test on different financial and non-financial events are summarised in Table IX
and Figure 8. It can be observed from Table IX and Figure 8 that most of the studies focused
on Asian financial crisis (including Thailand and Hong Kong crisis), followed by Global
crisis 2008 (GFC), European debt crisis, Russian Government bond default and Mexican
crisis (Tequila effect).
Figure 7.
Classification on the
basis of number of
sample countries
used
0 102030405060
0-5
11-15
21-25
31-35
41-45
51-60
< 65
41
54
22
16
3
2
2
1
4
0
2
3
1
NO. OF PAPERS
PERIOD IN YEAR
Table IX.
Number of studies on
the basis of crisis
event
Sr. no. Crisis No. of studies
1 US stock market crash 8
2 Gulf war 2
3 ERM crisis 5
4 Mexican crisis (tequila effect) 22
5 Asian Financial crisis 59
6 Latina America crisis 1
7 Russian govt. bond default 23
8 LTCM recapitalisation announcement 7
9 Brazilian sneeze 4
10 Dot cum crisis 6
11 Turkish collapse 3
12 WTC terrorist 6
13 Argentina crisis 5
14 Accounting scandal in the USA 2
15 Global crisis 2007 (subprime crisis) 20
16 Global crisis 2008 (GFC) 48
17 European debt crisis 28
Financial
contagion
55
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

3.7 Paper-type-wise classification (paper combination with contagion, spillover and
integration)
Total studies are classified on the basis of their objectives such as test of contagion only; test
of contagion and spillover; or test of contagion, spillover and integration; and test of
contagion and integration which has been demonstrated in Table X and Figure 9. Out of 151
selected studies, 101 studies aimed to test the contagion effect, while only four studies
collectively examine the evidence of contagion, spillover andintegration among the financial
markets. In all 19 and 20 papers were found on test of contagion combined with spillover
and integration, respectively. Only seven such studies have been found which aim to
examine whether there is a crisis or interdependence among the financial markets during the
crisis period.
Figure 8.
Number of studies on
the basis of crisis
event
USA stock market
crash, 8
Gulf war, 2 ERM crisis, 5
Mexican crisis
(tequila effect), 22
Asian Financial
crisis: , 59
Lana America
crisis, 1
Russian govt. bond
default, 23
LTCM
recapitalizaon
announcement, 7
Brazilian sneeze, 4
Dot cum crisis, 6
Turkish collapse, 3
WTC terrorist, 6
Argenna crisis , 5
Accounng scandal
in USA, 2
Global crisis 2007
(subprime crisis),
20
Global crisis 2008
(GFC), 48
European debt
crisis, 28
Table X.
Classification on the
basis of types of
studies
Types No. of studies (%)
Contagion and spillover 19 12.58
Contagion 101 66.89
Contagion and integration 20 13.25
Contagion or interdependence 7 4.63
Contagion, spillover and integration 4 2.65
Total 151 100
Figure 9.
Classification on the
basis of types of
studies
Contagion and
spillover
67%
Contagion
12%
Contagion and
integraon
13%
Contagion or
interdependence
5%
Contagion,
spillover and
integraon
3%
QRFM
10,1
56
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

3.8 Classification on the basis of markets used (stock, bond, commodity, forex etc.)
Crisis can be transmitted through different channels, i.e. financial markets, currency
markets, interest rates and sovereign spread (Dornbusch et al., 2000).Table XI and Figure 10
present different individual and combination of markets considered for studies and
fundamental indicators that were targeted to test the contagion effect. Of 151 papers, 87 (i.e.
57.62 per cent) papers focused on stock markets only, while 8 papers (i.e. 5.30 per cent)
focused on the combination of stock and forex markets and 10 papers (i.e., 6.62 per cent)
focused on combined stock and bond markets. Eight (i.e. 5.30 per cent) and nine (i.e. 5.96 per
cent) papers were found in case of individual bond and forex markets, respectively.
Remaining 15.23 per cent of total studies considered for the present paper (i.e. 23 of 151)
focused on different markets, i.e. commodity markets, oil, money markets, real estate and
selected leading economic indicators.
3.9 Source of the paper
Sources from where the research papers were collected are reported in Tables XII and XIII
and Figure 11. By considering Tables XII and XIII and Figure 11, it was found that major
portion of research papers, i.e. 82 percentage (approximately, 124 out of 151 papers) were
collected from referred journals and remaining 18 per cent were collected from other sources
which include working paper series, conference papers, discussion papers, papers from
different websites and various electronic databases.
Table XI.
Classification on the
basis of market used
Markets structure No. of studies (%)
Stock 87 57.62
Stock and Bond 10 6.62
Stock and FX 8 5.30
Bond 8 5.30
FX 9 5.96
Economic fundamentals 6 3.97
Other structures 23 15.23
Total 151 100
Figure 10.
Classification on the
basis of market used
58%
7%
7
7
7
7
7
7
7
7
7
7
7
%
%
5%
5
5
%
%
%
%
5%
5
5
5
5
5
5
%
%
%
%
%
6%
6
6
6
%
%
%
%
%
%
%
%
4%
15% Stock
Stock and Bond
Stock and FX
Bond
FX
Economic fundamentals
Other structures
Financial
contagion
57
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Names of the journals No. of papers
AE: Applied economics 2
AEJ: Asian Economic Journal 1
AEL: Applied Economics Letters 1
AF: Ann Finance 1
AFE: Applied Financial Economics 5
CEF: Cogent Economics & Finance 1
CSDA: Computational Statistics and Data Analysis 1
EER: European Economic Review 1
EJ: The Economic Journal 1
EJOR: European Journal of Operational Research 1
EL: Economics Letters 1
EM: Economic Modelling 10
EMR: Emerging Markets Review 4
ER: Econometric Reviews 1
EREI: Economic Research-Ekonomska Istraživanja 1
ES: Economic Systems 4
FSR: Financial Stability Review 1
GFJ: Global Finance Journal 1
GRETA: Groupe de Recherche en Economie Théorique et Appliquée. 1
IFC: International Financial Contagion 1
IIJASS: International Invention Journal of Arts and Social Sciences 1
IJBF: International Journal of Banking and Finance 3
IJBM: international Journal of Business and Management 1
IJEF: International Journal of Economics and Finance 1
IJEFI: International Journal of Economics and Financial Issues 1
IJEM: International Journal of Emerging Markets 1
IJESM: International Journal of Energy Sector Management 1
IJMF: International Journal of Managerial Finance 1
IME: Insurance: Mathematics and Economics 1
IREF: International Review of Economics and finance 5
IRFA: International Review of Financial Analysis 4
IRJFE: International Research Journal of Finance and Economics 1
JABE: Journal of Applied Business and Economics 1
JABR: The Journal of Applied Business Research 2
JAE: Journal of applied econometrics 1
JAES: Journal of Applied Economic Sciences 1
JB: The Journal of Business 1
JBF: Journal of Banking & Finance 3
JBM: Journal of Bank Management 1
JDA: The Journal of Developing Areas 1
JEA: The Journal of Economic Asymmetries 1
JEAEI: Journal of East Asian Economic Integration 1
JEB: Journal of Economics and Business 2
JEF: Journal of Empirical Finance 2
JF: The Journal of finance 1
JFE: Journal of Financial Economics 2
JFEP: Journal of Financial Economic Policy 1
JFM: Journals of financial markets 1
JFQA: The Journal of Financial and Quantitative Analysis 1
JFS: Journal of Financial Stability 2
JIE: Journal of International Economics 2
JIFMIM: Journal of International Financial Markets, Institutions & Money 4
(continued)
Table XII.
