This research examines the role of contagion in transmitting shocks across markets. One possible conduit for contagion is shifts in international investors’ risk appetite. The aim of this research is to propose a methodology to address the current gaps in the literature of contagion. The thesis examines a number of financial crises during the past decade, encompassing daily financial data for a representative set of mature and emerging markets. The policy interest in this area is clear as contagion can play a key role in spreading idiosyncratic financial shocks across the world. Indeed, contagion effects can lead to systemic global financial crises.
|Qualification||Doctor of Philosophy|
|Award date||9 May 2008|
|Place of Publication||Tilburg|
|Publication status||Published - 2008|