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

Mardi Dungey; Renée Fry; Brenda González-Hermosillo; Vance L. Martin

doi:10.1016/j.najef.2007.05.003

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

Mardi Dungey, Renée Fry, Brenda González-Hermosillo, Vance L. Martin^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

37 Citations (Scopus)

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 language	English
Pages (from-to)	155-174
Number of pages	20
Journal	North American Journal of Economics and Finance
Volume	18
Issue number	2
DOIs	https://doi.org/10.1016/j.najef.2007.05.003
Publication status	Published - Aug 2007

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10.1016/j.najef.2007.05.003

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title = "Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises",

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.",

keywords = "Contagion, Factor models, LTCM, Multiple regimes, Russian crisis",

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AU - Martin, Vance L.

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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.

KW - Contagion

KW - Factor models

KW - LTCM

KW - Multiple regimes

KW - Russian crisis

UR - https://www.scopus.com/pages/publications/34547406839

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JO - North American Journal of Economics and Finance

JF - North American Journal of Economics and Finance

IS - 2

ER -

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

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