TY - JOUR
T1 - Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises
AU - Martin, Vance L
AU - Fry, Renee
AU - Dungey, Mardi
AU - Gonzalez-Hermosillo, Brenda
PY - 2007
Y1 - 2007
N2 - 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.
AB - 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.
M3 - Article
SN - 1062-9408
VL - 18
SP - 155
EP - 174
JO - North American Journal of Economics and Finance
JF - North American Journal of Economics and Finance
IS - 2
ER -