Contagious speculative bubbles in equity markets: did the recent financial crisis spread to South-East Asia?
Contagious speculative bubbles in equity markets: did the recent financial crisis spread to South-East Asia?
We analyzed the linkages of news to speculative bubbles in the equity markets of six South-East Asian countries and the U.S. over the period 1995-2011. To this end, we estimated a model that renders it possible to decompose equity market indexes into fundamentals and speculative bubbles. We then extracted news to speculative bubbles and used a correlation analysis to detect contagion effects due to the recent financial crisis. Our results indicate that evidence of contagion is not very strong.
103-110
Pierdzioch, C.
60eb79c6-d98e-4ceb-a634-9acaf7ebc451
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
February 2012
Pierdzioch, C.
60eb79c6-d98e-4ceb-a634-9acaf7ebc451
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Pierdzioch, C. and Kizys, Renatas
(2012)
Contagious speculative bubbles in equity markets: did the recent financial crisis spread to South-East Asia?
The Empirical Economics Letters, 11 (2), .
Abstract
We analyzed the linkages of news to speculative bubbles in the equity markets of six South-East Asian countries and the U.S. over the period 1995-2011. To this end, we estimated a model that renders it possible to decompose equity market indexes into fundamentals and speculative bubbles. We then extracted news to speculative bubbles and used a correlation analysis to detect contagion effects due to the recent financial crisis. Our results indicate that evidence of contagion is not very strong.
This record has no associated files available for download.
More information
Published date: February 2012
Identifiers
Local EPrints ID: 434402
URI: http://eprints.soton.ac.uk/id/eprint/434402
ISSN: 1681-8997
PURE UUID: e01a0406-cc3c-440d-8d55-6d8056ec981a
Catalogue record
Date deposited: 23 Sep 2019 16:30
Last modified: 13 Dec 2021 03:33
Export record
Contributors
Author:
C. Pierdzioch
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.
View more statistics