Source of the papers
QRFM
10,1
58
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

4. Summary and conclusion
The present paper considered 151 empirical studies on financial market contagion, from
different journals, electronic databases, working paper series, international and
national conferences and discussion papers. These papers have covered over 27 years
from 1990 to 2016. The primary aim of this paper is to find out the growth of the
empirical studies on financial contagion and to arrange these in a structured manner
which can be helpful for future researchers in the field of international
market contagion analysis. Sample studies considered for this paper are arranged on
the basis of tools and methodology used, year of the studies, origin of the
Names of the journals No. of papers
JIMF: Journal of International Money and Finance 11
JMFM: Journal of Multinational Financial Management 2
JPIF: Journal of Property Investment & Finance 1
JREFE: The Journal of Real Estate Finance and Economics 2
MFJ: Multinational Finance Journal 1
NAJEF: North American Journal of Economics and Finance 1
PE: Panoeconomicus 1
QF: Quantitative finance 4
QREF: The Quarterly Review of Economics and Finance 1
RDE: Review of Development Economics 1
RFS: The review of financial studies 2
RIBF: Research in International Business and Finance 4
RIE: Review of International Economics 1
SEF: Studies in Economics and Finance 2
Others:
NBER: National Bureau of Economic Research 3
OBES: Oxford Bulletin of Economics and Statistics 1
WP: working paper 8
IMF (working paper series) 4
Discussion paper 2
Conference paper 3
Seminar paper 1
Munich Personal RePEc Archive (MPRA paper series) 1
isid.ac.in 1
Research paper 1
Lecture note in Statistic, case study in Bayesian Statistic 1
ecite.utas.edu.au 1
Total 151
Table XIII.
Source of the paper
(summary)
Sr. no. Type of sources No. of papers
1 Journals 124
2 Working papers 12
3 Conference paper 3
4 Other papers* 12
Total 151
Note: *Discussion paper, paper on national seminars, website, NBER paper series
Table XII.
Financial
contagion
59
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

studies (respective country of the first author), numbers of sample periods and
countries taken under the study, studies on the basis of crisis and markets considered
and finally, sources of the studies, whether collected from any referred journal or from
other sources.
From the above analysis, it is found that although empirical studies on contagion
started since 1990s but came into notice during the period of Asian financial crisis of
1997-1998. Very few studies are observed on contagion during 1990-2000 while average
number of studies is found in the years 2001-2010. The growth rate of the empirical
work on contagion rapidly increased over the past five years (i.e. during 2011-2016).
Most of the studies found are from the USA followed by the UK, Australia and Greece,
while very few studies have been found from the rest of the countries. Majority of the
authors focused on stock markets only, which explains that the shocks may be easily
transmitted through stock market channels out to all financial markets. Higher order
test of contagion (such as co-volatility, co-skewness and co-kurtosis) tools were used
very rarely in the considered literature, thus there would be a scope for higher order test
of contagion in further studies. As the market integration and vulnerability increases, it
may create more favourable condition for transmission of financial contagion. Besides
that, improving technology of global information system, overreaction of investor’s
perception, growth of outside debt (in case of emerging markets), flow of capital from
developed to emerging markets, political pressure and macroeconomic variables play
an important role in transmission of financial contagion. This paper throws light on
quantitative perspective and not much on qualitative side of the contagion analysis.
Thecontentsandfindings of this paper may provide helpful information regarding the
empirical studies on financial contagion to academician, researchers, investors and
policy makers for making meaningful decisions.
Future research can focus on the investigation of financial contagion by employing
advance statistical technique such as co-skewness, co-kurtosis and quantile regression.
More empirical work is required for other asset classes such as commodities, real estate
and bond markets. The effect of regulatory measures, macro-economic reforms and
government debt structure could also be used to detect and control the magnitude of
financial contagion.
Figure 11.
Source of the paper
(summary)
82%
8%
%
%
%
%
%
%
2%
%
8%
Journals
Working papers
Conference paper
Other papers*
QRFM
10,1
60
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Notes
1. Maya et al. (2015) also used simple correlation for contagion test.
2. Other studies on probability-based model used on the test of contagion (Glick and Rose, 1999;
Caramazza et al., 2000;Caramazza et al., 2004).
3. PCA (Yiu et al., 2010;Fernandez-Izquierdo and Lafuente, 2004;Reinhart and Calvo, 2008;Mollah
et al., 2014).
4. VAR model (Khalid and Kawai, 2003;Boschi, 2005;Khalid and Rajaguru, 2006;Dooley and
Hutchison, 2009;Ahlgren and Antell, 2010;Chudik and Fratzscher, 2011;Samarakoon, 2011;
Azad et al., 2015;Flavin and sheenan, 2015;Kilic and Ulusoy, 2015;Roy and Roy, 2015;Mollah
et al., 2016).
5. Factor model (Lopes and Migon, 2002;Bekaert and Harvey, 2005;Corsetti et al., 2005;Tai, 2007;
Baele and Inghelbrecht, 2010;Bekaert et al., 2014;Azad et al., 2015).
6. Latent factor model (Dungey, 2002; Dungey et al., 2006,2005a,2005b,2005c;Bond et al., 2006;
Dungey and Gajurel, 2014).
7. FR correlation (Billio and Pelizzon, 2003;Wilson and Zurbruegg, 2004;Boschi, 2005;, Dungey
et al., 2005a,2005b, 2005c;Serwa and Bohl, 2005;Chiang et al., 2007;Sojli, 2007;Fry et al., 2008;
Kleimeier et al., 2008;Barassi et al., 2011;Mighri and Mansouri, 2013;Gammoudi and Cherif,
2014,Mink, 2015; Tabaketal, 2016; Hemche et al., 2016;Mollah et al., 2016).
