Heterogeneous fluctuations, Contagion and Financial crisis: The case of Chinese market and the other markets
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| Title | Heterogeneous fluctuations, Contagion and Financial crisis: The case of Chinese market and the other markets
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| Author | Zhao Jinwen and Su Mingzheng |
| Organization | Dongbei University of Finance and Economics |
| Email | jinwen101@163.com； |
| Key Words | Heterogeneous Fluctuations; Contagion;Overlapping; Financial Crisis |
| Abstract | Enlightened by Samarakoon’s thoughts, this paper, on the analysis basis of Heterogeneous fluctuations, by distinguishing the overlapping of trading time to set up contagion model, studies the characteristics of contagion between Chinese market and the other 30 markets in the world during American financial crisis and European debt crisis. There exists more contagion from Chinese market to the surrounding markets as well as emerging markets and frontier markets. Compared with American financial crisis, the contagion is driven more in European debt crisis. Secondly, during American financial crisis, the contagion in Chinese market is driven by the surrounding markets rather than America which is the place of origin of American financial crisis. During European debt crisis, there is more contagion from developed countries in Europe to Chinese market. |
| Serial Number | WP266 |
| Time | 2012-06-12 |
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