No contagion, only interdependence

Forbes, K. J., & Rigobon, R. (2002). No contagion, only interdependence: Measuring stock market comovements. Journal of Finance, 57(5), 2223-2261.

Type

Journal article

Intellectual base

Primary research

Year

2002

Volume

57

Issue

5

Pages

2223-2261

DOI registrant

Wiley

Link

https://doi.org/10.1111/0022-1082.00494 not authoritativefound

Cited from

environmental_climate

Cited by

1 citation across 1 artifact.

Each citation links to the sentence it supports in the citing article.

Primes

• Teleconnection
  • This case follows the careful disambiguation Forbes and Rigobon (2002) drew between true contagion and pre-existing interdependence in cross-market correlations.

    This sourceDevelops heteroskedasticity-corrected test distinguishing genuine financial contagion (regime-shift in coupling) from baseline interdependence; central methodological reference for the emerging-market currency-crisis case.

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