8. Studies used univariate and bivariate GARCH model (Fernandez-Izquierdo and Lafuente, 2004;
Alper and Yilmaz, 2004;Bekaert and Harvey, 2005;Caporale et al., 2005;Tai, 2007;Kogid et al.,
2009;Neaime, 2012;Ghorbel and Boujelbene, 2013;Mondria and Quintana-Domeque, 2013;
Choudhry and Jayasekera, 2014;Islam, 2014a,2014b;Kenourgios and Dimitriou, 2014;
Luchtenberg and Vu, 2015).
9. Studies on DCC [Billio and Pelizzon (2003),Rigobon (2003),Cappiello et al. (2006),Chiang et al.
(2007),Cho and Parhizgari (2008),Sriananthakumar and Silvapulle (2008),Baur and Lucey (2009),
Baumohl et al. (2011),Kazi et al. (2011),Marçal (2011),Missio and Watzka (2011),Syllignakis and
Kouretas (2011),Celık (2012), Min and Hwang (2012),Ahmad et al. (2013),Caporin et al. (2013),
Dimitriou et al. (2013),Ghorbel and Boujelbene (2013),Guesmi et al. (2013),Mighri and Mansouri
(2013),Mollah et al. (2014),Wang and Thi (2013),Ahmad et al. (2014),Bekiros (2014),Chittedi
(2014),Dimitriou and Simos (2014),Dorra and Achraf (2014),Mighri and Mansouri (2014),
Asaturov et al. (2015),Bonga-Bonga (2015), Kenourgios and Dimitriou (2015),Kim et al. (2015),
Lin et al. (2015),Roy and Roy (2015),Shen et al. (2015),Jin and An (2016),Rotta and Pereira (2015),
Hemche et al. (2016),G
omez-Puig and Sosvilla-Rivero (2016), Azad et al. (2015),Mollah et al.
(2016)].
10. Paper on ADCC [Yiu et al. (2010),Cappiello et al. (2006),Kazi et al. (2014),Kenourgios (2014)].
11. Paper on AGDCC [Cappiello et al. (2006),Kenourgios et al. (2011),Kenourgios and Padhi (2012),
Kenourgios et al. (2013a,2013b),Chittedi (2014)].
References
Abbara, O. and Zevallos, M. (2014), “Assessing stock market dependence and contagion”,Quantitative
Finance, Vol. 14 No.9, pp. 1627-1641.
Ahlgren, N. and Antell, J. (2010), “Stock market linkages and financial contagion: a cobreaking
analysis”,The Quarterly Review of Economics and Finance, Vol. 50 No. 2, pp. 157-166.
Ahmad, W., Bhanumurthy, N.R. and Sehgal, S. (2014), “The Eurozone crisis and its contagion
effects on the European stock markets”,Studies in Economics and Finance, Vol. 31 No. 3,
pp. 325-352.
Financial
contagion
61
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Ahmad, W., Sehgal, S. and Bhanumurthy, N.R. (2013), “Eurozone crisis and BRIICKS stock markets:
contagion or market interdependence?”,Economic Modelling, Vol. 33, pp. 209-225.
Aït-Sahalia, Y., Cacho-Diaz, J. and Laeven, R.J. (2015), “Modeling financial contagion using mutually
exciting jump processes”,Journal of Financial Economics, Vol. 117 No. 3, pp. 585-606.
Aloui, R., Aïssa, M.S.B. and Nguyen, D.K. (2011), “Global financial crisis, extreme interdependences,
and contagion effects: the role of economic structure?”,Journal of Banking & Finance, Vol. 35
No. 1, pp. 130-141.
Alper, C.E. and Yilmaz, K. (2004), “Volatility and contagion: evidence from the Istanbul stock
exchange”,Economic Systems, Vol. 28 No. 4, pp. 353-367.
Anderson, R.I., Chen, Y.C. and Wang, L.M. (2015), “A range-based volatility approach to measuring
volatility contagion in securitized real estate markets”,Economic Modelling, Vol. 45, pp. 223-235.
Arghyrou, M.G. and Kontonikas, A. (2012), “The EMU sovereign-debt crisis: fundamentals,
expectations and contagion”,Journal of International Financial Markets, Institutions and Money,
Vol. 22 No. 4, pp. 658-677.
Asaturov, K., Teplova, T. and Hartwell, C.A. (2015), “Volatility spillovers and contagion in emerging
Europe”,Journal of Applied Economic Sciences (Editorial Board), Vol. 10 No. 4, pp. 929-945.
Azad, A.S., Batten, J.A., Fang, V. and Wickramanayake, J. (2015), “International swap market contagion
and volatility”,Economic Modelling, Vol. 47, pp. 355-371.
Baba, Y., Engle, R.F., Kraft, D. and Kroner, K.F. (1989), “Multivariate simultaneous generalized ARCH”,
Discussion Paper, University of California, San Diego, pp. 89-57.
Babalos, V., Gupta, R., Kyei, C. and Poutos, E. (2015), “Causality and contagion in EMU sovereign
bonds revisited: novel evidence from nonlinear causality tests”, Working paper (No. 14),
University of Pretoria, March 2015.
Bae, K.H., Karolyi, G.A. and Stulz, R.M. (2003), “A new approach to measuring financial contagion”,
Review of Financial Studies, Vol. 16 No. 3, pp. 717-763.
Baele, L. (2005), “Volatility spillover effects in European equity markets”,Journal of Financial and
Quantitative Analysis, Vol. 40 No. 2, pp. 373-401.
Baele, L. and Inghelbrecht, K. (2010), “Time-varying integration, interdependence and contagion”,
Journal of International Money and Finance, Vol. 29 No. 5, pp. 791-818.
Bai, J. and Perron, P. (2003), “Computation and analysis of multiple structural change models”,Journal
of Applied Econometrics, Vol. 18 No. 1, pp. 1-22.
Baig, M.T. and Goldfajn, M.I. (1998), “Financial market contagion in the Asian crisis”, IMF staff paper
(Nos. 98-155).
Barassi, M., Dickinson, D. and Le, T. (2011), “TDCC GARCH modelling of volatilities and correlations of
emerging stock markets”, Singapore Economics Review Conference August-2011.
Bartram, S.M. and Wang, Y.H. (2015), “European financial market dependence: an industry analysis”,
Journal of Banking & Finance, Vol. 59, pp. 146-163.
Baumöhl, E., Ly
ocsa, Š. and Výrost, T. (2011), “Shift contagion with endogenously detected volatility
breaks: the case of CEE stock markets”,Applied Economics Letters, Vol. 18 No. 12, pp. 1103-1109.
