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Review of Quantitative Finance and Accounting

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01-04-2013 | Original Research

Is there life in the old dogs yet? Making break-tests work on financial contagion

Authors: Bartosz Gębka, Michail Karoglou

Published in: Review of Quantitative Finance and Accounting | Issue 3/2013

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Abstract

Many tests of financial contagion require a definition of the dates separating calm from crisis periods. We propose to use a battery of break search procedures for individual time series to objectively identify potential break dates in relationships between countries. Applied to the biggest European stock markets and combined with two well established tests for financial contagion, this approach results in break dates which correctly identify the timing of changes in cross-country transmission mechanisms. Application of break search procedures breathes new life into the established contagion tests, allowing for an objective, data-driven timing of crisis periods.

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Title: Is there life in the old dogs yet? Making break-tests work on financial contagion
Authors: Bartosz Gębka
Michail Karoglou
Publication date: 01-04-2013
Publisher: Springer US
Published in: Review of Quantitative Finance and Accounting / Issue 3/2013
Print ISSN: 0924-865X
Electronic ISSN: 1573-7179
DOI: https://doi.org/10.1007/s11156-012-0278-z

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