Extreme Contagion in Equity Markets

RESEARCH - IMF Working Paper by Jorge Chan-Lau, Donald Mathieson and James Yao of the International Capital Markets Department, 18 June. Their results suggest that contagion patterns differ significantly within regions with Latin America showing an increase in contagion not experienced by other regions or countries. Contagion is found to be higher for negative rather than positive returns.

Extreme Contagion in Equity Markets

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