Baur, D. (2003), “Testing for contagion–mean and volatility contagion”,Journal of Multinational
Financial Management, Vol. 13 No. 4, pp. 405-422.
Baur, D.G. and Lucey, B.M. (2009), “Flights and contagion –an empirical analysis of stock–bond
correlations”,Journal of Financial Stability, Vol. 5 No. 4,pp. 339-352.
Beirne, J. and Fratzscher, M. (2013), “The pricing of sovereign risk and contagion during the European
sovereign debt crisis”,Journal of International Money and Finance, Vol. 34, pp. 60-82.
Beirne, J., Caporale, G.M., Schulze-Ghattas, M. and Spagnolo, N. (2013), “Volatility spillovers and
contagion from mature to emerging stock markets”,Review of International Economics, Vol. 21
No. 5, pp. 1060-1075.
QRFM
10,1
62
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Bekaert, G. and Harvey, C.R. (2005), “Market integration and contagion”,The Journal of Business,
Vol. 78 No. 1, pp. 39-69.
Bekaert, G., Ehrmann, M., Fratzscher, M. and Mehl, A. (2014), “The global crisis and equity market
contagion”,The Journal of Finance, Vol. 69 No. 6, pp. 2597-2649.
Bekiros, S.D. (2014), “Contagion, decoupling and the spillover effects of the US financial crisis: evidence
from the BRIC markets”,International Review of Financial Analysis, Vol. 33, pp. 58-69.
Białkowski, J.D. and Serwa, D. (2005), “Financial contagion, spillovers and causality in the Markov
switching framework”,Quantitative Finance, Vol. 5 No. 1, pp. 123-131.
Billio, M. and Pelizzon, L. (2003), “Contagion and interdependence in stock markets: have they been
misdiagnosed?”,Journal of Economics and Business, Vol. 55 No. 5, pp. 405-426.
Bodart, V. and Candelon, B. (2009), “Evidence of interdependence and contagion using a frequency
domain framework”,Emerging Markets Review, Vol. 10 No. 2, pp. 140-150.
Bond, S.A., Dungey, M. and Fry, R. (2006), “A web of shocks: crises across Asian real estate markets”,
The Journal of Real EstateFinance and Economics, Vol. 32 No. 3, pp. 253-274.
Bonga-Bonga, L. (2015), “Uncovering equity market contagion among BRICS countries:
an application of the multivariate GARCH model”, MPRA paper series (No. 66262),
25 August.
Boschi, M. (2005), “International financial contagion: evidence from the Argentine crisis of 2001-2002”,
Applied Financial Economics, Vol. 15 No. 3, pp. 153-163.
Brière, M., Chapelle, A. and Szafarz, A. (2012), “No contagion, only globalization and flight to quality”,
Journal of International Money and Finance, Vol. 31 No. 6, pp. 1729-1744.
Broock, W.A., Scheinkman, J.A., Dechert, W.D. and LeBaron, B. (1996), “A test for independence based
on the correlation dimension”,Econometric Reviews, Vol. 15 No. 3, pp. 197-235.
Calvo, S.G. and Reinhart, C.M. (1996), “Capital flows to Latin America: is there evidence of contagion
effects?”, World Bank Policy Research Working Paper (No. 1619).
Caporale, G.M., Cipollini, A. and Spagnolo, N. (2005), “Testing for contagion: a conditional correlation
analysis”,Journal of Empirical Finance, Vol. 12 No. 3, pp. 476-489.
Caporin, M., Pelizzon, L., Ravazzolo, F. and Rigobon, R. (2013), “Measuring sovereign contagion in
Europe”, National Bureau of Economic Research (No. w18741).
Cappiello, L., Engle, R.F. and Sheppard, K. (2006), “Asymmetric dynamics in the correlations of global
equity and bond returns”,Journal of Financial Econometrics, Vol. 4 No. 4, pp. 537-572.
Caramazza, F., Ricci, L. and Salgado, R. (2000), “Trade and financial contagion in currency crises”,IMF
Working Papers, No. 55.
Caramazza, F., Ricci, L. and Salgado, R. (2004), “International financial contagion in currency crises”,
Journal of International Money and Finance, Vol. 23 No. 1, pp. 51-70.
Castellanos, A.M., Vargas, F.S. and Rentería, L.G. (2012), “The contagion from the 2007-09 US stock
market crash”,International Journal of Banking and Finance, Vol. 8 No. 4, pp. pp. 67-81.
Celık, S. (2012), “The more contagion effect on emerging markets: the evidence of DCC-GARCH model”,
Economic Modelling, Vol. 29 No. 5, pp. 1946-1959.
Chakrabarti, R. and Roll, R. (2002), “East Asia and Europe during the 1997 Asian collapse: a clinical
study of a financial crisis”,Journal of Financial Markets, Vol. 5 No. 1, pp. 1-30.
Cheung, L., Tam, C.S. and Szeto, J. (2009), “Contagion of financial crises: a literature review of
theoretical and empirical frameworks”, Hong Kong Monetary Authority Research Paper (Nos.
02/2009), 8 June.
Chiang, T.C., Jeon, B.N. and Li, H. (2007), “Dynamic correlation analysis of financial contagion:
evidence from Asian markets”,Journal of International Money and Finance, Vol. 26 No. 7,
pp. 1206-1228.
Financial
contagion
63
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Chira, I. and Marciniak, M. (2014), “Risk change during crises: how do purely local companies differ
from cross-listed firms? Evidence from the European crisis of 2010-2012”,Journal of Economics
and Business, Vol. 74,pp. 11-23.
Chittedi, K.R. (2014), “Global financial crisis and contagion: evidence for the ‘BRIC’economies”,The
Journal of Developing Areas, Vol. 48 No. 4, pp. 243-264.
Cho, J.H. and Parhizgari, A.M. (2008), “East Asian financial contagion under DCC-GARCH”,
International Journal of Banking and Finance, Vol. 6 No. 1, pp. 17-30.
Choudhry, T. and Jayasekera, R. (2014), “Returns and volatility spillover in the European banking
industry during global financial crisis: flight to perceived quality or contagion?”,International
Review of Financial Analysis, Vol. 36, pp. 36-45.
Chudik, A. and Fratzscher, M. (2011), “Identifying the global transmission of the 2007-2009 financial
crisis in a GVAR model”,European Economic Review, Vol. 55 No. 3, pp. 325-339.
Constancio, V. (2012), “Contagion and the European debt crisis”,Financial Stability Review, Vol. 16,
pp. 109-119.
Corsetti, G., Pericoli, M. and Sbracia, M. (2001), “Correlation analysis of financial contagion: what one
should know before running a test”, Yale Economic Growth Center Discussion Paper (No. 822),
April.
