Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises

Vance L Martin, Renee Fry, Mardi Dungey, Brenda Gonzalez-Hermosillo

    Research output: Contribution to journalArticle

    Abstract

    The Russian and LTCM financial crises in 1998 originated in bond markets, but rapidly transmitted through international equity markets. A multi-factor model of financial markets with multiple regimes is used to estimate the transmission effects in equity markets due to global, regional and contagious transmission mechanisms during the crises. Using a panel of 10 emerging and industrial financial markets, the empirical results show that contagion is significant and widespread in international equity markets during the LTCM crisis, but is more selective during the Russian crisis. Contagion effects in equities differ to those previously noted in bond markets for this period.
    Original languageEnglish
    Pages (from-to)155-174
    JournalNorth American Journal of Economics and Finance
    Volume18
    Issue number2
    Publication statusPublished - 2007

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