Corsetti, G., Pericoli, M. and Sbracia, M. (2005), “Some contagion, some interdependence’: more
pitfalls in tests of financial contagion”,Journal of International Money and Finance,Vol.24
No. 8, pp. 1177-1199.
Daj
cman, S. (2014), “Was there a contagion between major European and Croatian stock markets? An
analysis of co-exceedances”,Economic Research-EkonomskaIstraživanja, Vol. 27 No. 1, pp. 155-168.
De Gregorio, J. and Valdes, R.O. (2001), “Crisis transmission: evidence from the debt, tequila, and Asian
flu crises”,International Financial Contagion, Springer US, pp. 99-127.
Dewandaru, G., Masih, R., Mansur, A. and Masih, M. (2016), “Contagion and interdependence across
Asia-Pacific equity markets: an analysis based on multi-horizon discrete and continuous wavelet
transformations”,International Review of Economics & Finance, Vol. 43, pp. 363-377.
Diebold, F.X. and Yilmaz, K. (2012), “Better to give than to receive: predictive directional measurement
of volatility spillovers”,International Journal of Forecasting, Vol. 28 No. 1, pp. 57-66.
Dimitriou, D. and Simos, T. (2013), “Contagion channels of the USA subprime financial crisis: evidence
from USA, EMU, China and Japan equity markets”,Journal of Financial Economic Policy, Vol. 5
No. 1, pp. 61-71.
Dimitriou, D. and Simos, M.T. (2014), “Contagion effects on stock and FX markets: a DCC analysis
among USA and EMU”,Studies in Economics and Finance, Vol. 31 No. 3, pp. 246-254.
Dimitriou, D., Kenourgios, D. and Simos, T. (2013), “Global financial crisis and emerging stock market
contagion: a multivariate FIAPARCH–DCC approach”,International Review of Financial
Analysis, Vol. 30, pp. 46-56.
Dooley, M. and Hutchison, M. (2009), “Transmission of the US subprime crisis to emerging markets:
evidence on the decoupling–recoupling hypothesis”,Journal of International Money and
Finance, Vol. 28 No.8, pp. 1331-1349.
Dorra, Z. and Achraf, G. (2014), “Herding behavior contagion in Tunisian financial system during the
revolution period”,IUP Journal of Bank Management, Vol. 13 No. 4.
Dornbusch, R., Park, Y.C. and Claessens, S. (2000), “Contagion: understanding how it spreads”,The
World Bank Research Observer, Vol. 15 No. 2, pp. 177-197.
Dungey, M. (2002), “International contagion effects from the Russian crisis and the LTCM near-
collapse”, working paper (No. 74), IMF.
Dungey, M. and Gajurel, D. (2014), “Equity market contagion during the global financial crisis: evidence
from the world’s eight largest economies”,Economic Systems, Vol. 38 No. 2, pp. 161-177.
QRFM
10,1
64
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Dungey, M. and Martin, V.L. (2001), “Contagion across financial markets: an empirical assessment”,
New York Stock Exchange Conference Paper,Hawaii, pp. 16-17.
Dungey, M. and Zhumabekova, D. (2001), “Testing for contagion using correlations: some words of
caution”, working paper (No. 9), Federal Reserve Bank of San Francisco.
Dungey, M., Fry, R., González-Hermosillo, B. and Martin, V.L. (2005a), “Empirical modelling of
contagion: a review of methodologies”,Quantitative Finance, Vol. 5 No. 1, pp. 9-24.
Dungey, M., Fry, R., González-Hermosillo, B. and Martin, V.L. (2005b), “A comparison of alternative
tests of contagion with applications”, in Dungey, M. and Tambakis, D. (Eds), Identifying
International Financial Contagion: Progress and Challenges, Oxford University Press, New York,
NY, pp. 60-85.
Dungey, M., Fry, R.A., González-Hermosillo, B. and Martin, V.L. (2005c), “A Monte Carlo Analysis of
Alternative Tests of Contagion”, Unpublished Working Paper, University of Melbourne.
Dungey, M., Fry, R., González-Hermosillo, B. and Martin, V.L. (2006), “Contagion in international bond
markets during the Russian and the LTCM crises”,Journal of Financial Stability, Vol. 2 No. 1, pp. 1-27.
Eichengreen, B., Rose, A.K. and Wyplosz, C. (1994), “Speculative attacks on pegged exchange rates: an
empirical exploration with special reference to the European Monetary System”, working paper
(No. 4898), National Bureau of Economic Research, October 2014.
Engle, R.F. and Sheppard, K. (2001), “Theoretical and empirical properties of dynamic conditional
correlation multivariate GARCH”, National Bureau of Economic Research (No. w8554).
Favero, C.A. and Giavazzi, F. (2002), “Is the international propagation of financial shocks non-linear?:
evidence from the ERM”,Journal of International Economics, Vol. 57 No. 1, pp. 231-246.
Fernandez-Izquierdo, A. and Lafuente, J.A. (2004), “International transmission of stock exchange volatility:
empirical evidence from the Asian crisis”,Global Finance Journal, Vol. 15 No. 2, pp. 125-137.
Flavin, T.J. and Sheenan, L. (2015), “The role of US subprime mortgage-backed assets in propagating
the crisis: contagion or interdependence?”,The North American Journal of Economics and
Finance, Vol. 34, pp. 167-186.
Forbes, K. and Rigobon, R. (2001), “Measuring contagion: conceptual and empirical issues”,
International Financial Contagion, Springer, pp. 43-66.
Forbes, K.J. and Rigobon, R. (2002), “No contagion, only interdependence: measuring stock market co-
movements”,The Journal of Finance, Vol. 57 No. 5, pp. 2223-2261.
Fry-McKibbin, R. and Yu-Ling Hsiao, C. (2015), “Extremal dependence tests for contagion”,
Econometric Reviews, just-accepted.
Fry-McKibbin, R.A. and Yu-Ling Hsiao, C. (2014), “Extremal dependence and contagion”, working
paper (No. 38), Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy,
The Australian National University, May 2014.
Fry-McKibbin, R.A., Hsiao, C.Y., and Martin,V.L. (2013), Joint Tests of Financial Market Contagion with
Applications, Australian National University.
Fry, R., Martin, V.L. and Tang, C. (2008), “A new class of tests of contagion with applications to real
estate markets”, working paper (No. 1), Centre for Applied Macroeconomic Analysis, The
Australian National University, January 2008.
Gallegati, M. (2012), “A wavelet-based approach to test for financial market contagion”,Computational
Statistics & Data Analysis, Vol. 56 No. 11, pp. 3491-3497.
Gammoudi, M. and Cherif, M. (2014), “The global financial crisis and financial contagion in MENA stock
markets”,International Invention Journal of Arts and Social Sciences,Vol.1No.2,pp.26-40.
Ghorbel, A. and Boujelbene, Y. (2013), “Contagion effect of the oil shock and US financial crisis on the GCC
and BRIC countries”,International Journal of Energy Sector Management, Vol. 7 No. 4, pp. 430-447.
Glick, R. and Rose, A.K. (1999), “Contagion and trade: why are currency crises regional?”,Journal of
International Money and Finance, Vol. 18 No. 4, pp. 603-617.
Financial
contagion
65
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Glover, B. and Richards-Shubik, S. (2014), “Contagion in the European sovereign debt crisis”, working
paper (No. 20567), National Bureau of Economic Research, October.
G
omez-Puig, M. and Sosvilla-Rivero, S. (2016), “Causes and hazards of the euro area sovereign debt
crisis: pure and fundamentals-based contagion”,Economic Modelling, Vol. 56, pp. 133-147.
Goetzmann, W.N., Li, L. and Geert Rouwenhorst, K. (2005), “Long-term global market correlations”,
Journal of Business, Vol. 78, pp. 1-38.
Gravelle, T., Kichian, M. and Morley, J. (2006), “Detecting shift-contagion in currency and bond
markets”,Journal of International Economics, Vol. 68 No. 2, pp. 409-423.
Gray, D. (2009), “Financial contagion among members of the EU-8: a cointegration and Granger
causality approach”,International Journal of Emerging Markets, Vol. 4 No. 4, pp. 299-314.
Grubel, H.G. and Fadner, K. (1971), “The interdependence of international equity markets”,The Journal
of Finance, Vol. 26 No. 1, pp. 89-94.
Guesmi, K., Kaabia, O. and Irfan, K.A.Z.I. (2013), “Does shift contagion exist between OECD stock
markets during the financial crisis?”,Journal of Applied Business Research (Jabr),Vol.29
No. 2, pp. 469-484.
Guo, F., Chen, C.R. and Huang, Y.S. (2011), “Markets contagion during financial crisis: a regime-
switching approach”,International Review of Economics & Finance, Vol. 20 No. 1, pp. 95-109.
Harvey, A. (1997), “Trends, cycles and auto regressions”,The Economic Journal, Vol. 107 No. 440,
pp. 192-201.
Harvey, A.C. (1989), Forecasting: Structural Time Series Models and the Kalman Filter, Cambridge
University Press, Cambridge, MA.
Hemche, O., Jawadi, F., Maliki, S.B. and Cheffou, A.I. (2016), “On the study of contagion in the context of
the subprime crisis: a dynamic conditional correlation–multivariate GARCH approach”,
Economic Modelling, Vol. 52, pp. 292-299.
Hinich, M.J. (1996), “Testing for dependence in the input to a linear time series model”,Journal of
Nonparametric Statistics, Vol. 6 Nos 2/3, pp. 205-221.
Hoesli, M. and Reka, K. (2013), “Volatility spillovers, co-movements and contagion in securitized real
estate markets”,The Journal of Real Estate Finance and Economics, Vol. 47 No. 1, pp. 1-35.
Hong, Y., Tu, J., and Zhou, G. (2007), “Asymmetries in stock returns: statistical tests and economic
evaluation”,The Review of Financial Studies, Vol. 20 No. 5,pp. 1547-1581.
Hsiao, C.Y.L. and Morley, J. (2015), “Debt and financial market contagion”, UNSW Business School
Research Paper (2015-02).
Islam, R. (2014a), “A comparison of the long term interdependence of Southeast Asian equity markets”,
Journal of East Asian Economic Integration, Vol. 18 No. 2, pp. 187-212.
Islam, R. (2014b), “Comparing financial contagion and volatility spillover and structural break within
major Asian economies pre and post Global Recession to that of Asian crisis”,The Journal of
Applied Business and Economics, Vol. 16 No. 4, pp. 92-111.
Islam, R., Islam, T. and Sharmin, S. (2013a), “Testing for contagion, volatility spillover and regime shift
among three strong, quasi strong and semi strong South-Asian economies in presence and
absence of US accession: a VECH (1, 1) approach”,International Research Journal of Finance and
Economics, Vol. 106, pp.79-92.
Islam,R.,Islam,M.T.andChowdhury,A.H.(2013b),“Testing for global volatility spillover, financial
contagion and structural break in fifteen economies from two regions: a diagonal VECH matrix and
EGARCH (1, 1) approach”,International Journal of Economics and Finance, Vol. 5 No. 5, pp. 159-170.
Ito, T. and Hashimoto, Y. (2005), “High-frequency contagion of currency crises in Asia”,Asian
Economic Journal, Vol. 19 No. 4, pp. 357-381.
Jayech, S. (2016), “The contagion channels of July–August-2011 stock market crash: a DAG-copula
based approach”,European Journal of Operational Research, Vol. 249 No. 2, pp. 631-646.
QRFM
10,1
66
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Jin, X. and An, X. (2016), “Global financial crisis and emerging stock market contagion: a volatility
impulse response function approach”,Research in International Business and Finance, Vol. 36,
pp. 179-195.
Jung, R.C. and Maderitsch, R. (2014), “Structural breaks in volatility spillovers between international financial
markets: contagion or mere interdependence?”,Journal of Banking & Finance, Vol. 47, pp. 331-342.
Kazi, I.A., Guesmi, K. and Kaabia, O. (2011), “Contagion effect of financial crisis on OECD stock
markets”, Economics discussion papers (2011-2015), Kiel Institute for the World Economy.
Kazi, I.A., Mehanaoui, M. and Akbar, F. (2014), “The shift-contagion effect of global financial crisis and
the European Sovereign Debt Crisis on OECD countries”,Journal of Applied Business Research,
Vol. 30 No. 1, pp. 301-312.
Kenourgios, D. (2014), “On financial contagion and implied market volatility”,International Review of
Financial Analysis, Vol. 34, pp. 21-30.
Kenourgios, D. and Dimitriou, D. (2014), “Contagion effects of the global financial crisis in US and
European real economy sectors”,Panoeconomicus, Vol. 61 No.3, pp. 275-288.
Kenourgios, D. and Dimitriou, D. (2015), “Contagion of the global financial crisis and the real economy:
a regional analysis”,Economic Modelling, Vol. 44, pp. 283-293.
Kenourgios, D. and Padhi, P. (2012), “Emerging markets and financial crises: regional, global or isolated
shocks?”,Journal ofMultinational Financial Management, Vol. 22 No. 1, pp. 24-38.
Kenourgios,D.,Asteriou,D.andSamitas,A.(2013a),“Testing for asymmetric financial contagion: new
evidence from the Asian crisis”,The Journal of Economic Asymmetries, Vol. 10 No. 2, pp. 129-137.
Kenourgios, D., Christopoulos, A.G. and Dimitriou, D.I. (2013b), “Asset markets contagion during the
global financial crisis”,Multinational Finance Journal, Vol. 17 Nos 1/2, pp. 49-76.
Kenourgios, D., Samitas, A. and Paltalidis, N. (2011), “Financial crises and stock market contagion in a
multivariate time-varying asymmetric framework”,Journal of International Financial Markets,
Institutions and Money, Vol. 21 No. 1, pp. 92-106.
Khalid, A.M. and Kawai, M. (2003), “Was financial market contagion the source of economic crisis in Asia?
Evidence using a multivariate VAR model”,Journal of Asian Economics, Vol. 14 No. 1, pp. 131-156.
Khalid, A.M. and Rajaguru, G. (2006), “Financial market contagion or spillovers evidence from Asian
crisis using multivariate GARCH approach”,Bond University Australia Seminar Paper.
Kilic, E. and Ulusoy, V. (2015), “Evidence for financial contagion in endogenous volatile periods”,
Review of Development Economics, Vol. 19 No. 1, pp. 62-74.
Kim, B.H., Kim, H. and Lee, B.S. (2015), “Spillover effects of the US financial crisis on financial markets
in emerging Asian countries”,International Review of Economics & Finance, Vol. 39, pp. 192-210.
King, M.A. and Wadhwani, S. (1990), “Transmission of volatility between stock markets”,Review of
Financial Studies, Vol. 3 No. 1, pp. 5-33.
Kleimeier, S., Lehnert, T. and Verschoor, W.F. (2008), “Measuring financial contagion using time-
aligned data: the importance of the speed of transmission of shocks”,Oxford Bulletin of
Economics and Statistics, Vol. 70 No. 4, pp. 493-508.
Kogid, M., Ching, K.S. and Jusoh, M. (2009), “Asian financial crisis: an analysis of the contagion and
volatility effects in the case of Malaysia”,International Journal of Business and Management,
Vol. 4 No. 5, pp. 128-138.
Lin, C.H., Changchien, C.C., Kao, T.C. and Kao, W.S. (2015), Contagion in Financial Markets: Dynamic
Conditional Correlation Model, available at: sfm.finance.nsysu.edu.tw/php/Papers/
CompletePaper/047-1587711561.pdf (accessed 21 September 2016).
Lopes, H.F. and Migon, H.S. (2002), “Co-movements and contagion in emergent markets: stock indexes
volatilities”, Lecture notes in statistics-New York-springer verlag, pp. 285-300.
Luchtenberg, K.F. and Vu, Q.V. (2015), “The 2008 financial crisis: stock market contagion and its
determinants”,Research in International Business and Finance, Vol. 33, pp. 178-203.
Financial
contagion
67
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Marçal,E.F.,VallsPereira,P.L.,Martin,D.M.L.andNakamura,W.T.(2011),“Evaluation of
contagion or interdependence in the financial crises of Asia and Latin America,
considering the macroeconomic fundamentals”,Applied Economics, Vol. 43 No. 19,
pp. 2365-2379.
Masson, P.R. (1998), “Contagion: monsoonal effects, spillovers, and jumps between multiple equilibria”,
working paper (No. 142), IMF September.
Maveyraud, S. (2015), “The international contagion of short-run interest rates during the Great
Depression”, Groupe de RechercheenEconomieThéoriqueetAppliquée.
Maya, R.A., G
omez-González, J.E. and Melo-Velandia, L.F. (2015), “Exchange rate contagion in Latin
America”,Research in International Business and Finance, Vol. 34, pp. 355-367.
Mighri, Z. and Mansouri, F. (2013), “Dynamic conditional correlation analysis of stock market
contagion: evidence from the 2007-2010 financial crises”,International Journal of Economics and
Financial Issues, Vol. 3 No. 3, pp. 637-661.
Mighri, Z. and Mansouri, F. (2014), “Modeling international stock market contagion using multivariate
fractionally integrated APARCH approach”,Cogent Economics & Finance, Vol. 2 No. 1, pp. 1-25.
Min, H.G. and Hwang, Y.S. (2012), “Dynamic correlation analysis of US financial crisis and
contagion: evidence from four OECD countries”,Applied Financial Economics,Vol.22
No. 24, pp. 2063-2074.
Mink, M. (2015), “Measuring stock market contagion: local or common currency returns?”,Emerging
Markets Review, Vol. 22, pp. 18-24.
Mink, M. and De Haan, J. (2013), “Contagion during the Greek sovereign debt crisis”,Journal of
International Money and Finance, Vol. 34, pp. 102-113.
Missio, S. and Watzka, S. (2011), “Financial contagion and the European debt crisis”, CESifo Working
Paper Series (No. 3554), 31 August.
Mollah, S., Quoreshi, A.S. and Zafirov, G. (2016), “Equity market contagion during global financial and
Eurozone crises: evidence from a dynamic correlation analysis”,Journal of International
Financial Markets, Institutions and Money, Vol. 41, pp. 151-167.
Mollah, S., Zafirov, G. and Quoreshi, A.M.M. (2014), “Financial Market Contagion during the Global
Financial Crisis”, Working paper (No. 5), Center for Innovation and Technology Research,
Blekinge Institute of Technology.
Mondria, J. and Quintana-Domeque, C. (2013), “Financial contagion and attention allocation”,The
Economic Journal, Vol. 123 No. 568, pp. 429-454.
Moosa, I. (2010), “Stock market contagion in the early stages of the global financial crisis: the experience of
the GCC countries”,International Journal of Banking and Finance,Vol.7No.1,pp.19-34.
Neaime, S. (2012), “The global financial crisis, financial linkages and correlations in returns and volatilities
in emerging MENA stock markets”,Emerging Markets Review, Vol. 13 No. 3, pp. 268-282.
Nishiyama, Y., Hitomi, K., Kawasaki, Y. and Jeong, K. (2011), “A consistent nonparametric test for
nonlinear causality –specification in time series regression”,Journal of Econometrics, Vol. 165
No. 1, pp. 112-127.
Pan, Z., Zheng, X. and Gong, Y. (2015), “A model-free test for contagion between crude oil and stock
markets”,Economics Letters, Vol. 130, pp. 1-4.
Peng, Y. and Ng, W.L. (2012), “Analysing financial contagion and asymmetric market dependence with
volatility indices via copulas”,Annals of Finance, Vol. 8 No. 1, pp. 49-74.
Pesaran, B. and Pesaran, M.H. (2010), “Conditional volatility and correlations of weekly returns
and the VaR analysis of 2008 stock market crash”,Economic Modelling, Vol. 27 No. 6,
pp. 1398-1416.
Pesaran, M.H. and Pick, A. (2007), “Econometric issues in the analysis of contagion”,Journal of
Economic Dynamics and Control, Vol. 31 No. 4, pp. 1245-1277.
QRFM
10,1
68
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Ranta, M. (2013), “Contagion among major world markets: a wavelet approach”,International Journal
of Managerial Finance, Vol. 9 No. 2, pp. 133-149.
Reinhart, C.M. and Reinhart, V.R. (2008), “Capital flow bonanzas: an encompassing view of the past and
present”, National Bureau of Economic Research (No. w14321).
Rigobon, R. (2003), “On the measurement of the international propagation of shocks: is the transmission
stable?”,Journal ofInternational Economics, Vol. 61 No. 2, pp. 261-283.
Rodriguez, J.C. (2007), “Measuring financial contagion: a copula approach”,Journal of Empirical
Finance, Vol. 14 No.3, pp. 401-423.
Romero-Meza, R., Bonilla, C., Benedetti, H. and Serletis, A. (2015), “Nonlinearities and financial
contagion in Latin American stock markets”,Economic Modelling, Vol. 51, pp. 653-656.
Rotta, P.N. and Pereira, P.L.V. (2015), “Analysis of contagion from the dynamic conditional correlation
model with Markov Regime switching”,Applied Economics, Vol. 48 No. 25, pp. 2367-2382.
Roy, R.P. and Roy, S.S. (2015), “Financial contagion and volatility spillover: an exploration into Indian
commodity derivative market”,isid.ac.in, available at: https://scholar.google.co.in/scholar?q=
Financialþcontagionþandþvolatilityþspillover%3Aþanþexplorationþintoþindianþ
commodityþderivativeþmarket&btnG=&hl=en&as_sdt=0%2C5 (accessed 21
September 2016).
Saleem, K. (2009), “International linkage of the Russian market and the Russian financial crisis: a
multivariate GARCH analysis”,Research in International Business and Finance, Vol. 23 No. 3,
pp. 243-256.
Samarakoon, L.P. (2011), “Stock market interdependence, contagion, and the US financial crisis: the
case of emerging and frontier markets”,Journal of International Financial Markets, Institutions
and Money, Vol. 21 No. 5, pp. 724-742.
Serwa, D. and Bohl, M.T. (2005), “Financial contagion vulnerability and resistance: a comparison of
European stock markets”,Economic Systems, Vol. 29 No. 3, pp. 344-362.
Shen, P.L., Li, W., Wang, X.T. and Su, C.W. (2015), “Contagion effect of the European financial crisis on
China’s stock markets: interdependence and pure contagion”,Economic Modelling, Vol. 50,
pp. 193-199.
Sojli, E. (2007), “Contagion in emerging markets: the Russian crisis”,Applied Financial Economics,
Vol. 17 No. 3, pp. 197-213.
Sriananthakumar, S. and Silvapulle, P. (2008), “Multivariate conditional heteroscedasticity models with
dynamic correlations for testing contagion”,Applied Financial Economics, Vol. 18 No. 4, pp. 267-273.
Suh, S. (2015), “Measuring sovereign risk contagion in the Eurozone”,International Review of
Economics & Finance, Vol. 35,pp. 45-65.
Syllignakis, M.N. and Kouretas, G.P. (2011), “Dynamic correlation analysis of financial contagion:
evidence from the Central and Eastern European markets”,International Review of Economics &
Finance, Vol. 20 No.4, pp. 717-732.
Tabak, B.M., de Castro Miranda, R. and da Silva Medeiros, M. (2016), “Contagion in CDS, banking and
equity markets”,Economic Systems, Vol. 40 No. 1, pp. 120-134.
Tai, C.S. (2007), “Market integration and contagion: evidence from Asian emerging stock and foreign
exchange markets”,Emerging Markets Review, Vol. 8 No. 4, pp. 264-283.
Wang, K.M. and Thi, T.B.N. (2013), “Did China avoid the ‘Asian flu’? The contagion effect test with
dynamic correlation coefficients”,Quantitative Finance, Vol. 13 No. 3, pp. 471-481.
Wilson, P. and Zurbruegg, R. (2004), “Contagion or interdependence? Evidence from co-movements in
Asia-Pacific securitised real estate markets during the 1997 crisis”,Journal of Property
Investment & Finance, Vol. 22 No.5, pp. 401-413.
Yang, L., Cai, X.J., Zhang, H. and Hamori, S. (2016), “Interdependence of foreign exchange markets: a
wavelet coherence analysis”,Economic Modelling, Vol. 55, pp. 6-14.
Financial
contagion
69
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)

Ye, W., Zhu, Y., Wu, Y. and Miao, B. (2016), “Markov regime-switching quantile regression models and
financial contagion detection”,Insurance: Mathematics and Economics, Vol. 67, pp. 21-26.
Yiu, M.S., Alex Ho, W.Y. and Choi, D.F. (2010), “Dynamic correlation analysis of financial contagion in
Asian markets in global financial turmoil”,Applied Financial Economics, Vol. 20 No. 4, pp. 345-354.
Further reading
Pericoli, M. and Sbracia, M. (2003), “A primer on financial contagion”,Journal of Economic Surveys,
Vol. 17 No. 4, pp. 571-608.
Zouri, D. and Ghorbel, A. (2014), “Herding behavior contagion in Tunisian financial system during the
revolution period”,The IUP Journal of Bank Management, Vol. 13 No. 4, pp. 20-36.
About the authors
Neha Seth is Assistant Professor, School of Commerce and Management, Central University of
Rajasthan, Rajasthan, India. She has been awarded PhD from Department of Management
Studies, Indian Institute of Technology Roorkee in the area of investment finance and is a post
graduate from University of Delhi. She has written numerous research papers for international
and national journals of repute and presented a number of papers in international and national
conferences. Two research scholars are working with her at present.
Laxmidhar Panda is currently Research Scholar in Department of Commerce, School of
Commerce and Management, Central University of Rajasthan, Ajmer, Rajasthan, India. His
academic and research interest lies in the area of contagion and volatility modelling in
international stock markets. He has presented number of papers in various national and
international conferences. Laxmidhar Panda is the corresponding author and can be contacted at:
pbapuni@gmail.com
For instructions on how to order reprints of this article, please visit our website:
www.emeraldgrouppublishing.com/licensing/reprints.htm
Or contact us for further details: permissions@emeraldinsight.com
QRFM
10,1
70
Downloaded by Central University of Rajasthan, Mr Laxmidhar Panda At 21:35 18 March 2018 (PT)